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Recently, commodity index investing has come under attack. A Staff Report by the U.S. Senate Permanent Subcommittee on Investigation (hereafter, the "subcommittee report") "…finds that there is significant and persuasive evidence to conclude that these commodity index traders, in the...
Persistent link: https://www.econbiz.de/10013116768
A number of seemingly unrelated commodities experienced simultaneous price spikes recently. Congress investigated the increase in prices and concluded that the price increases were not attributable to fundamentals but rather to commodity index investing. The purpose of this study is to evaluate...
Persistent link: https://www.econbiz.de/10012906058
Recently, commodity index investing has come under attack. A Staff Report by the US Senate Permanent Subcommittee on Investigation (hereafter, the “subcommittee report”) “…finds that there is significant and persuasive evidence to conclude that these commodity index traders, in the...
Persistent link: https://www.econbiz.de/10013011615
This paper examines the effects of the nondiscretionary trading demands of VIX exchangetradedproducts (ETPs) issuers on the prices and volumes in the VIX futures. We find thatthe ETPs’ information-less, mechanical rebalancing of futures positions to maintain theconstant maturity of the index...
Persistent link: https://www.econbiz.de/10013220185