IDEAS home Printed from https://ideas.repec.org/a/cup/jagaec/v45y2013i04p595-616_00.html
   My bibliography  Save this article

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

Author

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

Abstract

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.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1074070800005150/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jagaec:v:45:y:2013:i:04:p:595-616_00. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: https://www.cambridge.org/aae .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.