The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results

Scott Irwin and Dwight R. Sanders
Additional contact information
Dwight R. Sanders: University of Southern Illinois

No 27, OECD Food, Agriculture and Fisheries Papers from OECD Publishing

Abstract: This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the study finds no statistically significant relationship between changes in index and swap fund positions and increased market volatility. The evidence is strongest for agricultural futures markets because the data on index trader positions are measured with reasonable accuracy. The evidence is not as strong in the two energy markets examined here because of considerable uncertainty about the degree to which the available data actually reflect index trader positions in these markets.

Keywords: agricultural futures markets; futures price volatility; index funds and swaps; speculation; speculative bubbles (search for similar items in EconPapers)
Date: 2010-06-01
New Economics Papers: this item is included in nep-agr, nep-ene and nep-fmk
References: Add references at CitEc
Citations: View citations in EconPapers (74)

Downloads: (external link)
https://doi.org/10.1787/5kmd40wl1t5f-en (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oec:agraaa:27-en

Access Statistics for this paper

More papers in OECD Food, Agriculture and Fisheries Papers from OECD Publishing Contact information at EDIRC.
Bibliographic data for series maintained by ().