The Impact of Indexing in the Equity and Commodity Markets

11 Pages Posted: 7 Jun 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Joseph Eagleeye

Premia Research LLC

Date Written: March 20, 2001

Abstract

The impact of indexing is exceptionally well documented in the equity markets. The same has not yet been the case for the commodity markets. Our empirical results suggest that one should see increased price-pressure effects in the commodity markets with any increase in the popularity of index-based commodity investments. Our results also suggest one additional subtle point: when comparing price-pressure results across commodities, it is not just the amount of passive investment that matters; how risky the opportunity is for market professionals to take advantage appears to also be a very important factor.

Keywords: commodity futures, index effect

JEL Classification: G1, G11

Suggested Citation

Till, Hilary and Eagleeye, Joseph, The Impact of Indexing in the Equity and Commodity Markets (March 20, 2001). Available at SSRN: https://ssrn.com/abstract=2615212 or http://dx.doi.org/10.2139/ssrn.2615212

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
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HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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