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The Adequacy of Speculation in Agricultural Futures Markets:Too Much of a Good Thing?

Dwight R. Sanders, Scott Irwin and Robert P. Merrin

No 37615, 2008 Conference, April 21-22, 2008, St. Louis, Missouri from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Long-only commodity index funds have been blamed by other futures market participants for inflating commodity prices, increasing market volatility, and distorting historical price relationships. Much of this criticism is leveled without any formal empirical support or even cursory data analyses. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment’s of Traders report. In this research, we make an initial assessment of the size and activity of index funds in traditional agricultural futures markets. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Speculative measures—such as Working’s T—suggest that long-only funds may provide a benefit in markets traditionally dominated by short hedging.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 30
Date: 2008
New Economics Papers: this item is included in nep-agr
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Related works:
Journal Article: The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010) Downloads
Journal Article: The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010) Downloads
Working Paper: The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccest:37615

DOI: 10.22004/ag.econ.37615

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