Annual rebalancing of the S&P Goldman Sachs Commodity Index (S&P GSCI) provides a novel identification of the impact of predictable order flows from index investors in commodity futures markets. Using the 24 commodities included in the S&P GSCI for 2004–2019, we show that cumulative abnormal returns to a long-short strategy peaked at 72 basis points in the middle of the week following the rebalancing period, but the impact declines to near zero within the next week. The findings show that the impact of order flows from financial investors on commodity futures prices is modest and temporary, consistent with the prediction of sunshine trading theory.

标准普尔高盛商品指数( S&P GSCI) 的年度再平衡提供了对商品期货市场指数投资者的可预测订单流影响的新识别。使用 2004-2019 年 S&P GSCI 中包含的 24 种商品，我们显示多空策略的累积异常收益在再平衡期后的一周中达到 72 个基点的峰值，但影响下降到接近零下个星期。研究结果表明，金融投资者的订单流对商品期货价格的影响是温和且暂时的，与阳光交易理论的预测一致。