Does Index Speculation Impact Commodity Prices? An Intraday Analysis

Yiuman Tse; Michael R. Williams

doi:10.1111/fire.12007

Does Index Speculation Impact Commodity Prices? An Intraday Analysis

Yiuman Tse, Michael R. Williams

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	The Financial Review
Volume	48
DOIs	https://doi.org/10.1111/fire.12007
State	Published - Jan 8 2013

Disciplines

Economics
Macroeconomics

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10.1111/fire.12007License: Unspecified

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title = "Does Index Speculation Impact Commodity Prices? An Intraday Analysis",

author = "Yiuman Tse and Williams, {Michael R.}",

note = "Using intraday data, we find unidirectional causality from commodity index‐linked futures to nonindex‐linked commodity futures for up to one hour which disappea",

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doi = "10.1111/fire.12007",

language = "American English",

volume = "48",

journal = "The Financial Review",

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AU - Tse, Yiuman

AU - Williams, Michael R.

N1 - Using intraday data, we find unidirectional causality from commodity index‐linked futures to nonindex‐linked commodity futures for up to one hour which disappea

PY - 2013/1/8

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UR - https://papers.ssrn.com/sol3/Delivery.cfm/fire12007.pdf?abstractid=2290444&mirid=2

U2 - 10.1111/fire.12007

DO - 10.1111/fire.12007

M3 - Article

VL - 48

JO - The Financial Review

JF - The Financial Review

ER -

Does Index Speculation Impact Commodity Prices? An Intraday Analysis

Disciplines

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