@article{Manera:151372,
      recid = {151372},
      author = {Manera, Matteo and Nicolini, Marcella and Vignati, Ilaria},
      title = {Futures Price Volatility in Commodities Markets: The Role  of Short Term vs Long Term Speculation},
      address = {2013-05},
      number = {830-2016-55285},
      series = {ERM},
      pages = {30},
      year = {2013},
      abstract = {This paper evaluates how different types of speculation  affect the volatility of commodities’ futures prices. We  adopt four indexes of speculation: Working’s T, the market  share of non-commercial traders, the percentage of net long  speculators over total open interest in future markets,  which proxy for long term speculation, and scalping, which  proxies for short term speculation. We consider four energy  commodities (light sweet crude oil, heating oil, gasoline  and natural gas) and seven non-energy commodities (cocoa,  coffee, corn, oats, soybean oil, soybeans and wheat) over  the period 1986-2010 analyzed at weekly frequency. Using  GARCH models we find that speculation significantly affects  volatility of returns: short term speculation has a  positive and significant impact on volatility, while long  term speculation generally has a negative effect. The   robustness exercise shows that: i) scalping is positive and  significant also at higher and lower data frequencies; ii)  results remain unchanged through different model  specifications (GARCH-in-mean, EGARCH, and TARCH); iii)  results are robust to different specifications of the mean  equation.},
      url = {http://ageconsearch.umn.edu/record/151372},
      doi = {https://doi.org/10.22004/ag.econ.151372},
}