The impact of long-short speculators on the volatility of agricultural commodity futures prices

Martin T. Bohl and Christoph Sulewski

Journal of Commodity Markets, 2019, vol. 16, issue C

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 long-short speculators reduce volatility in the markets under scrutiny.

Keywords: Commodity futures markets; GARCH models; Long-short speculators (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:16:y:2019:i:c:s2405851317301630

DOI: 10.1016/j.jcomm.2019.01.001

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