Several studies employ mapping algorithms to infer index positions in WTI crude oil futures from positions in agricultural futures and report an economically large and statistically significant impact of index positions on crude oil futures prices. In this article, we provide direct evidence...

Annual rebalancing of the S&P GSCI provides a novel identification of the impact of predictable order flows from index investors in commodity futures markets. Using the 24 commodities included in the S&P GSCI for 2004–2019, we show that cumulative abnormal returns to a long-short strategy...

Many believe that index fund investment was the main driver of the 2007-2008 spike in commodity futures prices. One group of empirical studies finds evidence that commodity index investment directly or indirectly had a substantial impact on commodity futures prices. However, the data and methods...