The Performance of Chicago Board of Trade Corn, Soybean, and Wheat Futures Contracts after Recent Changes in Speculative Limits
AbstractThree attributes of futures contract behavior important for market performanceliquidity, volatility, and convergenceare investigated before and after the 2005 increase in speculative position limits for corn, soybean, and wheat contracts at the Chicago Board of Trade. The analysis of liquidity and market depth reveals a sharp increase in open interest for corn, soybeans and wheat beginning in late 2005. The increase in position limits likely accommodated the increase in speculative interest in corn, soybean and wheat futures, but some of the increase would have occurred without the increase as new market participants received hedge exemptions. The analysis of price volatility revealed no large change in measures of volatility after the change in speculative limits. For corn and soybeans, the picture that unfolds relative to convergence patterns is one of weakness, but not failure. For wheat, the picture that unfolds relative to convergence patterns is not only one of weakness, but failure to accomplish one of the fundamental tasks of a futures market. The persistence and growing magnitude of the delivery location basis in wheat suggests a problem with the contract specifications.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN with number 9951.
Date of creation: 2007
Date of revision:
Contact details of provider:
Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org
More information through EDIRC
corn; futures contract; performance; soybeans; speculation; wheat; Marketing;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- MacDonald, Stephen & Meyer, Leslie A., 2009. "Futures Basis for Cotton: Impact of Globalization and Structural Change," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49269, Agricultural and Applied Economics Association.
- Derek Headey & Shenggen Fan, 2008.
"Anatomy of a crisis: the causes and consequences of surging food prices,"
International Association of Agricultural Economists, vol. 39(s1), pages 375-391, November.
- Headey, Derek & Fan, Shenggen, 2008. "Anatomy of a crisis: The causes and consequences of surging food prices," IFPRI discussion papers 831, International Food Policy Research Institute (IFPRI).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.