Title: The impact of speculators on agricultural commodity futures prices
Authors: Jeanne Diesteldorf - Westfalische Wilhelms-Universitat Munster (Germany) [presenting]
Martin T Bohl - University of Muenster (Germany)
Abstract: Departing from the lively discussion about the Masters' hypothesis, the aim is to examine whether increasing activity of speculators in commodity futures markets impacts on price movements. In particular, we investigate the effect of the activity of speculators that are not commodity index traders on market outcomes. To this end, we use data for the five most liquid agricultural futures markets compiled by the CFTC to implement Granger causality tests and GARCH models. We conclude that speculators do not impact on price movements in the markets under scrutiny.