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 language | English (US) |
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Pages (from-to) | 45-67 |
Number of pages | 23 |
Journal | Journal of Agricultural and Resource Economics |
Volume | 42 |
Issue number | 1 |
State | Published - Jan 2017 |
Keywords
- Index investment
- Prices
- Speculation
ASJC Scopus subject areas
- Animal Science and Zoology
- Agronomy and Crop Science
- Economics and Econometrics