Amine Loutia



Thesis title: Marché des matières premières et marchandises: formation des prix et gestion de portefeuille.

Supervisor : Constantin MELLIOS




First name Loutia
Last name Amine
Institution Sorbonne University Paris1 PRISM
Your PhD supervisor name Constantin Mellios
Your thesis title Marchés des matières premières et marchandises: Formation des prix et gestion de portefeuille
JEL Classification (Ex. G28, E58, K2) G14,L10,Q40,G11,G12
Keywords Commodity Markets, Portfolio choice, Asset pricing, Commodity regulation, Event Study, Market Structure.
Objectives – Study the microstructure of commodity markets through event studies.
– Study the correlations’ structure between commodities, group of commodities and traditional assets.
– The two aforementioned parts are to be the input for computing the optimized quantities to invest in commodities within a multi-commodities portfolio.
Design / methodology / approach – The microstructure (commodities) was analysed through event studies (OPEC news) combined with an EGARCH model. The same technique was performed on stocks using a FAMA-FRENCH 3 factors model.

-The correlations’ structure will be analysed through an ADCC model as to account for the assymetries.

– The optimzed multi-commodity portfolio will be computed through a continous and intertemporal model ( See Cox and Huang,1989).

Empirical findings / expected outputs – OPEC news do impact oil prices. The impact differs depending on the news’ types and the indices used.
-Some industrial sectors should be more impacted than others
-The correlations’ structure should have undergone lots of changes.
-Commodities will be surely playing a huge role in generating revenues rather than hedging. The optimized quantities should indicate that.
Research contribution / practical implications / Originality – Mixing event studies to an EGARCH model is new to the literature. The contribution is purely methological in plus of newer data.
– Using a huge database to assess the impact of OPEC news on each firm is almost inexistant in the literature.
-Studying of the interactions between commodities and group of commodities contributes to the growing literature in the domain.
-There is little literature on the multi-commodity portfolios.
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