Abstract

http://ssrn.com/abstract=662001
 
 

References (31)



 
 

Citations (9)



 


 



Futures Trading Activity and Commodity Cash Price Volatility


Jian Yang


University of Colorado at Denver - Business School

R. Brian Balyeat


Xavier University - Department of Finance

David J. Leatham


Texas A&M University - Department of Agricultural Economics


Journal of Business Finance & Accounting, Vol. 32, No. 1-2, pp. 297-323, January 2005

Abstract:     
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. 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.

Number of Pages in PDF File: 27

Accepted Paper Series


Date posted: February 6, 2005  

Suggested Citation

Yang, Jian and Balyeat, R. Brian and Leatham, David J., Futures Trading Activity and Commodity Cash Price Volatility. Journal of Business Finance & Accounting, Vol. 32, No. 1-2, pp. 297-323, January 2005. Available at SSRN: http://ssrn.com/abstract=662001

Contact Information

Jian Yang (Contact Author)
University of Colorado at Denver - Business School ( email )
1250 14th St.
Denver, CO 80204
United States
Ralph Brian Balyeat
Xavier University - Department of Finance ( email )
3800 Victory Parkway
Cincinnati, OH 45207
United States
513 745-3013 (Phone)
513 745-4383 (Fax)
David J. Leatham
Texas A&M University (TAMU) - Department of Agricultural Economics ( email )
College Station, TX 77843-4218
United States
979-845-5806 (Phone)
979-862-1563 (Fax)
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References:  31
Citations:  9

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