The Impact of Indexing in the Equity and Commodity Markets

Hilary Till, Joseph Eagleeye: This is a working-paper version of an article, which later appeared in Indexes: Journal of Index Issues, Third Quarter, 2001.

Author(s) :

Hilary Till

Research Associate, EDHEC-Risk InstituteJoseph EagleeyePrincipal, Premia Capital Management, LLC

Presentation :

The price-pressure effects of index investments in the global stock markets are well documented.  And even when these effects are so well known, they show no sign of diminishing. Are other asset  classes similarly effected by indexing? The short answer is  yes: commodity investing is similarly  effected by the prevalence of indexed-based investments. In this article, we will begin by summarising the index effect in the equity markets, which has been widely published in both the popular financial press and in academic papers. Next we will carry out a study which will show that similar effects can be found in the commodity markets. And finally, we will discuss a preliminary model for explaining the magnitude of the index effect on commodity futures markets. Along the way, we will explain some of the arcane aspects of commodity futures markets in order for this article to be generally understood.
Pdf
The Impact of Indexing in the Equity and Commodity Markets...
(704.21 KB)
Type : Working paper
Date : le 03/02/2014
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

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