Capelle-Blancard, Gunther; Coulibaly, Dramane - In: Economie Internationale (2011) 126-127, pp. 51-72
This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to...