New Evidence That Index Traders Did Not Drive Bubbles in Grain Futures Markets
| Autor: | Xiaoli L. Etienne, Scott H. Irwin, Philip Garcia |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: | |
| Zdroj: | Journal of Agricultural and Resource Economics, Vol 42, Iss 1, Pp 45-67 (2017) |
| Druh dokumentu: | article |
| ISSN: | 1068-5502 2327-8285 |
| DOI: | 10.22004/ag.econ.252754 |
| 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: | Directory of Open Access Journals |
| Externí odkaz: |
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