A0382
Title: The speculative component in Chinese agricultural commodity futures
Authors: Claudia Wellenreuther - University of Muenster (Germany) [presenting]
Martin T Bohl - University of Muenster (Germany)
Pierre Siklos - Wilfrid Laurier University (Canada)
Abstract: The aim is to investigate empirically whether speculative activity in Chinese futures markets for agricultural commodities destabilizes futures prices. To capture speculative activity we use a ratio, defined as daily trading volume divided by end-of-day open-interest. Applying a GARCH-model we first analyse the influence of the speculation ratio on the conditional volatility of five heavily traded Chinese futures contracts, namely soybeans, soybean meal, corn, sugar and cotton. Furthermore, we try to gain insight into the lead-lag-relationship between speculative activity and price volatility by using a VAR-model in conjunction with Granger causality tests, impulse-response analyses and variance decompositions.
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