Index trading and agricultural commodity prices: A panel Granger causality analysis
AbstractThis paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to take into account the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.
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Bibliographic InfoArticle provided by CEPII research center in its journal International Economics/Economie Internationale.
Volume (Year): (2011)
Issue (Month): 126-127 ()
Speculation; Financialization; Food Crisis; Soft Commodities; Index Funds; Panel Granger Causality;
Other versions of this item:
- Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Working Papers 2011-28, CEPII research center.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General
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