Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices

Several studies employ mapping algorithms to infer index positions in WTI crude oil futures from positions in agricultural futures and report an economically large and statistically significant impact of index positions on crude oil futures prices. In this article, we provide direct evidence that the apparent impact of index investment based on mapping algorithms is spurious. Specifically, an idiosyncratic spike in agricultural index positions during 2007–08, coupled with the spike in oil prices, causes the spurious impact of index investment on crude oil futures prices found in these earlier studies.