The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets
使用格兰杰因果和工具变量方法，研究指数基金持仓对美国谷物和油籽期货价格的影响，发现指数持仓变化能预测未来大宗商品价格指数变动。
Abstract We use both Granger‐causality and instrumental variables ( IV ) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger‐causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV ‐based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.