[PDF] Are Speculators Destabilizing Commodity Markets eBook

Author : Raffael Waldmeier
Publisher :
Page : pages
File Size : 13,87 MB
Release : 2017
Category :
ISBN :

GET BOOK

This master thesis analyses the impact of speculation on the stability of the commodity futures market. The study differentiates between three types of speculation, namely index speculation, non-commercial speculation and excess speculation. In a Vector AutoRegression (VAR) framework I use Granger causality analyses and impulse response functions (IRF) in order to analyse, whether speculation activities have a significant impact on the commodity futures price volatility or not. In particular, the scope of the analysis includes two energy commodities, crude oil and natural gas, an agricultural commodity, corn, and two metals, copper and gold. Applying a relatively new dataset for index investment trading, it shows that index investment had not significantly affected price volatility in the commodity market between 2007 and 2015. In exchange, the results suggest that index speculation rather reduced volatility than the other way around. The same is true for non-commercial or traditional speculation, which neither has destabilized commodity markets during the analysed period between 1993 and 2016. Moreover, the sample is split into two sub-periods in order to analyse possible changes in the dynamics of the commodity markets due to the financialization. Finally, contrasting the findings of the other analyses, it shows that excess speculation had indeed caused an increase in commodity futures prices. The findings suggest that excess speculation had a significant detrimental effect on the stability of the crude oil market. The diversity in the findings emphasizes the importance of distinguishing between the different types of speculation. Altogether, it shows that speculation does, in general, not increase futures price volatility.

Author : Abby Kim
Publisher :
Page : 68 pages
File Size : 43,95 MB
Release : 2016
Category :
ISBN :

GET BOOK

This paper examines how speculative futures trading affects commodity markets in terms of price impacts, volatility, and market quality. Contrary to the popular belief that speculators are responsible for the recent commodity price fluctuation, my analysis finds no evidence that speculators destabilize the spot market. Instead, speculators contribute to lower volatility and enhanced market quality. More importantly, the empirical results provide strong evidence that speculators either have no effect or dampen prices during periods of large price movement. My findings suggest speculators have had a significant, and in fact positive, influence on the commodity market during the recent "financialization" period, implying that restricting speculative trading in the futures market is not an efficient way to stabilize the commodity market.

Author : Scott H. Irwin
Publisher : CABI
Page : 279 pages
File Size : 36,76 MB
Release : 2023-04-25
Category : Business & Economics
ISBN : 1800622082

GET BOOK

Commodity futures prices exploded in 2007-2008 and concerns about a new type of speculative participant in commodity futures markets began to emerge. The main argument was that unprecedented buying pressure from new "commodity index" investors created massive bubbles that resulted in prices substantially exceeding fundamental value. At the time, it was not uncommon to link concerns about speculation and high prices to world hunger, food crises, and civil unrest. Naturally, this outcry resulted in numerous regulatory proposals to restrict speculation in commodity futures markets. This book presents important research on the impact of index investment on commodity futures prices that the authors conducted over the last fifteen years. The eleven articles presented in the book follow the timeline of our involvement in the world-wide debate about index funds as it evolved after 2007. We also include an introductory chapter, new author forewords for each article chapter, and a lessons learned chapter to round out the book. Policy-makers, researchers, and market participants will find the book not only functions as useful documentation of the debate; but, also as a natural starting point when high commodity prices inevitably create the next speculation backlash.

Author : Marian Radetzki
Publisher : Cambridge University Press
Page : 331 pages
File Size : 45,78 MB
Release : 2020-11-26
Category : Business & Economics
ISBN : 1108896286

GET BOOK

The dramatic price falls of 2014–2015 marked the end of the most powerful and enduring commodity boom since the Second World War. Now in its third edition, this book acts as a guide to the ins and outs of the primary commodity universe. Updates to this edition reflect on the consequences of both China's economic slowdown as its industrialization enters a new, less commodity demanding phase, and changes in the USA's trade policy under the Trump administration. Additionally, this edition takes into account recent developments in world oil markets and examines the effects of increased climate concerns. The authors introduce and explain pertinent issues surrounding international commodity markets such as the global geography of raw materials, price formation, price trends, the role of commodity exchanges, the threat of depletion, cartel action, state ownership, emerging commodity nationalism and more.

Author : Blake C. Clayton
Publisher : Cambridge University Press
Page : 215 pages
File Size : 16,48 MB
Release : 2016
Category : Business & Economics
ISBN : 1107042518

GET BOOK

This book provides a clear-eyed analysis of questions at the intersection of commodity markets, natural resource economics, and public policy.

Author : Emilio Barucci
Publisher : Springer
Page : 843 pages
File Size : 14,53 MB
Release : 2017-06-08
Category : Mathematics
ISBN : 1447173228

GET BOOK

This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Author : L. Nijs
Publisher : Springer
Page : 588 pages
File Size : 36,68 MB
Release : 2014-06-23
Category : Business & Economics
ISBN : 1137302348

GET BOOK

This book is a one-stop reference for practitioners and academics in finance, business and economics, providing a holistic reference to the international agriculture business. It takes a multidisciplinary approach, looking at the issues, opportunities and investable themes in the global agricultural space, combining research and practical tools.