Trading Activity and Rate of Convergence in Commodity Futures Markets

Abstract

We analyze whether and how the trading activity of different trader types impacts the rate of convergence between spot and futures markets for a broad range of commodity futures markets over the 1999–2014 period. There is strong evidence that speculators (commodity index traders) increase (reduce) the rate of convergence between spot and futures markets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:930–938, 2017

F: International and National Economies

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Examining the Impact of Structural Breaks on Price Discovery Efficiency: Evidence From the Indian Equity Futures Market

“…Furthermore, Floros and Vougas (2008) and Demir, Martell and Wang (2019) suggested that there is a significant relationship between cash and futures markets and both markets have predictive power for each other, making the relationship bi-directional (Kawaller, Koch & Koch, 1987). Bosch and Pradkhan (2017) suggested that trading activity of non-commercial traders increases rate of convergence in both markets. Korn, Krischak and Theissen (2019) stated that illiquidity in futures market increases with increase in illiquidity in cash market.…”