Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230129
Authors: 
Bohl, Martin T.
Stefan, Martin
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 40 [Issue:] 1 [Pages:] 145-159
Abstract: 
This article studies the effects of speculation in a thinly traded commodity futures market, paying particular attention to periods characterized by high‐speculative activity of long–short speculators. Using the speculation ratio as a daily measure for long–short speculation, we employ generalized autoregressive conditional heteroscedasticity regressions to study its impact on return dynamics. Our results for the Chicago Mercantile Exchange feeder cattle futures market suggest that futures returns are predominantly explained by fundamentals, but their volatility is significantly driven by the speculation ratio. This relationship holds for periods of high‐ and low‐speculative activity alike.
Subjects: 
commodity markets
return dynamics
speculation
thinly traded markets
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version

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