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Keynes and the Interwar Commodity Option Markets

Author

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  • Maria Cristina Marcuzzo

    (University of La Sapienza, Rome)

  • Eleonora Sanfilippo

    (University of Cassino and Southern Lazio)

Abstract

In the first quarter of the twentieth century, options began to be widely employed in the main financial centres in Europe and the USA for trading in spot and futures markets. From 1921 onward, Keynes embarked upon investment in these derivatives mainly—but not exclusively—in the commodity markets, showing a true fascination for this method of speculation. This type of financial investment he pursued mainly in the 1920s, with only a few operations undertaken during the 1930s. The option markets in which Keynes traded were metals—in particular copper, lead, spelter and, especially, tin. Besides metals, Keynes dealt in options also in other commodity markets, such as rubber and linseed oil, and sparingly in ordinary stocks and government securities. In this paper we offer a reconstruction of Keynes’s speculative activity in commodity options, drawing on the archival material kept in the Keynes Papers held at King’s College, Cambridge. This reconstruction is, to the best of our knowledge, entirely new to the literature and aims to provide an analysis of this particular aspect of Keynes’s investment behaviour, investigating his capacity to predict market trends and offering a preliminary assessment of his performance.
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Suggested Citation

  • Maria Cristina Marcuzzo & Eleonora Sanfilippo, 2014. "Keynes and the Interwar Commodity Option Markets," GREDEG Working Papers 2014-24, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  • Handle: RePEc:gre:wpaper:2014-24
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    File URL: http://www.gredeg.cnrs.fr/working-papers/GREDEG-WP-2014-24.pdf
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    References listed on IDEAS

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    1. Nabila Arfaoui, 2014. "Eco-innovation and Regulatory Push/Pull Effect in the Case of REACH Regulation: Empirical Evidence from Survey Data," GREDEG Working Papers 2014-19, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis, revised Dec 2015.
    2. Mixon, Scott, 2009. "Option markets and implied volatility: Past versus present," Journal of Financial Economics, Elsevier, vol. 94(2), pages 171-191, November.
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    1. repec:spr:epolit:v:35:y:2018:i:1:d:10.1007_s40888-017-0081-3 is not listed on IDEAS

    More about this item

    Keywords

    Keynes; speculation; commodity options; interwar financial markets;

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • B31 - Schools of Economic Thought and Methodology - - History of Economic Thought: Individuals - - - Individuals
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
    • N50 - Economic History - - Agriculture, Natural Resources, Environment and Extractive Industries - - - General, International, or Comparative

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