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Do Speculators in Futures Markets Make Cash Markets More Volatile?

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  • Li, Yingzi
  • Fortenbery, T. Randall
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    File URL: http://purl.umn.edu/151296
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    Bibliographic Info

    Paper provided by Agricultural and Applied Economics Association in its series 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. with number 151296.

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    Date of creation: 2013
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    Handle: RePEc:ags:aaea13:151296

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    Keywords: speculation; cash price volatility; cointegration; causality in variance; crude oil; wheat; coffee; Agribusiness; Agricultural Finance;

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    1. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the Price of Oil," Working Papers 11-15, Bank of Canada.
    2. Charles Corrado & Cameron Truong, 2007. "Forecasting Stock Index Volatility: Comparing Implied Volatility And The Intraday High-Low Price Range," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 30(2), pages 201-215.
    3. Figlewski, Stephen, 1981. "Futures Trading and Volatility in the GNMA Market," Journal of Finance, American Finance Association, vol. 36(2), pages 445-56, May.
    4. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    5. Ron Alquist & Olivier Gervais, 2011. "The Role of Financial Speculation in Driving the Price of Crude Oil," Discussion Papers 11-6, Bank of Canada.
    6. Fortenbery, T. Randall & Zapata, Hector O., 2004. "Developed Speculation and Under Developed Markets - The Role of Futures Trading on Export Prices in Less Developed Countries," Staff Paper Series 470, University of Wisconsin, Agricultural and Applied Economics.
    7. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    8. Bahattin Buyuksahin & Jeffrey H. Harris, 2011. "Do Speculators Drive Crude Oil Futures Prices?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 167-202.
    9. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
    10. Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02, May.
    11. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1719-1760, December.
    12. Randall Fortenbery, 2004. "Developed speculation and underdeveloped markets--the role of futures trading on export prices in less developed countries," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 31(4), pages 451-471, December.
    13. Chen, Nai-Fu & Cuny, Charles J & Haugen, Robert A, 1995. " Stock Volatility and the Levels of the Basis and Open Interest in Future Contracts," Journal of Finance, American Finance Association, vol. 50(1), pages 281-300, March.
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