Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing
Yan L, Irwin S, Sanders D. Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing. Journal Of Commodity Markets 2022, 26: 100195. DOI: 10.1016/j.jcomm.2021.100195.Peer-Reviewed Original ResearchCommodity futures marketsS&P GSCIFutures marketGoldman Sachs Commodity IndexCommodity futures pricesLong-short strategyCumulative abnormal returnsAnnual rebalancingCommodity indicesFutures pricesRebalancing periodsTrade effectsAbnormal returnsTrade theoryFinancial investorsS&PRebalancingCommodityGSCIInvestorsMarketPriceReturnImpactNext week
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