Does Index Speculation Impact Commodity Prices? An Intraday Analysis


  • We thank the anonymous referees, the editor (Robert Van Ness), and the seminar participants at the University of Texas at San Antonio and the FMA meeting in 2011 for comments.

Corresponding author: University of Missouri-St. Louis, College of Business Administration One University Blvd, St. Louis, MO 63121-4400; Phone: (314) 516-6828; Fax: (314) 516-6420; E-mail:


Using intraday data, we find unidirectional causality from commodity index-linked futures to nonindex-linked commodity futures for up to one hour which disappears when using daily data. Also, the economic significance of index-linked to nonindex commodity transmission declines to zero within about an hour. Finally, we find that the magnitude of index-linked to nonindex return transmission is positively related to the amount of speculation, both long and short, in S&P GSCI commodity index futures.  We conclude that speculative pressures exerted by commodity index futures can impact nonindex commodities, mainly through the activity of uninformed, positive feedback traders.