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New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets

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Cited by:

  1. Ederer, Stefan & Heumesser, Christine & Staritz, Cornelia, 2013. "The role of fundamentals and financialisation in recent commodity price developments: An empirical analysis for wheat, coffee, cotton, and oil," Working Papers 42, Austrian Foundation for Development Research (ÖFSE).
  2. Etienne, Xiaoli L., 2015. "Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices?," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205124, Agricultural and Applied Economics Association.
  3. Martin T. Bohl & Nicole Branger & Mark Trede, 2022. "Measurement errors in index trader positions data: Is the price pressure hypothesis still invalid?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 44(3), pages 1534-1553, September.
  4. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
  5. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
  6. Mei, Dexiang & Xie, Yutang, 2022. "U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?," Finance Research Letters, Elsevier, vol. 48(C).
  7. Bosch, David & Smimou, K., 2022. "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  8. Niaz Bashiri Behmiri & Matteo Manera & Marcella Nicolini, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," Working Papers 2016.17, Fondazione Eni Enrico Mattei.
  9. Chincarini, Ludwig B. & Moneta, Fabio, 2021. "The challenges of oil investing: Contango and the financialization of commodities," Energy Economics, Elsevier, vol. 102(C).
  10. Boyd, Naomi E. & Harris, Jeffrey H. & Li, Bingxin, 2018. "An update on speculation and financialization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 91-104.
  11. Modena, Matteo, 2011. "Agricultural commodities and financial markets," MPRA Paper 36416, University Library of Munich, Germany, revised 30 Sep 2011.
  12. Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," NBP Working Papers 213, Narodowy Bank Polski.
  13. Areal, Francisco José & Balcombe, Kevin & Rapsomanikis, George, 2016. "Testing for bubbles in agriculture commodity markets," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 16(01), June.
  14. Cornelia Staritz & Bernhard Tröster & Jan Grumiller & Felix Maile, 2023. "Price-Setting Power in Global Value Chains: The Cases of Price Stabilisation in the Cocoa Sectors in Côte d’Ivoire and Ghana," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(4), pages 840-868, August.
  15. Dwight R. Sanders and Scott H. Irwin, 2013. "Measuring Index Investment in Commodity Futures Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  16. Torun Fretheim & Glenn Kristiansen, 2015. "Commodity market risk from 1995 to 2013: an extreme value theory approach," Applied Economics, Taylor & Francis Journals, vol. 47(26), pages 2768-2782, June.
  17. Stephan Schulmeister, 2012. "Technical Trading and Commodity Price Fluctuations," WIFO Studies, WIFO, number 45238.
  18. Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131 [rev.], Leibniz Institute for Financial Research SAFE, revised 2016.
  19. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Yetkiner, Hakan, 2014. "Are there really bubbles in oil prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 631-638.
  20. Baines, Joseph, 2015. "Price and Income Dynamics in the Agri-Food System: A Disaggregate Perspective," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 157992, September.
  21. Miffre, Joëlle & Brooks, Chris, 2013. "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 230-240.
  22. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  23. Chatellier, Vincent, 2011. "Price volatility, market regulation and risk management: challenges for the future of the CAP," Working Papers 208110, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
  24. Ye, Shiyu & Karali, Berna, 2016. "The informational content of inventory announcements: Intraday evidence from crude oil futures market," Energy Economics, Elsevier, vol. 59(C), pages 349-364.
  25. Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013. "Commodity and Asset Pricing Models: An Integration," NBER Working Papers 19167, National Bureau of Economic Research, Inc.
  26. Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012. "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers 2012-26, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  27. Baines, Joseph, 2014. "Food Price Inflation as Redistribution: Towards a New Analysis of Corporate Power in the World Food System (Preprint)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(1), pages 79-112.
  28. 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.
  29. Pies, Ingo, 2014. "Wirtschaftsethik der Welternährung," Discussion Papers 2014-13, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  30. Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
  31. Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
  32. Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021. "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, vol. 22(C).
  33. Burns, Christopher B. & Prager, Daniel L., 2024. "Do agricultural swaps co-move with equity markets? Evidence from the COVID-19 crisis," Journal of Commodity Markets, Elsevier, vol. 34(C).
  34. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
  35. Martin T. Bohl & Nicole Branger & Mark Trede, 2019. "Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?," CQE Working Papers 8019, Center for Quantitative Economics (CQE), University of Muenster.
  36. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
  37. Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
  38. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
  39. Georg Lehecka, 2015. "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, vol. 49(2), pages 575-603, September.
  40. El Montasser, Ghassen & Malek Belhoula, Mohamed & Charfeddine, Lanouar, 2023. "Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities," Resources Policy, Elsevier, vol. 81(C).
  41. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Mokni, Khaled, 2021. "Detection of bubbles in WTI, brent, and Dubai oil prices: A novel double recursive algorithm," Resources Policy, Elsevier, vol. 70(C).
  42. Georg V. Lehecka, 2014. "Have food and financial markets integrated?," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2087-2095, June.
  43. Marie Steen & Ole Gjolberg, 2013. "Are commodity markets characterized by herd behaviour?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 79-90, January.
  44. Çınar, Gökhan & Uzmay, Ayse, 2017. "Does Fear (Vix Index) Incite Volatility In Food Prices?," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 5(2), April.
  45. Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012. "Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research," Discussion Papers 2012-27, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  46. Bredin, Don & Potì, Valerio & Salvador, Enrique, 2023. "Revisiting the Silver Crisis," Journal of Commodity Markets, Elsevier, vol. 30(C).
  47. Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
  48. Will, Matthias Georg & Pies, Ingo, 2014. "Insiderhandel und die Regulierung der Kapitalmärkte: Ein Beitrag zur MiFID-Debatte," Discussion Papers 2014-7, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  49. Adjemian, Michael K. & Janzen, Joseph & Carter, Colin A. & Smith, Aaron, 2014. "Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement," Economic Research Report 167369, United States Department of Agriculture, Economic Research Service.
  50. Gabriel J. Power & John R. C. Robinson, 2013. "Commodity futures price volatility, convenience yield and economic fundamentals," Applied Economics Letters, Taylor & Francis Journals, vol. 20(11), pages 1089-1095, July.
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