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Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis

Author

Listed:
  • Gunther Capelle-Blancard

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique)

  • Dramane Coulibaly

    (CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique)

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.

Suggested Citation

  • Gunther Capelle-Blancard & Dramane Coulibaly, 2012. "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Post-Print hal-00854079, HAL.
    • Handle: RePEc:hal:journl:hal-00854079
    DOI: 10.1016/S2110-7017(13)60036-0
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Speculation; Financialization; Food Crisis; Soft Commodities; Index Funds; Panel Granger Causality; financiarisation; crise alimentaire; fonds indiciels; causalité àla Granger en panel;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General

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