Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/248446 
Authors: 
Year of Publication: 
2021
Series/Report no.: 
QUCEH Working Paper Series No. 21-09
Publisher: 
Queen's University Centre for Economic History (QUCEH), Belfast
Abstract: 
How does futures trading affect spot price volatility? This paper uses a unique early-twentieth century natural experiment to test what happens when futures trading no longer exists. In 1903, futures trading in the Viennese grain market was banned. The permanency of this ban makes it ideal for studying its effect on volatility, using a difference-in-difference framework. Prices from Budapest, a market operating under similar conditions but unaffected by the ban, are used as a control. This paper finds increased spot price volatility and lower pricing accuracy because the information-transmission and risk-allocation functions of the futures market were no longer maintained.
Subjects: 
futures trading
volatility
information
market regulation
speculation
commodity markets
agricultural economics
Austro-Hungarian Empire
JEL: 
N23
G13
G14
G18
G41
E65
Document Type: 
Working Paper

Files in This Item:
File
Size
533.58 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.