The impact of index funds on grain futures markets revisited
Ingo Pies and
Matthias Georg Will
No 261428, 2017 International Congress, August 28-September 1, 2017, Parma, Italy from European Association of Agricultural Economists
We analyse the impact of index investment on four grain futures markets by applying several vector auto-regression models, generalised impulse response functions (GIRF), and a structural break analysis. We also test for effects of long-short index funds, an aspect widely ignored so far. Index funds have some price-disturbing effects. These are, however, short-term and variable. In all markets, significant effects vanish after 2010 and we conclude that markets learned and adjusted to rising index investment. GIRF of different trader types imply that index investment serves actual hedging needs and does not generally contribute to the financialisation of futures markets.
Keywords: Agricultural and Food Policy; Marketing (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://ageconsearch.umn.edu/record/261428/files/St ... kets%20revisited.pdf (application/pdf)
http://ageconsearch.umn.edu/record/261428/files/St ... d.pdf?subformat=pdfa (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae17:261428
Access Statistics for this paper
More papers in 2017 International Congress, August 28-September 1, 2017, Parma, Italy from European Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().