Can we still blame index funds for the price movements in the agricultural commodities market?

Palazzi, Rafael Baptista; Pinto, Antônio Carlos Figueiredo; Klötzle, Marcelo Cabús; Meira, Erick

doi:10.1016/j.iref.2019.10.001

Cited by 13 publications

(10 citation statements)

References 35 publications

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“…For the first, despite the difficulty of comparison between existing studies due to the different methodologies adopted, most authors agree on the fact that the expansion of the consumption of biofuels has an upward impact on the price of food (Rezitis and Sassi, 2013). For the latter, there is an inherent complexity as pointed by Palazzi et al (2020) that even sophisticated models are not capable of capturing causal effects to speculation and the markets dynamics.…”

Section: Usd Change Ratementioning

confidence: 99%

The investigation of an event-based approach to improve commodities supply chain management

Sena¹,

Chemli²,

Chevalier

et al. 2022

BJO&PM

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Goal: Predicting the evolution of commodities price to improve anticipation to supply-chain disruptions is hard. We propose an approach based on an event detection model on data stream to assist experts in such task. The final goal is to report to experts a meaningful description of the most impactful events occurring around the world, to help them in their daily decision-making. Design / Methodology / Approach: This work results from a cross-fertilization between business management, Information Technology and Computer science. This work relies on an expert analysis and advanced AI engines, including a case study on a specific raw material and a literature review to define the parameters to supervise. Results: We propose a general architecture based on IT and business synergy. We conduce a general study on the factors influencing raw materials price fluctuations, namely events influencing supply and demand of the commodity. Finally, we present a case study of the events, which historically affected phosphates prices. Limitations of the investigation: An in-depth knowledge of the domain is needed to analyze and quantify the events impact on the supply chain. Practical implications: This approach was first designed for assisting raw material purchasers but it can potentially be reproduced to assist other decision-makers. Originality / Value: We propose a new approach on how to anticipate the implications of external events on supply chain disruption and raw materials price evolution. This method is multidisciplinary, involving expert domain knowledge and state-of-the-art artificial intelligence.

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Section: Usd Change Ratementioning

confidence: 99%

The investigation of an event-based approach to improve commodities supply chain management

Sena¹,

Chemli²,

Chevalier

et al. 2022

BJO&PM

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show abstract

“…Outro padrão entre os papers é a utilização de uma frequência semanal e a análise de um horizonte temporal que englobe a crise do subprime, como em Irwin (2013) e Palazzi et al (2020). O padrão semanal se deve à divulgação das informações do CFTC (Commodity Futures Trading Commission) sobre posição dos negociantes não comerciais, que se dá todas as sextas-feiras, assim, criando uma frequência semanal para os dados de especulação.…”

Section: Revisão De Literaturaunclassified

“…Os preços futuros são determinados de acordo com seus vencimentos. É mais corriqueiro entre os estudos o foco da análise no primeiro vencimento, com em Palazzi et al (2020) e Sanders e Irwin (2010). Neste estudo também é analisado o primeiro contrato a vencer de boi gordo, dado que é o contrato que geralmente possui maior volume de negociação.…”

Section: Os Preços Futuros De Boi Gordounclassified

“…Conforme será abordado no Capítulo 3, presume-te que os participantes que compõe o T de Working possuem boas informações acerca do mercado. Assim, altos preços podem diminuir o apetite dos especuladores, dado que estes atuam majoritariamente em posições long, e quanto maior o nível de preços, menor a probabilidade destes se elevarem, assim, diminuindo o incentivo à especulação (Palazzi et al, 2020). Esta explicação está atrelada à racionalidade do mercado.…”

Section: Especulação é Um Driver Dos Preços Futuros De Boi Gordo?unclassified

“…),Main et al (2018) eHamilton e Wu (2015). Mesmo sem significância estatística,Etienne et al (2015) também encontraram relação negativa entre preços de commodities agrícolas e especulação.Especificamente para o boi gordo, Hamilton e Wu (2015) ePalazzi et al (2020) também não encontraram efeitos da pressão especulativa sobre os preços.…”

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Especulação nos mercados futuros de boi gordo no Brasil

Santos¹

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Long‐short speculator sentiment in agricultural commodity markets

Borgards

Czudaj

2022

Int. J Fin Econ

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This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short speculators as a proxy for their market sentiment. We find evidence that the sentiment period returns are considerably positive and differ significantly from neutral sentiment periods for all commodities which underlines the sentiment's relevance. In line with the empirical literature, we can reject the argument of price manipulation as the price continues to develop into the direction of the sentiment period although long-short speculators trade non-directionally in the following. We rather indicate the existence of a short-term time-series momentum effect, which can be robustly identified without the requirement to define an external model parameter. From the superior sentiment-based momentum returns, we conclude that long-short speculators have valuable, exclusive information, which cannot be replicated by observing their trading activity with a time lag of eight trading days. We also find that a sentiment-based momentum strategy generates significantly higher returns than the long-short speculators have realized in the fifteen-year sample period which we attribute to the complexity of the long-short speculators' investment strategies.

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Can we still blame index funds for the price movements in the agricultural commodities market?

Cited by 13 publications

References 35 publications

The investigation of an event-based approach to improve commodities supply chain management

The investigation of an event-based approach to improve commodities supply chain management

Especulação nos mercados futuros de boi gordo no Brasil

Long‐short speculator sentiment in agricultural commodity markets

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