Work

Causality in futures markets

Year: 2006

Type: article

Abstract: This study tests causal hypotheses emanating from theories of futures markets by utilizing methods appropriate for disproving causal relationships with observational data. The hedging pressure theory of futures markets risk premiums, the generalized version of the normal backwardation theory of Keynes, is rejected. Theories predicting that the activity levels of speculators or uninformed traders affect levels of price volatility, either positively or negatively, are also rejected. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1039–1057, 2006

Source: Journal of Futures Markets

DOI: 10.1002/fut.20231

Authors: Henry L. Bryant, David A. Bessler, Michael S. Haigh

Institutions: Texas A&M University, Commodity Futures Trading Commission

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2002895816

FWCI: 4.012

Cites: 52

Cited by: 78

Related to: 10