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

Arouri, 2010, Causal relationships between oil and stock prices: Some new evidence from gulf oil-exporting countries, International Economics, 122 Baumol, 1957, Speculation, profitability, and stability, Review of Economics and Statistics, 39, 263, 10.2307/1926042 Bohl, M., Stephan, P. 2012. Does Futures Speculation Destabilize Spot Prices? New Evidence For Commodity markets, Working Paper. Breusch, 1980, The LM test and its applications to model specification in econometrics, Review of Economic Studies, 47, 239, 10.2307/2297111 Brorsen, 1989, The live cattle futures market and daily cash price movements, Journal of Futures Markets, 9, 273, 10.1002/fut.3990090402 Brunetti, C., Büyüksahin, B. 2009. Is speculation destabilizing?, Working Paper. Büyüksahin, 2009 Büyüksahin, B., Robe, M., 2011. Does ‘paper oil’ Matter? Energy market financialization and equity-energy linkages, Working Paper. Capelle-Blancard, 2010, Are derivatives dangerous? A literature survey, International Economics, 123 Chari, 1990, Price stability and futures trading in commodities, The Quarterly Journal of Economics, 105, 527, 10.2307/2937798 Danthine, 1978, Information, futures prices, and stabilizing speculation, Journal of Economic Theory, 17, 79, 10.1016/0022-0531(78)90124-2 DeLong, 1990, Noise trader risk in financial markets, Journal of Political Economy, 98, 703, 10.1086/261703 Domanski, 2007, Financial investors and commodity markets, BIS Quarterly Review, March, 53 Emery, 1898 Fleming, 1999, The impact of energy derivatives on the crude oil market, Energy Economics, 21, 135, 10.1016/S0140-9883(99)00003-1 Frankel, 2010 Gilbert, C.L. 2010a. Speculative influence on commodities futures prices 2006-2008, UNCTAD Discussion Paper No. 197. Gilbert, 2010, Commodity speculation and commodity investment, Commodity Market Review, 25 Greene, 2003 Guesnerie, 1993, Destabilizing speculation on futures markets : An alternative view point, European Economic Review, 37, 1043, 10.1016/0014-2921(93)90108-M Hart, 1986, Price destabilizing speculation, Journal of Political Economy, 94, 927, 10.1086/261418 Hernandez, 2010 Hooker, 1901, The suspension of the Berlin produce exchange and its effect upon corn prices, Journal of the Royal Statistical Society, 64, 574, 10.2307/2979840 Hurlin, 2008 Kawai, 1983, Spot and futures prices of nonsotrable commodities under rational expectations, The Quarterly Journal of Economics, 98, 235, 10.2307/1885623 IMF, 2008 Irwin, 2011, Index funds, financialization, and commodity futures markets, Applied Economic Perspectives and Policy, 33, 1, 10.1093/aepp/ppq032 Kònya, 2006, Exports and growth: Granger causality analysis on OECD Countries with a panel data approach, Economic Modelling, 23, 978, 10.1016/j.econmod.2006.04.008 Mayhew, 2002, Competition, market structure, and bid-ask spreads in stock option markets, Journal of Finance, 57, 931, 10.1111/1540-6261.00447 Netz, 1995, The effect of futures markets and corners on storage and spot price variability, American Journal of Agricultural Economics, 77, 182, 10.2307/1243900 Peck, 1976, Futures markets, supply response and price stability, Quarterly Journal of Economics, 90, 407, 10.2307/1886041 Pesaran, 1999, Pooled mean group estimation of dynamic heterogeneous panels, Journal of the American Statistical Association, 94, 621, 10.1080/01621459.1999.10474156 Phillips, 1995, Fully modified least squares and vector autoregression, Econometrica, 63, 1023, 10.2307/2171721 Stein, 1987, Informational externalities and welfare-reducing speculation, Journal of Political Economy, 95, 1123, 10.1086/261508 Sanders, 2010, A speculative bubble in commodity futures prices? Crosssectional evidence, Agricultural Economics, 41, 25, 10.1111/j.1574-0862.2009.00422.x Sanders, 2011, New evidence on the impact of index funds in U.S. grain futures markets, Canadian Journal of Agricultural Economics, 59, 519, 10.1111/j.1744-7976.2011.01226.x Sanders, 2011, The impact of index funds in commodity futures markets: A systems approach, The Journal of Alternative Investments, 14, 40, 10.3905/jai.2011.14.1.040 Singleton, 2011 Stoll, 2010, Commodity index investing and commodity futures prices, Journal of Applied Finance, 1 Tang, 2011 Taylor, 1974, The influence of futures trading on cash cattle price variations, Food Research Institute Studies, 13, 29 Toda, 1995, Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66, 225, 10.1016/0304-4076(94)01616-8 Tomek, 1971, A note on historical wheat prices and futures trading, Food Research Institute Studies, 10, 109 Turnovsky, 1983, The determination of spot and futures prices with storable commodities, Econometrica, 51, 1363, 10.2307/1912279 Weaver, 1990, Does futures trading destabilize cash prices? Evidence from U.S. live beef cattle, Journal of Futures Markets, 2, 367, 10.1002/fut.3990020407 Gorton, 2006, Facts and fantasies about commodity futures, Financial Analysts Journal, 62, 47, 10.2469/faj.v62.n2.4083 Zellner, 1962, An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias, Journal of the American Statistical Association, 57, 348, 10.1080/01621459.1962.10480664