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Under the presence of rapidly growing influence of financial sector in the beginning of 21st century, behavior of commodity prices became unusual. This is could be explained by the financialization of commodities, which is expressed as huge inflow of institutional funds to the commodity futures market, due to increased interest in commodity investing. The presence of this empirical research is to test the one of propositions of Basak and Pavlova (2015) about first moment of returns. They stated that all commodity prices rise with the world share of institutions, which they take as a measure for financialization, sensitivity to aggregate demand is higher in case of index commodities and that all commodity index prices react negatively to the positive news about index commodities. As first regression method of testing had to be rejected, due to problems with data frequency, we decided to use another method to test index commodity prices under the presence of financialization. This method is event study of abnormal returns, for which we take period around the beginning of financialization (2005-2008) from 2001 to 2010, obtained historical data for two first-generation commodity indices, information about their composition for each year and other supporting variables. We find weak unit evidence of abnormal returns presence after the beginning of financialization, but also we find several significant cases of existence of abnormal returns before the beginning of financialization. In addition, one more interesting finding is that under the presence of financialization index inclusions lead to returns abnormality. However, as there are only two indices and consequently deficit of data, none of these propositions cannot be fully confirmed. That gives further contemplation for others.

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