Price discovery in agricultural commodity markets: Do speculators contribute?

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

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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)
Pages: 42 pages
Date: 2019-06
New Economics Papers: this item is included in nep-agr and nep-mst
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Citations: View citations in EconPapers (1)

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https://cama.crawford.anu.edu.au/sites/default/fil ... an_wellenreuther.pdf (application/pdf)

Related works:
Journal Article: Price discovery in agricultural commodity markets: Do speculators contribute? (2020)
Working Paper: Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2019-42

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