Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis
This 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. This approach allows to test for causality on each market by accounting for the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.
|Date of creation:||Dec 2011|
|Contact details of provider:|| Postal: 113, rue de Grenelle, 75700 Paris SP07|
Phone: 33 01 53 68 55 00
Fax: 33 01 53 68 55 01
Web page: http://www.cepii.fr
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Guesnerie, Roger & Rochet, Jean-Charles, 1992.
"(De)Stabilizing Speculation on Futures Markets: an Alternative View Point,"
IDEI Working Papers
15, Institut d'Économie Industrielle (IDEI), Toulouse.
- Guesnerie, Roger & Rochet, Jean-Charles, 1993. "(De)stabilizing speculation on futures markets : An alternative view point," European Economic Review, Elsevier, vol. 37(5), pages 1043-1063, June.
- Guesnerie, R. & Rochet, J.C., 1992. "(De)Stabilizing Speculation on Futures Markets: An Alternative View Point," DELTA Working Papers 92-14, DELTA (Ecole normale supérieure).
- Guesnerie, R. & Rochet, J.C., 1993. "(De)stabilizing Speculation on Futures Markets: an Alternative View Point," Papers 93.299, Toulouse - GREMAQ.
- Tomek, William G., 1971. "A Note on Historical Wheat Prices and Futures Trading," Food Research Institute Studies, Stanford University, Food Research Institute, issue 01.
- Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012.
"Testing for Granger non-causality in heterogeneous panels,"
Elsevier, vol. 29(4), pages 1450-1460.
- Christophe Hurlin & Elena Dumitrescu, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Working Papers halshs-00224434, HAL.
- Elena Ivona Dumitrescu & Christophe Hurlin, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Post-Print hal-01385899, HAL.
- Hernandez, Manuel & Torero, Maximo, 2010. "Examining the dynamic relationship between spot and future prices of agricultural commodities," IFPRI discussion papers 988, International Food Policy Research Institute (IFPRI).
- Masahiro Kawai, 1983. "Spot and Futures Prices of Nonstorable Commodities Under Rational Expectations," The Quarterly Journal of Economics, Oxford University Press, vol. 98(2), pages 235-254.
- Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
- Dwight R. Sanders & Scott H. Irwin, 2010.
"A speculative bubble in commodity futures prices? Cross-sectional evidence,"
International Association of Agricultural Economists, vol. 41(1), pages 25-32, 01.
- Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009. "A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53050, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
- Stein, Jeremy C., 1987.
"Informational Externalities and Welfare-Reducing Speculation,"
3660740, Harvard University Department of Economics.
- Stein, Jeremy C, 1987. "Informational Externalities and Welfare-Reducing Speculation," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1123-1145, December.
- Hart, Oliver D & Kreps, David M, 1986.
"Price Destabilizing Speculation,"
Journal of Political Economy,
University of Chicago Press, vol. 94(5), pages 927-952, October.
- Gary Gorton & K. Geert Rouwenhorst, 2004.
"Facts and Fantasies about Commodity Futures,"
NBER Working Papers
10595, National Bureau of Economic Research, Inc.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Stewart Mayhew, 2002. "Competition, Market Structure, and Bid-Ask Spreads in Stock Option Markets," Journal of Finance, American Finance Association, vol. 57(2), pages 931-958, 04.
- Gunther Capelle-Blancard, 2010.
"Are derivatives dangerous? A literature survey,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated".
"Noise Trader Risk in Financial Markets,"
J. Bradford De Long's Working Papers
_124, University of California at Berkeley, Economics Department.
- B. Wade Brorsen & Charles M. Oellermann & Paul L. Farris, 1989. "The live cattle futures market and daily cash price movements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(4), pages 273-282, 08.
- Konya, Laszlo, 2006. "Exports and growth: Granger causality analysis on OECD countries with a panel data approach," Economic Modelling, Elsevier, vol. 23(6), pages 978-992, December.
- Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
- Anne E. Peck, 1976. "Futures Markets, Supply Response, and Price Stability," The Quarterly Journal of Economics, Oxford University Press, vol. 90(3), pages 407-423.
When requesting a correction, please mention this item's handle: RePEc:cii:cepidt:2011-28. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.