Do Commodity Index Traders Destabilize Agricultural Futures Prices
JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Do Commodity Index Traders Destabilize Agricultural Futures Prices
Bohl, Martin T. | Javed, Farrukh | Stephan, Patrick M.
Applied Economics Quarterly, Vol. 59 (2013), Iss. 2 : pp. 125–148
9 Citations (CrossRef)
Additional Information
Article Details
Pricing
Author Details
Department of Economics, Westphalian Wilhelminian University of Münster, Am Stadtgraben 9, 48143 Münster, Germany.
Department of Statistics, Lund University, Box 7080, 220 07 Lund, Sweden.
Department of Economics, Westphalian Wilhelminian University of Münster, Am Stadtgraben 9, 48143 Münster, Germany.
Cited By
-
Intermediary capital risk and commodity futures volatility
Yin, Libo | Nie, Jing | Han, LiyanJournal of Futures Markets, Vol. 41 (2021), Iss. 5 P.577
https://doi.org/10.1002/fut.22185 [Citations: 7] -
Do biofuel production and financial speculation in agricultural commodities influence African food prices? New evidence from a TVP-VAR extended joint connectedness approach
Guo, Jin | Tanaka, TetsujiEnergy Economics, Vol. 116 (2022), Iss. P.106422
https://doi.org/10.1016/j.eneco.2022.106422 [Citations: 21] -
Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil
Go, You-How | Lau, Wee-YeapResources Policy, Vol. 53 (2017), Iss. P.135
https://doi.org/10.1016/j.resourpol.2017.06.009 [Citations: 12] -
Volatility transmission in agricultural futures markets
Beckmann, Joscha | Czudaj, RobertEconomic Modelling, Vol. 36 (2014), Iss. P.541
https://doi.org/10.1016/j.econmod.2013.09.036 [Citations: 77] -
Commodity market risk from 1995 to 2013: an extreme value theory approach
Fretheim, Torun | Kristiansen, GlennApplied Economics, Vol. 47 (2015), Iss. 26 P.2768
https://doi.org/10.1080/00036846.2015.1011307 [Citations: 8] -
Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market
Focacci, Antonio
China Finance Review International, Vol. 13 (2023), Iss. 2 P.157
https://doi.org/10.1108/CFRI-07-2022-0110 [Citations: 5] -
The Impact of Speculation on Commodity Futures A Review of the Findings of 100 Empirical Studies
Haase, Marco | Seiler, Yvonne | Zimmermann, HeinzSSRN Electronic Journal, Vol. (2016), Iss.
https://doi.org/10.2139/ssrn.2729452 [Citations: 0] -
Speculative activity and returns volatility of Chinese agricultural commodity futures
Bohl, Martin T. | Siklos, Pierre L. | Wellenreuther, ClaudiaJournal of Asian Economics, Vol. 54 (2018), Iss. P.69
https://doi.org/10.1016/j.asieco.2017.12.003 [Citations: 33] -
The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies
Haase, Marco | Seiler Zimmermann, Yvonne | Zimmermann, HeinzJournal of Commodity Markets, Vol. 3 (2016), Iss. 1 P.1
https://doi.org/10.1016/j.jcomm.2016.07.006 [Citations: 74]
Abstract
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the intensive investment activities of commodity index traders (CITs) have destabilized agricultural futures markets. Using a stochastic volatility model, we treat conditional volatility as an unobserved component, and analyze whether it has been affected by the expected and unexpected open interest of CITs. However, with respect to twelve increasingly financialized grain, livestock, and soft commodities, we do not find robust evidence that this is the case. We thus conclude that justifying a tighter regulation of CITs by blaming them for more volatile agricultural futures markets appears to be unwarranted.
JEL Classification: G10, G18, Q14