Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis
Gunther Capelle-Blancard and
Dramane Coulibaly
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Abstract:
This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to take into account the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.
Keywords: Speculation; Financialization; Food Crisis; Soft Commodities; Index Funds; Panel Granger Causality; financiarisation; crise alimentaire; fonds indiciels; causalité àla Granger en panel (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)
Published in International Economics, 2012, 126-127, pp.51-72. ⟨10.1016/S2110-7017(13)60036-0⟩
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Related works:
Working Paper: Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis (2012)
Journal Article: Index trading and agricultural commodity prices: A panel Granger causality analysis (2011) 
Working Paper: Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis (2011) 
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00854079
DOI: 10.1016/S2110-7017(13)60036-0
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