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- W3125862905 abstract "This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to take into account the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices." @default.
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- W3125862905 date "2012-05-01" @default.
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- W3125862905 title "Index trading and agricultural commodity prices: A panel Granger causality analysis" @default.
- W3125862905 doi "https://doi.org/10.3917/ecoi.126.0051" @default.
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