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The second author is from the Department of Finance, Xavier University.

Futures Trading Activity and Commodity Cash Price Volatility by Jian Yang, R. Brian Balyeat, David J. Leatham :: SSRN

An earlier version of this paper was presented at the Financial Management Association annual meeting in San Antonio, Texas, USA. The authors would like to thank FMA session participants for suggestions and Jin Zhang for capable research assistance.

Futures Trading Activity and Commodity Cash Price Volatility by Jian Yang, R. Brian Balyeat, David J. Leatham :: SSRN

In particular, they gratefully acknowledge very helpful comments from an anonymous referee that significantly improved the paper. This paper examines the lead-lag relationship between futures trading activity volume and open interest and cash price volatility for major agricultural commodities.

Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures trading volume unidirectionally causes an increase in cash price volatility for most commodities.

futures trading activity commodity cash price volatility

Likewise, there is a weak causal feedback between open interest and cash price volatility. These findings are generally consistent with the destabilizing effect of futures trading on agricultural commodity markets.

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futures trading activity commodity cash price volatility

January Full publication history DOI: Set citation alert Citing literature. Format Available Full text: Keywords agricultural commodity; futures trading; cash price volatility; GARCH; generalized forecast error variance decomposition. Publication History Issue online: Articles related to the one you are viewing Please enable Javascript to view the related content of this article.

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