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The Impact of Index Funds in Commodity Futures Markets: A Systems Approach
11 references·16 citing·41 second hop
The Impact of Index Funds in Commodity Futures Markets: A Systems Approach (2011)The Impact of Index Funds in Commodity Fu…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Index Funds, Financialization, and Commodity Futures Markets (2011)Index Funds, Financialization…How to Understand High Food Prices (2010)How to Understand High Food P…Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Devil or Angel? The Role of S…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. (1991)Seasonality in Stock Price Me…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …The "Speculative Efficiency" Hypothesis (1980)The "Speculative Efficiency" …Tests of Rational Expectations in the Forward Exchange Market (1980)Tests of Rational Expectation…An update on speculation and financialization in commodity markets (2018)An update on speculation and …The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)The impact of speculation on …The impact of investor sentiment on returns and conditional volatility in U.S. futures markets (2016)The impact of investor sentim…Speculators, Prices, and Market Volatility (2016)Speculators, Prices, and Mark…Financial crises and the nature of correlation between commodity and stock markets (2016)Financial crises and the natu…The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets (2014)The Role of Index Trading in …Speculative bubbles in agricultural prices (2014)Speculative bubbles in agricu…Modelling futures price volatility in energy markets: Is there a role for financial speculation? (2014)Modelling futures price volat…Does the choice of performance measure influence the evaluation of commodity investments? (2014)Does the choice of performanc…Convective Risk Flows in Commodity Futures Markets (2014)Convective Risk Flows in Comm…Volatility transmission in agricultural futures markets (2013)Volatility transmission in ag…The Financialization of Commodity Markets (2013)The Financialization of Commo…Speculative trading and WTI crude oil futures price movement: An empirical analysis (2013)Speculative trading and WTI c…Effects of Index-Fund Investing on Commodity Futures Prices (2013)Effects of Index-Fund Investi…Financialization and Structural Change in Commodity Futures Markets (2012)Financialization and Structur…Commodity Investing (2012)Commodity InvestingNoise Trader Risk in Financial Markets (1990)The Noise Trader Approach to Finance (1990)Understanding Crude Oil Prices (2008)Commodity Index Investing and Commodity Futures Prices (2009)Testing the Masters Hypothesis in commodity futures markets (2011)Drivers and triggers of international food price spikes and volatility (2013)The pricing of commodity contracts (1976)The Economics of Grain Price Volatility (2011)New Evidence on the Financialization of Commodity Markets (2014)Financialization in commodity markets: A passing trend or the new normal? (2015)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Currency Hedging for International Portfolios (1993)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Short- Term Interest Rates as Predictors of Inflation (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Volatility spillover between oil and agricultural commodity markets (2012)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach (2015)Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak (2021)Commodity Financialization and Information Transmission (2022)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)An investigation of risk and return in forward foreign exchange (1984)
this work references cited by second hop

References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 2010How to Understand High Food Prices738 cited
  • 2011Index Funds, Financialization, and Commodity Futures Markets488 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1980The "Speculative Efficiency" Hypothesis402 cited
  • 2009Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)342 cited
  • 1991Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.218 cited
  • 1980Tests of Rational Expectations in the Forward Exchange Market110 cited

Cited by

  • 2014Convective Risk Flows in Commodity Futures Markets245 cited
  • 2012Financialization and Structural Change in Commodity Futures Markets218 cited
  • 2016Speculators, Prices, and Market Volatility135 cited
  • 2016Financial crises and the nature of correlation between commodity and stock markets126 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2013The Financialization of Commodity Markets119 cited
  • 2016The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies115 cited
  • 2013Volatility transmission in agricultural futures markets98 cited
  • 2012Commodity Investing97 cited
  • 2018An update on speculation and financialization in commodity markets96 cited
  • 2014Modelling futures price volatility in energy markets: Is there a role for financial speculation?89 cited
  • 2014Speculative bubbles in agricultural prices88 cited
  • 2013Effects of Index-Fund Investing on Commodity Futures Prices87 cited
  • 2013Speculative trading and WTI crude oil futures price movement: An empirical analysis81 cited
  • 2014The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets53 cited
  • 2016The impact of investor sentiment on returns and conditional volatility in U.S. futures markets52 cited
  • 2014Does the choice of performance measure influence the evaluation of commodity investments?35 cited