Commodity index investing: Speculation or diversification?

Journal of Alternative Investments

Volumn 14, Issue 1, 2011, Pages 50-60

  Stoll, Hans R ^a   Whaley, Robert E ^a  

^a VANDERBILT UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79960194801     PISSN: 15203255     EISSN: None     Source Type: Journal    
DOI: 10.3905/jai.2011.14.1.050     Document Type: Article

References (8)

1. Briese, S. The Commitments of Traders Bible: How to Profit from Insider Market Intelligence. John Wiley and Sons, Inc.: Hoboken, NJ, 2008.
2. Chance, D. Managed Futures and Their Role in Investment Portfolios. Institute of Chartered Financial Analysts, April 1994.
3. Granger, C.W.J. "Investigating Causal Relations by Econometric Models." Econometrica, 37 (1969), pp. 424-438.
4. Irwin, S., D.R. Sanders, and R.P. Merrin. "Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)." Working paper, Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, 2009.
5. Stoll, H.R., and R.E. Whaley. "Commodity Index Investing and Commodity Futures Prices." Journal of Applied Finance, Vol. 20, No 1 (2010), pp. 7-46.
6. U.S. Commodity Futures Trading Commission. "Commission Actions in Response to the 'Comprehensive Review of the Commitments of Traders Reporting Program.' " Federal Register, June 21, 2006.
7. -. "Staff Report on Commodity Swap Dealers & Index Traders with Commission Recommendations." September 2008.
8. U.S. Permanent Subcommittee on Investigations. "Excessive Speculation in the Wheat Market." June 24, 2009.