The Impact of Market Participants’ Interaction on Futures Prices: Comparing Three U.S. Wheat Futures Markets

32 Pages Posted: 8 May 2014

See all articles by David Bosch

David Bosch

Humboldt University of Berlin - Institute of Finance

Date Written: May 7, 2014

Abstract

Many trends in the world wheat market might explain the extreme price movements on the U.S. wheat futures markets in 2007/08 and 2010. But the different price reactions on the three wheat futures markets raise doubt if only supply and demand moved wheat future prices. The question arises if the activity of different market participants is also essential for price discovery.

This study examines the influence of different market structures on prices of the three most important U.S. wheat futures markets. For this purpose the trader’s positions of the Disaggregated Commitment of Traders (DCOT) Report from June 2006 to December 2013 are analyzed. The results show that the dominance of commercial traders on the Minneapolis Grain Exchange resulted in price distortion. This demonstrates that the market structure is of great importance for the price development on futures markets.

Keywords: DCOT report, agricultural commodity markets, speculation

JEL Classification: D49, G13, Q02, Q17

Suggested Citation

Bosch, David, The Impact of Market Participants’ Interaction on Futures Prices: Comparing Three U.S. Wheat Futures Markets (May 7, 2014). Available at SSRN: https://ssrn.com/abstract=2433952 or http://dx.doi.org/10.2139/ssrn.2433952

David Bosch (Contact Author)

Humboldt University of Berlin - Institute of Finance ( email )

Spandauer Str. 1
Berlin, 10099
Germany

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