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Commodity risk manangement : theory and application

Poitras, Geoffrey - 2013

Persistent link: https://www.econbiz.de/10009722571

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long … speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for …

Persistent link: https://www.econbiz.de/10009756298

Speculators, commodities and cross-market linkages

Buyuksahin, Bahattin; Robe, Michel A. - In: Journal of international money and finance 42 (2014), pp. 38-70

Persistent link: https://www.econbiz.de/10010371838

Do long-short speculators destabilize commodity futures markets?

Miffre, Joëlle; Brooks, Chris - In: International review of financial analysis 30 (2013), pp. 230-240

Persistent link: https://www.econbiz.de/10010460310

Financialization and structural change in commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Journal of agricultural and applied economics 44 (2012) 3, pp. 371-396

Persistent link: https://www.econbiz.de/10009675943

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Speculative equilibria of "managed" primary commodity markets

MacLaren, John Edward - 1992

Persistent link: https://www.econbiz.de/10000845281

Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation

Manera, Matteo - 2013

Persistent link: https://www.econbiz.de/10013081164

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

Bohl, Martin T. - 2012

Motivated by repeated price spikes and crashes over the last decade, we investigate whether the rapidly growing market shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it on expected and unexpected speculative open interest....

Persistent link: https://www.econbiz.de/10013112917

Long-short speculator sentiment in agricultural commodity markets

Borgards, Oliver; Czudaj, Robert - 2022

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

Persistent link: https://www.econbiz.de/10012818066