Speculation and the informational efficiency of commodity futures markets

被引：20

作者：

Bohl, Martin T. ^{[1
]}

Puetz, Alexander ^{[1
]}

Sulewski, Christoph ^{[1
]}

机构：

[1] Westfalische Wilhelms Univ Munster, Dept Econ, Am Stadtgraben 9, D-48143 Munster, Germany

来源：

JOURNAL OF COMMODITY MARKETS | 2021年 / 23卷

关键词：

Market efficiency; Variance ratio test; Commodity futures; HEDGING PRESSURE; STOCK-PRICES; INDEX; RISK; AUTOCORRELATION; LIQUIDITY; PREMIUMS; RETURNS;

D O I：

10.1016/j.jcomm.2020.100159

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The recent financialization in commodity futures markets has prompted many calls for restricting speculative activity due to its detrimental effect on market quality. One aspect of market quality is that new information is instantaneously reflected in the price. This article studies how speculative activity affects informational efficiency of commodity futures markets. We document significant temporal and cross-sectional variation in market efficiency in 19 commodity futures markets based on a sample covering the period from 1992 to 2019. The regression analysis finds evidence for a significant negative relation between speculative activity and the degree of informational efficiency. The results are robust across different window sizes. A subsequent analysis shows that the results are mainly driven by traditional long-short speculators while the influence of index trader is insignificant.

引用

页数：14

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