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"Evil" Speculators? Evidence from Grain Futures Trading in Chicago During the Interwar Period

Author

Listed:
  • Elissa A.M. Iorgulescu
  • Alexander Puetz
  • Pierre L. Siklos

Abstract

This paper retraces the origins of modern futures trading and provides new evidence to an open question in economic history, whether the assumed negative impact of speculation, which generated several regulatory and institutional changes, is reflected in interwar futures trading. To this end, we assemble a new dataset consisting of daily information on grain futures contracts traded at the Chicago Board of Trade. We first devote attention to the function and regulation of the early futures markets since these continue to influence market activities today. We then analyse econometrically the drivers of interwar speculative behaviour and the impact of speculators' position changes on the volatility of grain prices. Our findings reveal that speculators significantly adjust their trading positions according to past price and returns movements but follow different trading strategies before and after the onset of Great Depression. Nevertheless, we do not find any evidence of "evil" speculators amplifying the volatility of interwar grain futures prices.

Suggested Citation

  • Elissa A.M. Iorgulescu & Alexander Puetz & Pierre L. Siklos, 2022. ""Evil" Speculators? Evidence from Grain Futures Trading in Chicago During the Interwar Period," CQE Working Papers 9522, Center for Quantitative Economics (CQE), University of Muenster.
    • Handle: RePEc:cqe:wpaper:9522
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    File URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/cqe_wp_95_2022.pdf
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    Cited by:

    1. Martin Ellison & Sang Seok Lee & Kevin Hjortshøj O'Rourke, 2024. "The Ends of 27 Big Depressions," American Economic Review, American Economic Association, vol. 114(1), pages 134-168, January.

    More about this item

    Keywords

    Interwar Period; Regulation; Speculation; Grain Futures Markets; Returns Volatility;
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