CAUSALITY IN FUTURES MARKETS

Henry L. Bryant, David Bessler () and Michael S. Haigh

No 28574, Working Papers from University of Maryland, Department of Agricultural and Resource Economics

Abstract: This research investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. We find no evidence supporting the generalized version of Keynes's theory of normal backwardation. We find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. Our evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 42
Date: 2003
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:umdrwp:28574

DOI: 10.22004/ag.econ.28574

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