Price discovery in agricultural commodity markets: Do speculators contribute?

Martin T. Bohl, Pierre Siklos, Martin Stefan and Claudia Wellenreuther

Journal of Commodity Markets, 2020, vol. 18, issue C

Abstract: Previous literature on price discovery in commodity markets is mainly focused on the question of whether the spot or the futures market dominates the price discovery process. Little attention, however, has been paid to the question of how the price discovery process is affected by futures speculation. Using different measures for speculation and hedging and a new price discovery metric, the present study analyzes this relationship for various agricultural commodities. On the whole, the results suggest that speculative activity reduces the level of noise in the futures markets under analysis, while increasing their relative contribution to the price discovery process.

Keywords: Commodity markets; Futures speculation; Price discovery (search for similar items in EconPapers)
JEL-codes: G13 G14 Q02 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Price discovery in agricultural commodity markets: Do speculators contribute? (2019)
Working Paper: Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300941

DOI: 10.1016/j.jcomm.2019.05.001

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