EFFECTS OF INDEX-FUND INVESTING ON COMMODITY FUTURES PRICES

• 成果类型: Article
• 署名作者: Hamilton, James D.; Wu, Jing Cynthia
• 署名单位: University of California System; University of California San Diego; University of Chicago
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12099
• 发表日期: 2015
• 页码: 187-205
• 关键词: efficient asset portfolios; normal backwardation; hedging pressure; MARKETS; OIL; returns; speculators; models; RISK; financialization

摘要

We develop a simple model of futures arbitrage that implies that if purchases by commodity index funds influence futures prices, then the notional positions of the index investors should help predict excess returns in these contracts. We find no evidence that the positions of index traders in agricultural contracts as identified by the Commodity Futures Trading Commission can help predict returns on the near futures contracts. Although there is some support that these positions might help predict changes in oil futures prices over 2006-2009, the relation breaks down out of sample.