New Evidence That Index Traders Did Not Drive Bubbles in Grain Futures Markets

Autor:	Etienne, Xiaoli L., Irwin, Scott H., Garcia, Philip
Jazyk:	angličtina
Rok vydání:	2017
Předmět:	lcsh:Agriculture speculation Agricultural and Food Policy index investment lcsh:S Financial Economics prices
Zdroj:	Journal of Agricultural and Resource Economics, Vol 42, Iss 1, Pp 45-67 (2017)
ISSN:	2327-8285 1068-5502
Popis:	This paper analyzes the price impact of financial index investments in grain futures markets during bubble and non-bubble periods over January 2004ÐJune 2015. A recursive bubble-testing procedure is used to detect and date-stamp bubble periods in corn, soybean, and wheat markets. Granger causality tests are used to investigate the lead-lag dynamics between index-trader positions and weekly returns (price changes). Overall, the findings provide little support for the dual claims that (i) grain futures prices recently experienced large and long-lasting bubbles and (ii) index investment was a primary driver of those bubbles.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b7e969e27385844b71dd4a1bebd7472d https://ageconsearch.umn.edu/record/252754 Zobrazit plný text záznamu