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The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices

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  • Martin T. Bohl
  • Christoph Sulewski

Abstract

Departing from the lively discussion about the Masters' hypothesis, this paper examines whether increasing activities of long-short speculators in commodity futures markets have a stabilizing or destabilizing impact on price movements. Our analysis covers five agricultural commodities traded in the US market over the period from 2006 to 2017. We conclude that long-short speculators do not destabilize commodity prices. Instead, we find evidence that activities of longshort speculators reduce volatility in the markets under scrutiny.

Suggested Citation

  • Martin T. Bohl & Christoph Sulewski, 2018. "The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices," CQE Working Papers 7718, Center for Quantitative Economics (CQE), University of Muenster.
    • Handle: RePEc:cqe:wpaper:7718
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    File URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/cqe_wp_77_2018.pdf
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    References listed on IDEAS

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    Cited by:

    1. Tröster, Bernhard & Gunter, Ulrich, 2022. "Trading for speculators: The role of physical actors in the financialization of coffee, cocoa and cotton value chains," Working Papers 68, Austrian Foundation for Development Research (ÖFSE).

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    Keywords

    Commodity Futures Markets; GARCH models; Long-short Speculators;
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