Commodity Index Investing: Investigating the Relationship between Commodity Index Investment Flows and Futures Prices Using a Non-linear Granger Causality Approach

Commodity Index Investing: Investigating the Relationship between Commodity Index Investment Flows and Futures Prices Using a Non-linear Granger Causality Approach

The appearance in the late 1990s of commodity index investing funds and the increasing popularity of commodities as an asset class has led numerous market participants and academics to blame index investing for creating an artificial demand for commodities and thus to inflate commodity prices. While...

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Bibliographic Details
Main Author: Rusescu, Filip
Format: Others
Published: 2013
Online Access:http://spectrum.library.concordia.ca/977312/1/Rusescu_MSc_F2013.pdf
Rusescu, Filip <http://spectrum.library.concordia.ca/view/creators/Rusescu=3AFilip=3A=3A.html> (2013) Commodity Index Investing: Investigating the Relationship between Commodity Index Investment Flows and Futures Prices Using a Non-linear Granger Causality Approach. Masters thesis, Concordia University.

Internet

http://spectrum.library.concordia.ca/977312/1/Rusescu_MSc_F2013.pdf
Rusescu, Filip <http://spectrum.library.concordia.ca/view/creators/Rusescu=3AFilip=3A=3A.html> (2013) Commodity Index Investing: Investigating the Relationship between Commodity Index Investment Flows and Futures Prices Using a Non-linear Granger Causality Approach. Masters thesis, Concordia University.

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