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The impact of long-short speculators on the volatility of agricultural commodity futures prices
- Bohl, Martin T., Sulewski, Christoph
- Journal of commodity markets 2019
- agricultural products, commodity futures, commodity markets, commodity prices, United States
- Departing from the lively discussion about the Masters' hypothesis, this paper examines whether increasing activities of long-short speculators in commodity futures markets have a stabilizing or destabilizing impact on price movements. Our analysis covers five agricultural commodities traded in the US market over the period from 2006 to 2017. We conclude that long-short speculators do not destabilize commodity prices. Instead, we find evidence that activities of long-short speculators reduce volatility in the markets under scrutiny.