The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures prices in particular. Index position data compiled by the CFTC are carefully compared. In the energy markets, index position...

Brazil's first ethanol futures contract, which was implemented in 2000, failed to offer sufficient liquidity to attract market agents. The purpose of this study is to determine whether the new ethanol futures contracts launched by BMF-BOVESPA in 2010 meet the requirements to render them...

Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show...

This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency daily position data for NYMEX crude oil, heating oil, RBOB gasoline, and natural gas that are available from a representative large...