Causality in futures markets

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2006 English Publisher:WileyJournal:Journal of Futures Markets, volume 26, pages 1,039-1,057 (issn: 0270-7314, eissn: 1096-9934,

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

doi: 10.1002/fut.20231

Causality in futures markets

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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

Related Organizations

The University of Texas System
United States
Commodity Futures Trading Commission
United States
Texas A&M University
United States

Keywords

Marketing,

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