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New Evidence That Index Traders Did Not Drive Bubbles in Grain Futures Markets
- Source :
- Journal of Agricultural and Resource Economics, Vol 42, Iss 1, Pp 45-67 (2017)
- Publication Year :
- 2017
- Publisher :
- Western Agricultural Economics Association, 2017.
-
Abstract
- 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.
- Subjects :
- index investment
prices
speculation
Agriculture
Subjects
Details
- Language :
- English
- ISSN :
- 10685502 and 23278285
- Volume :
- 42
- Issue :
- 1
- Database :
- Directory of Open Access Journals
- Journal :
- Journal of Agricultural and Resource Economics
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.52466de85e44e12a9a8a64f104f6852
- Document Type :
- article
- Full Text :
- https://doi.org/10.22004/ag.econ.252754