Energy futures prices and commodity index investment: New evidence from firm-level position data

Dwight R. Sanders, Scott H. Irwin

Research output: Contribution to journalArticlepeer-review


This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency daily position data for NYMEX crude oil, heating oil, RBOB gasoline, and natural gas that are available from a representative large commodity index fund ("the Fund") from February 13, 2007 through May 30, 2012. Simple correlation tests, difference-in-means tests, and Granger causality tests generally fail to reject the null hypothesis that changes in Fund positions are unrelated to subsequent returns in all four energy futures markets. We also fail to find any evidence that Fund positions are related to price movements in the WTI crude oil futures market using Singleton's (2014) long-horizon regression specification. Our results suggest Singleton's original finding of significant impacts and high levels of predictability may be simply an artifact of the method used to impute crude oil positions of index investors in a particular sample period. Overall, the empirical tests in this study fail to find compelling evidence of predictive links between commodity index investment and changes in energy futures prices.

Original languageEnglish (US)
Pages (from-to)S57-S68
JournalEnergy Economics
Issue numberS1
StatePublished - Dec 1 2014


  • Bubble
  • Commodity
  • Energy prices
  • Futures market
  • Index funds
  • Michael Masters

ASJC Scopus subject areas

  • Economics and Econometrics
  • General Energy


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