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Does Index Speculation Impact Commodity Prices? An Intraday Analysis

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  • Yiuman Tse
  • Michael R. Williams

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  • Yiuman Tse & Michael R. Williams, 2013. "Does Index Speculation Impact Commodity Prices? An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 48(3), pages 365-383, August.
    • Handle: RePEc:bla:finrev:v:48:y:2013:i:3:p:365-383
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    14. Tse, Yiuman & Booth, G Geoffrey, 1996. "Risk Premia in Foreign Currency Futures: A Reexamination," The Financial Review, Eastern Finance Association, vol. 31(3), pages 521-534, August.
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    18. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
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    21. Scott H. Irwin & Satoko Yoshimaru, 1999. "Managed futures, positive feedback trading, and futures price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(7), pages 759-776, October.
    22. Bahram Adrangi & Arjun Chatrath, 2008. "Do Commodity Traders Herd?," The Financial Review, Eastern Finance Association, vol. 43(3), pages 461-476, August.
    23. Kaufmann, Robert K. & Ullman, Ben, 2009. "Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices," Energy Economics, Elsevier, vol. 31(4), pages 550-558, July.
    24. Changyun Wang, 2002. "Information, Trading Demand, and Futures Price Volatility," The Financial Review, Eastern Finance Association, vol. 37(2), pages 295-315, May.
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    26. Ahmet Enis Kocagil, 1997. "Does futures speculation stabilize spot prices? Evidence from metals markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 115-125.
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    29. repec:bla:germec:v:10:y:2009:i::p:270-283 is not listed on IDEAS
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    2. Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
    3. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.

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