Grain Futures Trading During the Interwar Period : Introducing a New Dataset and Evidence

This paper retraces the origins of modern futures trading and provides new data researchers can use. This includes an overview of the regulatory and institutional changes during the interwar period, ones that still inspire present day regimes. To this end, we assemble a new dataset of daily trading information on grain futures contracts traded at the most dominant exchange in the 20th century, the Chicago Board of Trade. We then analyse econometrically the drivers of interwar speculative behaviour and the impact of speculators’ positions changes on the volatility of interwar grain futures prices. Our results suggest that speculators significantly adjust their positions following an increase in corn returns and a decrease in wheat futures returns. Additionally, their position changes have no effect on the volatility of prices