期刊名称：Journal of Agricultural and Resource Economics
印刷版ISSN：1068-5502
出版年度：2017
卷号：42
期号：1
页码：45-67
出版社：WAEA
摘要：This paper analyzes the price impact of financial index investments in grain futures marketsduring bubble and non-bubble periods over January 2004–June 2015. A recursive bubble-testingprocedure is used to detect and date-stamp bubble periods in corn, soybean, and wheat markets.Granger causality tests are used to investigate the lead-lag dynamics between index-traderpositions and weekly returns (price changes). Overall, the findings provide little support for thedual claims that (i) grain futures prices recently experienced large and long-lasting bubbles and(ii) index investment was a primary driver of those bubbles.
