Abstract

http://ssrn.com/abstract=1633908
 
 

References (8)



 
 

Citations (3)



 


 



Commodity Index Investing: Speculation or Diversification?


Hans R. Stoll


Vanderbilt University - Finance

Robert E. Whaley


Vanderbilt University - Finance

July 2, 2010


Abstract:     
A number of seemingly unrelated commodities experienced simultaneous price spikes recently. Congress investigated the increase in prices and concluded that the price increases were not attributable to fundamentals but rather to commodity index investing. The purpose of this study is to evaluate whether commodity index investing is a disruptive force in commodity futures market. We conclude that: (a) due to its passive, long-only nature, commodity index investing is not speculation and (b) commodity index flows, whether due to rolling over existing futures positions or establishing new ones, have little impact on futures prices.

Number of Pages in PDF File: 27

Keywords: commodity index investing, speculation, futures prices

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Date posted: July 5, 2010  

Suggested Citation

Stoll, Hans R. and Whaley, Robert E., Commodity Index Investing: Speculation or Diversification? (July 2, 2010). Available at SSRN: http://ssrn.com/abstract=1633908 or http://dx.doi.org/10.2139/ssrn.1633908

Contact Information

Hans R. Stoll
Vanderbilt University - Finance ( email )
401 21st Avenue South
Nashville, TN 37203
United States
615-322-3671 (Phone)
615-343-7177 (Fax)

Robert E. Whaley (Contact Author)
Vanderbilt University - Finance ( email )
401 21st Avenue South
Nashville, TN 37203
United States
615-343-7747 (Phone)
615-376-8879 (Fax)

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