Do Extreme CIT Position Changes Move Prices in Grain Futures Markets?

Autor:	Jiarui Li, Scott H. Irwin, Xiaoli Etienne
Rok vydání:	2022
Předmět:	Economics and Econometrics Agricultural and Biological Sciences (miscellaneous)
Zdroj:	Journal of Agricultural and Applied Economics. 54:792-814
ISSN:	2056-7405 1074-0708
DOI:	10.1017/aae.2022.40
Popis:	Most previous studies reject the basic tenet of the Masters Hypothesis that the influx of financial index investments has pressured agricultural futures prices upwards substantially. However, the impact of index investment activities may be more complicated and nuanced than can be detected by the relatively simple linear Granger causality tests used in many previous studies. Our study applies a new cross-quantilogram (CQ) test to weekly index trader positions and returns in four agricultural futures markets. Overall, we find limited support for a significant relationship between extreme index trader position changes and returns, and even less support that increased index trading activities have pushed commodity prices higher.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e1163e54fe6b18d783e85879fcb3576f https://doi.org/10.1017/aae.2022.40 Zobrazit plný text záznamu