Drivers of agricultural commodity prices since 2000

Inhaltsverzeichnis (Table of Contents)

• INTRODUCTION
• LITERATURE REVIEW
• Fundamental and political factors influencing food prices.
• Demand from developing countries
• Increasing oil price
• Expanded biofuel production
• Low stocks in agricultural commodities.
• Adverse meteorological conditions.
• Food policies.
• Other fundamental factors
• Financialization in the agricultural commodity market.
• Increasing financial speculation has no impact on agricultural commodity markets
• Increasing financial speculation is beneficial.
• Financial speculation is harmful to agricultural commodity markets
• Evidences for the impact of investor's sentiment on asset prices
• ANALYSIS OF POTENTIAL SENTIMENT PROXIES
• AAll Investor Sentiment Survey
• AAll data and limitations
• Implied volatility of S&P500 index options.
• First-day returns on initial public offerings.
• First-day IPO returns data and limitations.
• Closed-end fund discount.
• Closed-end fund discount data and limitation
• Open interest in the wheat futures market.
• Open interest data and limitations.
• Trading volume in the wheat futures market
• Trading volume data and limitation..
• Wheat futures returns.
• Limitations of wheat futures returns..
• EMPIRICAL EVIDENCE
• Descriptive Statistics of relevant variables.
• Construction of the composite sentiment index
• Preliminary sentiment index
• Controlling for macroeconomic influences..
• Controlling for the capital market..
• Comparison to other sentiment indices
• Does the sentiment index capture mood swings in the wheat market?
• Interdependence between investor sentiment and returns on wheat futures..
• Interdependence between SENT 1# and returns on wheat futures
• Dependence between investor sentiment and returns on wheat futures .........
• Simple linear time series regression analysis.......
• Multiple linear time series regression analysis.

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This dissertation examines the impact of investor sentiment on wheat futures returns, addressing the complexities of agricultural commodity price fluctuations since 2000. It aims to develop a comprehensive understanding of the interplay between fundamental factors, financial speculation, and investor sentiment in shaping wheat prices.
• The role of fundamental factors in agricultural commodity price dynamics.
• The influence of financialization and speculation on commodity markets.
• The impact of investor sentiment on wheat futures returns.
• The construction and validation of a sentiment index specific to the wheat market.
• The relationship between investor sentiment and wheat futures returns.

Zusammenfassung der Kapitel (Chapter Summaries)

• Chapter 1: Introduction provides an overview of the dissertation’s scope and research objectives, highlighting the importance of understanding the factors influencing agricultural commodity prices, particularly wheat. It explores the literature review, outlining the existing knowledge about fundamental factors, financialization, and sentiment.
• Chapter 2: Analysis of Potential Sentiment Proxies delves into the selection and analysis of potential sentiment proxies to construct a composite sentiment index. It examines various data sources, including surveys, market indicators, and trading activity, evaluating their relevance and limitations in capturing investor sentiment.
• Chapter 3: Empirical Evidence presents the empirical results of the study, including the construction of the composite sentiment index using principal component analysis (PCA) and the analysis of its impact on wheat futures returns through regression models. It also explores the robustness of the findings after controlling for other relevant factors.

Schlüsselwörter (Keywords)

The study focuses on agricultural commodity prices, investor sentiment, wheat futures returns, financial speculation, and the development and application of a sentiment index. It delves into the complexities of agricultural markets, exploring the interplay of fundamental factors, financialization, and investor sentiment.

Frequently Asked Questions

What are the main drivers of agricultural commodity prices since 2000?

Key drivers include fundamental factors (demand from developing countries, oil prices, biofuels, weather conditions) and financial speculation in the markets.

How does investor sentiment impact wheat futures returns?

The study finds that investor sentiment is statistically significant and predicts about 2.45% of the variation in wheat futures returns for the subsequent month.

What is "financialization" in the commodity market?

Financialization refers to the increasing role of financial motives, financial markets, and financial actors in the operation of the commodity markets, often linked to increased speculation.

How was the investor sentiment index constructed?

The index was created using Principal Component Analysis (PCA) based on monthly data from 2000 to 2013, incorporating both equity market proxies and wheat-specific proxies.

What fundamental factors were controlled for in the study?

The analysis controlled for macroeconomic influences, oil prices, and stock levels to ensure the robustness of the sentiment index's impact on wheat prices.