Over the last decade, global food price volatility has become a significant threat to food security. Many market participants and policymakers have long suspected a link between the unprecedented price rise and institutional investment in commodity futures markets; however, there has been considerable debate. Existing literature has largely focused on price level and volatility, with limited attention to how financialization affects the price discovery function of futures markets. This study examines whether and how index investment and speculative sentiment distort the price discovery efficiency of the futures market for indexed and non-indexed agricultural commodity futures in the USA. The empirical results of the panel quantile regression analysis indicate that both index investments and speculative sentiment significantly reduce the informational leadership of futures markets, particularly in higher quantiles, suggesting a shift from fundamentals-driven to sentiment-driven price formation. These findings imply that financialization affects not only prices but the quality of information transmission, with consequences for hedging, production decisions and policy design. This study contributes to the literature by examining financialization through a market-microstructure lens using Information Leadership Share and by introducing trader position-based sentiment into price discovery analysis.
Bandyopadhyay et al. (2026) studied this question.