The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices

Martin T. Bohl and Christoph Sulewski

No 7718, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Departing from the lively discussion about the Masters' hypothesis, this paper examines whether increasing activities of long-short speculators in commodity futures markets have a stabilizing or destabilizing impact on price movements. Our analysis covers five agricultural commodities traded in the US market over the period from 2006 to 2017. We conclude that long-short speculators do not destabilize commodity prices. Instead, we find evidence that activities of longshort speculators reduce volatility in the markets under scrutiny.

Keywords: Commodity Futures Markets; GARCH models; Long-short Speculators (search for similar items in EconPapers)
Pages: 29 pages
Date: 2018-10
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/cqe_wp_77_2018.pdf Version of October 2018 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:7718

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().