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Speculators, Prices and Market Volatility

Citations

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Cited by:

  1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
  2. Ron Alquist & Olivier Gervais, 2013. "The Role of Financial Speculation in Driving the Price of Crude Oil," The Energy Journal, , vol. 34(3), pages 35-54, July.
  3. Palazzi, Rafael Baptista & Figueiredo Pinto, Antonio Carlos & Klotzle, Marcelo Cabus & De Oliveira, Erick Meira, 2020. "Can we still blame index funds for the price movements in the agricultural commodities market?," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 84-93.
  4. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
  5. Bassam Fattouh, Lutz Kilian, and Lavan Mahadeva, 2013. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  6. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
  7. Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
  8. Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi, 2017. "Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  9. Ludwig, Michael, 2019. "Speculation and its impact on liquidity in commodity markets," Resources Policy, Elsevier, vol. 61(C), pages 532-547.
  10. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
  11. Adrian Fernandez-Perez & Ana-Maria Fuertes & Joëlle Miffre, 2023. "The Negative Pricing of the May 2020 WTI Contract," The Energy Journal, , vol. 44(1), pages 119-142, January.
  12. Sarah Ann Wheeler, 2022. "Debunking Murray‐Darling Basin water trade myths," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(4), pages 797-821, October.
  13. Chincarini, Ludwig B. & Moneta, Fabio, 2021. "The challenges of oil investing: Contango and the financialization of commodities," Energy Economics, Elsevier, vol. 102(C).
  14. Boyd, Naomi E. & Harris, Jeffrey H. & Li, Bingxin, 2018. "An update on speculation and financialization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 91-104.
  15. Celso Brunetti & Marc Joëts & Valérie Mignon, 2023. "Reasons Behind Words: OPEC Narratives and the Oil Market," Working Papers hal-04196053, HAL.
  16. Chen, Yu-Lun & Mo, Wan-Shin & Chang, Ya-Kai, 2022. "Investor sentiment spillover effect and market quality in crude oil futures," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 177-193.
  17. Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018. "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, vol. 54(C), pages 69-91.
  18. Lai, Ya-Wen & Lin, Chiou-Fa & Tang, Mei-Ling, 2017. "Mispricing and trader positions in the S&P 500 index futures market," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 250-265.
  19. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  20. Wen, Xiaoqian & Xie, Yuxin & Pantelous, Athanasios A., 2022. "Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation," Energy Economics, Elsevier, vol. 108(C).
  21. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  22. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
  23. Martin T. Bohl & Martin Stefan, 2020. "Return dynamics during periods of high speculation in a thinly traded commodity market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 145-159, January.
  24. Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
  25. Jean-François Carpantier, 2021. "Commodity Prices in Empirical Research," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227, Springer.
  26. Duc Huynh, Toan Luu & Burggraf, Tobias & Nasir, Muhammad Ali, 2020. "Financialisation of natural resources & instability caused by risk transfer in commodity markets," Resources Policy, Elsevier, vol. 66(C).
  27. Algieri, Bernardina, 2012. "Price Volatility, Speculation and Excessive Speculation in Commodity Markets: sheep or shepherd behaviour?," Discussion Papers 124390, University of Bonn, Center for Development Research (ZEF).
  28. de Jong, Johan & Sonnemans, Joep & Tuinstra, Jan, 2022. "The effect of futures markets on the stability of commodity prices," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 176-211.
  29. Leung, Henry & Furfaro, Frank, 2020. "Comovement of dairy product futures and firm value: returns and volatility," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(3), July.
  30. Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024. "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, vol. 59(1), pages 9-30, February.
  31. Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
  32. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
  33. Bohl, Martin T. & Pütz, Alexander & Sulewski, Christoph, 2021. "Speculation and the informational efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 23(C).
  34. Claudia Wellenreuther & Jan Voelzke, 2019. "Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 405-417, April.
  35. Jaehwan Park, 2019. "Effect of Speculators’ Position Changes on the LME Futures Market," IJFS, MDPI, vol. 7(2), pages 1-9, June.
  36. Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2017. "A tale of two tails: Explaining extreme events in financialized agricultural markets," Food Policy, Elsevier, vol. 69(C), pages 256-269.
  37. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
  38. Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022. "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
  39. Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  40. Wanti Fitrianti & Yusman Syaukat & Sri Hartoyo & Anna Fariyanti, 2019. "The Spillover Effect of Shocks of Fundamental Factors and Speculative Activity on Prices Volatility of World Vegetable Oil," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 230-240.
  41. Henry Leung & Frank Furfaro, 2020. "Comovement of dairy product futures and firm value: returns and volatility," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(3), pages 632-654, July.
  42. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
  43. Oliver Borgards & Robert L. Czudaj, 2023. "Long‐short speculator sentiment in agricultural commodity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3511-3528, October.
  44. Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021. "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, vol. 22(C).
  45. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2018. "Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices," Energy Economics, Elsevier, vol. 72(C), pages 486-504.
  46. Yao, Wei & Alexiou, Constantinos, 2024. "On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1054-1072.
  47. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
  48. Dwight R. Sanders & Scott H. Irwin, 2017. "Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(2), pages 345-365, June.
  49. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
  50. Celso Brunetti, Bahattin Buyuksahin, and Jeffrey H. Harris, 2013. "Herding and Speculation in the Crude Oil Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  51. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  52. Martin T. Bohl & Martin Stefan, 2018. "Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market," CQE Working Papers 7418, Center for Quantitative Economics (CQE), University of Muenster.
  53. Chkir, Imed & Guesmi, Khaled & Brayek, Angham Ben & Naoui, Kamel, 2020. "Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries," Research in International Business and Finance, Elsevier, vol. 54(C).
  54. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
  55. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
  56. 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.
  57. Aiube, Fernando Antonio Lucena & Faquieri, Winicius Botelho, 2019. "Can Gaussian factor models of commodity prices capture the financialization phenomenon?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  58. Kalkuhl, Matthias & von Braun, Joachim & Torero, Maximo, 2016. "Food Price Volatility and Its Implications for Food Security and Policy," MPRA Paper 72164, University Library of Munich, Germany.
  59. Bian, Yuxiang & Xiong, Xiong & Yang, Jinqiang, 2022. "Investor protection, hedge fund leverage and valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  60. Michel A. Robe & Jonathan Wallen, 2016. "Fundamentals, Derivatives Market Information and Oil Price Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 317-344, April.
  61. Martin Bohl & Alexander Pütz & Christoph Sulewski, 2019. "Speculation and the Informational Efficiency of Commodity Futures Markets," CQE Working Papers 8919, Center for Quantitative Economics (CQE), University of Muenster.
  62. Ivar Ekeland & Delphine Lautier & Bertrand Villeneuve, 2019. "Hedging pressure and speculation in commodity markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(1), pages 83-123, July.
  63. Jean-Baptiste Bonnier, 2021. "Speculation and informational efficiency in commodity futures markets," Post-Print hal-04299220, HAL.
  64. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  65. Moses M. Kupabado & Juergen Kaehler, 2021. "Financialization, common stochastic trends, and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1988-2008, December.
  66. Ordu-Akkaya, Beyza Mina & Ugurlu-Yildirim, Ecenur & Soytas, Ugur, 2019. "The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets," Resources Policy, Elsevier, vol. 61(C), pages 410-422.
  67. Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
  68. Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).
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