Publication: Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures
Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures
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Haase, M., & Huss, M. (2018). Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures. Journal of Commodity Markets, 10, 29–46. https://doi.org/10.1016/j.jcomm.2017.10.001
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In response to the unusually high levels of price volatility during the world food price crisis of 2007/2008, US and EU regulators have introduced position limits that aim to protect commodity markets from exposure to excess speculation. Such regulatory initiatives presuppose that excess speculation is indeed responsible for excess volatility. Our results debunk this presupposition and show the opposite effect: speculative activity reduces price volatility, particularly during times of distress. Our findings are based on a cross-secti
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- Haase, Marco
- Huss, Matthias
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Haase, M., & Huss, M. (2018). Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures. Journal of Commodity Markets, 10, 29–46. https://doi.org/10.1016/j.jcomm.2017.10.001
