On commodity price limits
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 946-961 |
| Journal / Publication | Journal of Futures Markets |
| Volume | 39 |
| Issue number | 8 |
| Online published | 15 Feb 2019 |
| Publication status | Published - Aug 2019 |
| Externally published | Yes |
Link(s)
Abstract
This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of noncommercial market participants (speculators). We find little evidence that limits events are the result of speculative activity, but instead associated with shocks to fundamentals that lead to persistent price changes. When futures trading halts price discovery migrates to options markets, but option prices provide a biased estimate of subsequent future prices when trading resumes.
Research Area(s)
- circuit breakers, commodity futures, commodity options, price limits, speculation, speculative trading
Citation Format(s)
On commodity price limits. / Janardanan, Rajkumar; Qiao, Xiao; Rouwenhorst, K. Geert.
In: Journal of Futures Markets, Vol. 39, No. 8, 08.2019, p. 946-961.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
