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Zhi Da, Professor of Finance, Mendoza College of Business, University of Notre Dame: Financialization and Commodity Market Serial Dependence

Time: 2019-12-18 10:00 Print

Topic: Financialization and Commodity Market Serial Dependence

Speaker: Zhi Da , Professor of Finance, Mendoza College of Business, University of Notre Dame

Date: December 18, 2019 (Wednesday)

Time: 10:00am-11:30am

Location: 4-101, Building 1

Language: English

Abstract:

Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. Using news-based sentiment measures, we find that such trading can propagate non-fundamental shocks from some commodities to others in the same index, giving rise to price overshoots and subsequent reversals at a daily frequency. Price overshooting results in negative return autocorrelations that are closely linked to index exposure measures but not present in non-indexed commodities. Since index weights can vary across indices in a relatively ad-hoc and predetermined fashion, we provide causal evidence that index trading drives return autocorrelation.

About the speaker:

Zhi Da is a Professor of Finance at the University of Notre Dame’s Mendoza College of Business. His research focuses on empirical asset pricing and investment. In recent papers, he studied the role of limited investor attention, the behavior of institutional investors, and cash flow risks of financial assets. His papers have been published in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics among others. He is currently serving as an associate editor at several journals including Review of Financial Studies, Journal of Banking and Finance and Critical Finance Review. Zhi has received the 2017 JFQA William F. Sharpe Award for Scholarship in Financial Research, among other research awards and grants. After gaining a BBA and an MSc from National University of Singapore, he worked at the interest rate and exotic derivative trading desk in DBS Bank. He subsequently earned a PhD in Finance from Northwestern University.