Financialization and Commodity Markets Serial Dependence

The authors benefited from the comments and suggestions by Bruno Biais (editor), Shaun Davies (discussant), Prachi Deuskar (discussant), Jun Li (discussant), Christina Nikitopoulos (discussant), Neil Pearson, Marcel Prokopczuk, Jing Wu, Qifei Zhu (discussant), an associate editor, and two anonymous referees as well as seminar participants at Auckland University of Technology, Duke University, Hong Kong University of Science and Technology, Lehigh University, Tsinghua University People’s Bank of China School of Finance, University of Notre Dame, the third Australasian Commodity Markets Conference, the third J.P. Morgan Center for Commodities International Symposium on Commodities, the seventh Asian Bureau of Finance and Economic Research Annual Conference, the eighth International Conference on Futures and Other Derivatives, the 2019 Asian Meeting of the Econometric Society, the 2019 China International Conference in Finance, the 2019 Commodity and Energy Markets Association Annual Conference, the 2019 Summer Institute of Finance, and the 2019 University of Oklahoma Energy and Commodities Finance Research Conference.