Title: On crude oil as financial asset: Evidence from ten years of financialization
Authors: Maria Kartsakli - University of St. Gallen - Swiss Institute of Banking and Finance (Switzerland) [presenting]
Abstract: The financialization of crude oil markets over the last decade has changed the behavior of oil prices in fundamental ways. We uncover the gradual transformation of crude oil from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We show that financial variables have become the main driving factors explaining the variation in crude oil returns and volatility today. Our findings have important implications for portfolio analysis and for the effectiveness of hedging in crude oil markets.