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The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies

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  • Haase, Marco
  • Seiler Zimmermann, Yvonne
  • Zimmermann, Heinz

Abstract

There are numerous empirical studies on the impact of speculation on commodity futures markets. The papers strongly differ in terms of the focus variable (e.g. price, volatility, spill-over effects) of speculative effects, the speculation measure used, and broad quality. We review and evaluate the methodology and results of 100 papers which have been published (or are at least frequently cited) on this subject over the past decade. While the overall picture indicates that the number of studies which support and contradict the criticized effects of speculation is about the same, the results shift against the criticized effects if the studies use direct measures of speculation, except for price. Applying different paper quality standards does not fundamentally change our findings.

Suggested Citation

  • Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
    • Handle: RePEc:eee:jocoma:v:3:y:2016:i:1:p:1-15
    DOI: 10.1016/j.jcomm.2016.07.006
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    More about this item

    Keywords

    G13; Q02; C58; Speculation; Commodity futures prices; Lead–lag relationships;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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