Treiben Indexfonds Agrarrohstoffpreise? Nein!

Literaturverzeichnis

Adämmer P. und Bohl M. T. (2015), Speculative Bubbles in Agricultural Prices, Quarterly Review of Economics and Finance 56, 67–76.10.1016/j.qref.2014.06.003Search in Google Scholar

Adämmer P., Bohl M. T. und von Ledebur E. O. (2014), Die Bedeutung von Agrarterminmärkten als Absicherungsinstrument für die deutsche Landwirtschaft, Thünen Report 14.Search in Google Scholar

Aulerich N. M., Irwin S. H. und Garcia P. (2012), Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files, Working Paper.10.3386/w19065Search in Google Scholar

Beckmann J., Belke A. und Czudaj R. (2015), The Impact of Global Liquidity on Commodity Prices – Evidence from a Markov-Switching Vector Error Correction Model, Journal of Banking and Finance, erscheint demnächst.10.1016/j.jbankfin.2014.04.007Search in Google Scholar

Belke A., Bordon I. und Volz U. (2012), Effects of Global Liquidity on Commodity and Food Prices, World Development 44, 31–43.10.1016/j.worlddev.2012.12.009Search in Google Scholar

Bikhchandani S., Hirshleifer D. und Welch I. (1992), A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy 100, 992–1026.10.1086/261849Search in Google Scholar

Bohl M. T., Ott H. und von Ledebur E. O. (2015), Kurzfristige Dynamik von Preisbildungsprozessen deutscher Agrarrohstoffe, Thünen Report 28.Search in Google Scholar

Bruno V. G., Büyüksahin B. und Robe M. A. (2013), The Financialization of Food? Working Paper.Search in Google Scholar

Büyüksahin B. und Robe M. A. (2014), Speculators, Commodities and Cross-Market Linkages, Journal of International Money and Finance 42, 38–70.10.1016/j.jimonfin.2013.08.004Search in Google Scholar

Capelle-Blancard G. und Coulibaly D. (2011), Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis, International Economics 126, 51–72.10.3917/ecoi.126.0051Search in Google Scholar

Cheng I.-H. und Xiong W. (2013), The Financialization of Commodity Markets, Working Paper.10.3386/w19642Search in Google Scholar

Commodity Futures Trading Commission (2008), Staff Report on Commodity Swap Dealers and Index Traders with Commission Recommendations.Search in Google Scholar

De Long J. B., Shleifer A., Summers L. H. und Waldman R. J. (1990), Positive Feedback Investment Strategies and Destabilizing Rational Expectations, Journal of Finance 45, 379–95.10.1111/j.1540-6261.1990.tb03695.xSearch in Google Scholar

Ederington L. und Lee J. H. (2002), Who Trades Futures and How: Evidence from the Heating Oil Market, Journal of Business 75, 353–73.10.1086/338706Search in Google Scholar

Etienne X. L., Irwin S. C. und Garcia P. (2015), Price Explosiveness, Speculation, and Grain Futures Prices, American Journal of Agricultural Economics 97, 65–87.10.1093/ajae/aau069Search in Google Scholar

Fama E. F. (1965), The Behaviour of Stock Markets Prices, Journal of Business 38, 34–105.10.1086/294743Search in Google Scholar

Fama E. F. und MacBeth J. (1973), Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 71, 607–36.10.1086/260061Search in Google Scholar

Gilbert C. L. (2010a), How to Understand High Food Prices? Journal of Agricultural Economics 61, 398–425.10.1111/j.1477-9552.2010.00248.xSearch in Google Scholar

Gilbert C. L. (2010b), Speculative Influences on Commodity Futures Prices 2006–2008, Working Paper, University of Trento.Search in Google Scholar

Gilbert C. L. und Pfuderer S. (2012), Index Funds Do Impact Agricultural Prices, Working Paper.Search in Google Scholar

Gilbert C. L. und Pfuderer S. (2014), The Financialization of Food Commodity Markets, in R. Jha, T. Gaiha und A. Deolalikar, Hrsg., Handbook on Food: Demand, Supply, Sustainability and Security.Search in Google Scholar

Granger C. W. J. (1969), Investigating Causal Relations by Econometric Models, Econometrica 37, 424–38.10.2307/1912791Search in Google Scholar

Gutierrez L. (2013), Speculative Bubbles in Agricultural Commodity Markets, European Review of Agricultural Economics 40, 217–38.10.1093/erae/jbs017Search in Google Scholar

