Futures Commitments and Commodity Price Jumps

Arjun Chatrath and Frank Song

The Financial Review, 1999, vol. 34, issue 3, 95-111

Abstract: We examine the relationship between the commitments of three of the largest groups of futures traders and the abnormal price movements in five agricultural commodities. The general evidence suggests that the commitments of futures traders have been increasing over time, whereas the frequency of price jumps have not. Regression results indicate a negative relationship between price jumps and the commitments of speculators and small traders. There is also evidence of a negative relationship between the number of speculators and cash market volatility, consistent with a host of speculation-based theories. Copyright 1999 by MIT Press.

Date: 1999
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