New Evidence That Index Traders Did Not Drive Bubbles in Grain Futures Markets
This paper analyzes the price impact of financial index investments in grain futures markets during bubble and non-bubble periods over January 2004ÐJune 2015. A recursive bubble-testing procedure is used to detect and date-stamp bubble periods in corn, soybean, and wheat markets. Granger causality t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Western Agricultural Economics Association
2017-01-01
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| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/252754 |