Haile M. G., Kalkuhl M. und von Braun J. (2015), Worldwide Acreage and Yield Response to International Price Change and Volatility: A Dynamic Panel Data Analysis for Wheat, Rice, Corn, and Soybeans, American Journal of Agricultural Economics, erscheint demnächst.10.1007/978-3-319-28201-5_7Search in Google Scholar

Hamilton J. D. (1994), Time Series Analysis, Princeton University Press.10.1515/9780691218632Search in Google Scholar

Hamilton J. D. und Wu J. C. (2013), Effects of Index-Fund Investing on Commodity Futures Prices, Working Paper.10.2139/ssrn.2321280Search in Google Scholar

Ibragimov R. und Muller U. K. (2010), t-Statistic Based Correlation and Heterogeneity Robust Inference, Journal of Business and Economic Statistics 28, 453–468.10.1198/jbes.2009.08046Search in Google Scholar

Irwin S. H. (2013), Commodity Index Investment and Food Prices: Does the Masters Hypothesis Explain Recent Price Spikes? Agricultural Economics 44, 29–41.10.1111/agec.12048Search in Google Scholar

Irwin S. H. und Sanders D. R. (2012), Testing the Masters Hypothesis in Commodity Futures Markets, Energy Economics 34, 256–69.10.1016/j.eneco.2011.10.008Search in Google Scholar

Kuserk G. (2010), Speculation and Hedging, in R. W. Kolb und J. A. Overdahl, Hrsg., Financial Derivatives. Pricing and Risk Management, Kolb Series in Finance, Wiley & Sons, Hoboken, 43–55.10.1002/9781118266403.ch3Search in Google Scholar

Masters M. W. (2008), Testimony before the Committee on Homeland Security and Governmental Affairs, United States Senat.Search in Google Scholar

McPhail L. L., Du X. und Muhammad A. (2012), Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy, Journal of Agricultural and Applied Economics 44, 401–10.10.1017/S107407080000050XSearch in Google Scholar

Newbold P. (1982), Causality Testing in Economics, in Anderson OD, Hrsg, Time Series Analysis: Theory and Practice, North Holland Publishing, 701–16.Search in Google Scholar

Nofsinger J. R. und Sias R. W. (1999), Herding and Feedback Trading by Institutional and Individual Investors, Journal of Finance 54, 2263–95.10.1111/0022-1082.00188Search in Google Scholar

Sanders D. R. und Irwin S. H. (2010), A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence, Agricultural Economics 44, 25–32.10.1111/j.1574-0862.2009.00422.xSearch in Google Scholar

Sanders D. R. und Irwin S. H. (2011), New Evidence on the Impact of Index Funds in US Grain Futures Markets, Canadian Journal of Agricultural Economics 59, 519–32.10.1111/j.1744-7976.2011.01226.xSearch in Google Scholar

Sanders D. R. und Irwin S. H. (2013), Do Index Traders Drive Commodity Futures Prices? New Evidence from Daily Position Data, Working Paper.Search in Google Scholar

Stoll H. R. und Whaley R. E. (2010), Commodity Index Investing and Commodity Futures Prices, Journal of Applied Finance 20, 7–46.10.2139/ssrn.1478195Search in Google Scholar

Stoll H. R. und Whaley R. E. (2011), Commodity Index Investing: Speculation or Diversification, The Journal of Alternative Investments 14, 50–60.10.3905/jai.2011.14.1.050Search in Google Scholar

Summers L. H. (1986), Does the Stock Market Rationally Reflect Fundamental Values, Journal of Finance 41, 591–601.10.1111/j.1540-6261.1986.tb04519.xSearch in Google Scholar

Tadesse G. G., Algieri B., Kalkuhl M. und von Braun J. (2014), Drivers and triggers of international food price spikes and volatility, Food Policy 47, 117–28.10.1016/j.foodpol.2013.08.014Search in Google Scholar

Tang K. und Xiong W. (2012), Index Investment and Financialization of Commodities, Financial Analysts Journal 68, 54–74.10.2469/faj.v68.n6.5Search in Google Scholar

US Senate Permanent Subcommittee on Investigations (2009), Excessive Speculation in the Wheat Market, US Government Printing Office, Washington.Search in Google Scholar

Valkanov R. (2003), Long-Horizon Regressions: Theoretical Results and Applications, Journal of Financial Economics 68, 201–232.10.1016/S0304-405X(03)00065-5Search in Google Scholar

Will M. G., Prehen S., Pies I. und Glauben T. (2013), Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung, List Forum für Finanz- und Wirtschaftspolitik 39, 16–45.10.1007/BF03373038Search in Google Scholar