The order flow cost of index rolling in commodity futures markets
Irwin S, Sanders D, Yan L. The order flow cost of index rolling in commodity futures markets. Applied Economic Perspectives And Policy 2022, 45: 1025-1050. DOI: 10.1002/aepp.13297.Peer-Reviewed Original ResearchSunshine 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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