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Betreiben Indexfonds Agrarspekulation?: Erläuterungen zum Geschäftsmodell und zum weiteren Forschungsbedarf

Author

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  • Prehn, Sören
  • Glauben, Thomas
  • Pies, Ingo
  • Will, Matthias Georg
  • Loy, Jens-Peter

Abstract

Indexfonds sind aufgrund ihrer Terminmarktgeschäfte mit Agrarrohstoffen ins Zentrum öffentlicher Aufmerksamkeit und Kritik geraten. Hierzu kursieren in den Medien zahlreiche Falschinformationen, deren Korrektur sich durch klar identifizierbare Forschungslücken der empirischen Literatur verzögert hat. Gleichwohl können folgende Erkenntnisse helfen, die Debatte zu versachlichen: Indexfonds folgen einer passiven Handelsstrategie. Sie zeichnen einen Markttrend nach. Hiervon geht eine preisstabilisierende Wirkung aus. Deshalb ist zu befürchten, dass regulatorische Einschränkungen der Geschäftsaktivität von Indexfonds in Form von strengen Positionslimits oder Preislimits der Funktionsweise von Terminmärkten nicht zuträglich, sondern abträglich sind.

Suggested Citation

  • Prehn, Sören & Glauben, Thomas & Pies, Ingo & Will, Matthias Georg & Loy, Jens-Peter, 2013. "Betreiben Indexfonds Agrarspekulation?: Erläuterungen zum Geschäftsmodell und zum weiteren Forschungsbedarf," IAMO Discussion Papers 158731, Institute of Agricultural Development in Transition Economies (IAMO).
    • Handle: RePEc:ags:iamodp:158731
    DOI: 10.22004/ag.econ.158731
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    References listed on IDEAS

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    1. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2014. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 315-333, June.
    2. Pies, Ingo & Prehn, Sören & Glauben, Thomas & Will, Matthias Georg, 2013. "Nahrungssicherheit und Agrarspekulation: Was ist politisch zu tun?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 93(2), pages 103-109.
    3. Irwin, Scott H. & Sanders, Dwight R. & Merrin, Robert P., 2009. "Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 41(2), pages 377-391, August.
    4. 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.
    5. Brunetti, Celso & Reiffen, David, 2014. "Commodity index trading and hedging costs," Journal of Financial Markets, Elsevier, vol. 21(C), pages 153-180.
    6. Westerhoff, Frank, 2003. "Speculative markets and the effectiveness of price limits," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 493-508, December.
    7. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
    8. Dark, Jonathan, 2012. "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2717-2728.
    9. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
    10. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers CoFie-03-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    11. ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013. "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 824-836.
    12. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
    13. Scott Willenbrock, 2011. "Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle," Papers 1109.1256, arXiv.org.
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    1. Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014. "The impact of long-only index funds on price discovery and market performance in agricultural futures markets [Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an la," IAMO Discussion Papers 147, Leibniz Institute of Agricultural Development in Transition Economies (IAMO).
    2. Loy, Jens-Peter (ed.), 2014. "Marktwirtschaftliche Koordination: Möglichkeiten und Grenzen. Symposium anlässlich des 75. Geburtstages von Prof. Dr. Dr. h.c. mult. Ulrich Koester," Studies on the Agricultural and Food Sector in Transition Economies, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), volume 77, number 77.
    3. Pies, Ingo, 2015. "Kommentar zur Spekulation mit Agrarrohstoffen: Eine Replik auf Christian Conrad," Discussion Papers 2015-11, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    4. Steinhübel, Linda & Prehn, Sören & Brümmer, Bernhard & Pies, Ingo & Will, Matthias Georg, "undated". "The impact of index funds on grain futures markets revisited," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261428, European Association of Agricultural Economists.
    5. Pies, Ingo, 2013. "Personen, Organisationen, Ordnungsregeln: Der demokratische Diskurs muss zwei Defizite aufarbeiten - ein Interview zur Bankenmoral," Discussion Papers 2013-18, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    6. Prehn, S. & Glauben, T. & Loy, J.-P. & Pies, I. & Will, M.G., . "Der Einfluss von long-only-Indexfonds auf die Preisbildung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 50.
    7. Pies, Ingo & Will, Matthias Georg, 2013. "Finanzspekulation mit Agrarrohstoffen: Analyse und Bewertung aus wirtschaftsethischer Sicht," Discussion Papers 2013-24, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    8. Pies, Ingo & Will, Matthias Georg, 2013. "Finanzspekulation mit Agrarrohstoffen: Wie (Wirtschafts-)Ethik und (Agrar-)Ökonomik gemeinsam einem Diskurs- und Politik-Versagen entgegentreten können," Discussion Papers 2013-12, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    9. Will, Matthias Georg & Pies, Ingo, 2014. "Discourse and regulation failures: The ambivalent influence of NGOs on political organizations," Discussion Papers 2014-2, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    10. Loy, Jens-Peter & Schmitz, P. Michael & Glauben, Thomas & Djuric, Ivan & Götz, Linde & Pàll, Zsombor & Perekhozhuk, Oleksandr & Prehn, Sören & Renner, Swetlana & Hermann, Roland & Pies, Ingo & Will, M, 2014. "Marktwirtschaftliche Koordination: Möglichkeiten und Grenzen. Symposium anlässlich des 75. Geburtstages von Prof. Dr. Dr. h.c. mult. Ulrich Koester," Studies on the Agricultural and Food Sector in Transition Economies 200287, Institute of Agricultural Development in Transition Economies (IAMO).
    11. Prehn, Soren & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014. "Der Einfluss Von Long-Only-Indexfonds Auf Die Preisbildung Und Das Marktergebnis An Warenterminmärkten," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187363, German Association of Agricultural Economists (GEWISOLA).
    12. 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.

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General

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