The Impact of Speculation on Commodity Futures – A Review of the Findings of 100 Empirical Studies

19 Pages Posted: 10 Feb 2016

See all articles by Marco Haase

Marco Haase

University of Basel - Center for Economic Science (WWZ) - Department of Finance

Yvonne Seiler Zimmermann

Lucerne University of Applied Sciences and Arts, School of Business, Institute of Financial Services Zug, IFZ

Heinz Zimmermann

University of Basel - Center for Economic Science (WWZ)

Date Written: February 8, 2016

Abstract

There are numerous empirical studies on the impact of speculation on commodity futures prices. The papers strongly differ in terms of the focus variable (e.g. price, volatility, spillover effects) of speculative effects, the speculation measure used, and their methodological sophistication and quality. We review and evaluate the methodology and results of 100 papers which have been published (or are at least frequently quoted) on this subject over the past decade. While the overall picture indicates that the number of studies which report reinforcing and weakening effects is about the same, the results shift in favor of finding (clear or mixed) weakening effects if studies use direct measures of speculation.

Suggested Citation

Haase, Marco and Seiler Zimmermann, Yvonne and Zimmermann, Heinz, The Impact of Speculation on Commodity Futures – A Review of the Findings of 100 Empirical Studies (February 8, 2016). Available at SSRN: https://ssrn.com/abstract=2729452 or http://dx.doi.org/10.2139/ssrn.2729452

Marco Haase

University of Basel - Center for Economic Science (WWZ) - Department of Finance ( email )

Peter Merian Weg 6
Basel, CH-4002
Switzerland

Yvonne Seiler Zimmermann (Contact Author)

Lucerne University of Applied Sciences and Arts, School of Business, Institute of Financial Services Zug, IFZ ( email )

Campus Zug Rotkreuz
Suurstoffi 1
Rotkreuz, CH-6343
Switzerland

Heinz Zimmermann

University of Basel - Center for Economic Science (WWZ) ( email )

Peter Merian Weg 6
Basel, 4002
Switzerland
+41 61 267 33 16 (Phone)
+41 61 267 08 98 (Fax)

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