Trading Activity and Rate of Convergence in Commodity Futures Markets

David Bosch and Elina Pradkhan

Journal of Futures Markets, 2017, vol. 37, issue 9, 930-938

Abstract: We analyze whether and how the trading activity of different trader types impacts the rate of convergence between spot and futures markets for a broad range of commodity futures markets over the 1999–2014 period. There is strong evidence that speculators (commodity index traders) increase (reduce) the rate of convergence between spot and futures markets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:930–938, 2017

Date: 2017
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