New evidence that index traders did not drive bubbles in grain futures markets

Xiaoli L. Etienne, Scott H. Irwin, Philip Garcia

Research output: Contribution to journalArticle

Abstract

This paper analyzes the price impact of financial index investments in grain futures markets during bubble and non-bubble periods over January 2004-June 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.

Original languageEnglish (US)
Pages (from-to)45-67
Number of pages23
JournalJournal of Agricultural and Resource Economics
Volume42
Issue number1
StatePublished - Jan 2017

Keywords

  • Index investment
  • Prices
  • Speculation

ASJC Scopus subject areas

  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Economics and Econometrics

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