EconPapers    
Economics at your fingertips  
 

Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?

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

No 7518, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: Previous literature on price discovery in commodity markets is mainly focused on the question whether the spot or the futures market dominates the price discovery process. Little attention, however, has been paid to the question 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. The results indicate that speculative activity generally reduces the level of noise in the futures market, while increasing the relative contribution of the futures market to the price discovery process.

Keywords: Commodity Markets; Futures Speculation; Price Discovery (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr
Date: 2018-10
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/cqe_wp_75_2018.pdf Version of October 2018 (application/pdf)

Related works:
Working Paper: Price discovery in agricultural commodity markets: Do speculators contribute? (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:7518

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().

 
Page updated 2019-07-29
Handle: RePEc:cqe:wpaper:7518