投機資金が穀物先物価格に与える影響

抄録

Since 2000, more and more investors have come to be interested in the commodity futures market. Institutional investors began to participate in commodity index investments provided from index funds, because the equity and bond market's expected revenue had declined. The objective of this study is to judge whether agricultural futures' prices depend on traders' net long position. We divided the traders' into two categories : 'index traders' and 'money managers'. Then we conducted Granger's causality test to check what kind of investment was having an impact on agricultural futures' prices. Using the volatility of futures' prices, We could observe different bearings by index traders and money managers.