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Does futures speculation destabilize spot prices? : new evidence for commodity markets

Bohl, Martin T.; Stephan, Patrick Maurice - In: Journal of agricultural and applied economics 45 (2013) 4, pp. 595-616

Persistent link: https://www.econbiz.de/10010207641

Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets

Bohl, Martin T.; Stephan, Patrick M. - In: Journal of Agricultural and Applied Economics 45 (2013) 04

Motivated by repeated price spikes and crashes over the last decade, we investigate whether the growing market shares of futures speculators destabilize commodity spot prices. We approximate conditional volatility and analyze how it is affected by speculative open interest. In this context, we...

Persistent link: https://www.econbiz.de/10010914262

Return dynamics during periods of high speculation in a thinly traded commodity market

Bohl, Martin T.; Stefan, Martin - In: Journal of Futures Markets 40 (2019) 1, pp. 145-159

This article studies the effects of speculation in a thinly traded commodity futures market, paying particular … attention to periods characterized by high-speculative activity of long–short speculators. Using the speculation ratio as a … daily measure for long–short speculation, we employ generalized autoregressive conditional heteroscedasticity regressions to …

Persistent link: https://www.econbiz.de/10012428738

Speculative activity and returns volatility of Chinese agricultural commodity futures

Bohl, Martin T.; Siklos, Pierre L.; Wellenreuther, Claudia - In: Journal of Asian economics 54 (2018), pp. 69-91

Persistent link: https://www.econbiz.de/10012102682

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an...

Persistent link: https://www.econbiz.de/10010503717