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Title: Price discovery in commodity markets: On the contribution of speculators Authors:  Martin T Bohl - University of Muenster (Germany)
Pierre Siklos - Wilfrid Laurier University (Canada)
Martin Stefan - University of Muenster (Germany) [presenting]
Claudia Wellenreuther - University of Muenster (Germany)
Abstract: Previous literature on price discovery in commodity markets is mainly focused on 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. The results indicate that speculative activity generally reduces the level of noise in the futures market, while increasing the relative contribution of the market to the price discovery process.