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Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets


  • Bohl, Martin T.
  • Stephan, Patrick M.


Motivated by repeated price spikes and crashes over the last decade, we investigate whether the growing market shares of futures speculators destabilize commodity spot prices. We approximate conditional volatility and analyze how it is affected by speculative open interest. In this context, we split our sample into two equally long subperiods and document whether the speculative impact on conditional volatility increases. With respect to six heavily traded agricultural and energy commodities, we do not find robust evidence that this is the case. We thus conclude that the financialization of raw material markets does not make them more volatile.

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  • Bohl, Martin T. & Stephan, Patrick M., 2013. "Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 45(4), pages 595-616, November.
  • Handle: RePEc:cup:jagaec:v:45:y:2013:i:04:p:595-616_00

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    Cited by:

    1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
    2. repec:eee:eneeco:v:64:y:2017:i:c:p:196-205 is not listed on IDEAS
    3. Hyunju Kang & Bok-Keun Yu & Jongmin Yu, 2016. "Global Liquidity and Commodity Prices," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 20-36, February.
    4. repec:ags:ijfaec:266472 is not listed on IDEAS
    5. repec:bap:journl:190301 is not listed on IDEAS
    6. repec:eee:jrpoli:v:53:y:2017:i:c:p:300-316 is not listed on IDEAS
    7. Hoang, Nam & Grieb, Terrance, 2018. "Hedging Positions, Basis, and Futures Risk Premium: A Disaggregated Data Analysis on US Wheat Markets," 2018 Annual Meeting, August 5-7, Washington, D.C. 273799, Agricultural and Applied Economics Association.
    8. Pies, Ingo, 2015. "Kommentar zur Spekulation mit Agrarrohstoffen: Eine Replik auf Christian Conrad," Discussion Papers 2015-11, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    9. Huchet, Nicolas & Fam, Papa Gueye, 2016. "The role of speculation in international futures markets on commodity prices," Research in International Business and Finance, Elsevier, vol. 37(C), pages 49-65.
    10. repec:eee:jocoma:v:10:y:2018:i:c:p:91-104 is not listed on IDEAS
    11. repec:eee:jocoma:v:5:y:2017:i:c:p:50-62 is not listed on IDEAS
    12. Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
    13. repec:eco:journ1:2019-02-26 is not listed on IDEAS
    14. repec:eee:jocoma:v:10:y:2018:i:c:p:29-46 is not listed on IDEAS

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