The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

IF 5 Q1 ECONOMICS
Algirdas Justinas Staugaitis, Česlovas Christauskas
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Abstract

Research background: The study analyzes whether financial speculation destabilizes commodity prices in light of recent price volatility and spikes in agricultural commodities. The study delves deeper into the US dairy futures markets, which are less studied by other authors in their research and relatively new in comparison to other agricultural commodity markets. These dairy commodity futures contracts provide dairy businesses and farmers the chance to hedge against price risks, which are particularly crucial in uncertain economic times such as the post-2020 COVID-19 pandemic timeframe. The analysis makes use of the weekly returns on futures contracts for nonfat milk powder, butter, milk class III, and cheese that are obtained from the Chicago Mercantile Exchange (CME). Purpose of the article: Conduct an empirical study to evaluate the effect of financial speculation on dairy product prices on US commodity markets, including the post-2020 timeframe. Methods: Time series analysis is used in the investigation: the generalized auto-regressive conditional heteroskedasticity (GARCH) method, the Granger causality test, and the Augmented Dickey-Fuller (ADF) test. Findings & value added: Our analysis's findings show that, even though most commodities experienced an increase in return volatility during the post-2020 period, there is no evidence for financial speculation being the cause of increased returns from dairy futures contracts. The research also suggests that financial speculation, in some cases, even lowers the volatility of dairy futures prices. Therefore, non-commercial market participants may help to distribute price risks, making these markets more liquid.
金融投机对期货合约价格变动的影响:对美国乳制品市场的研究
研究背景:根据近期农产品价格的波动和飙升,本研究分析了金融投机是否会破坏商品价格的稳定。这项研究对美国乳制品期货市场进行了更深入的研究,其他作者在研究中对美国乳制品期货市场的研究较少,与其他农产品市场相比,美国乳制品期货市场相对较新。这些乳制品期货合约为乳制品企业和农民提供了对冲价格风险的机会,这在不确定的经济时期(如2020年之后的COVID-19大流行时间框架)尤为重要。该分析利用了从芝加哥商品交易所(CME)获得的脱脂奶粉、黄油、三类牛奶和奶酪期货合约的每周回报。本文目的:进行实证研究,评估金融投机对美国商品市场乳制品价格的影响,包括2020年后的时间框架。方法:采用时间序列分析:广义自回归条件异方差(GARCH)法、格兰杰因果检验和增广Dickey-Fuller检验。的发现,附加值:我们的分析结果表明,尽管大多数商品在2020年后的收益波动性增加,但没有证据表明金融投机是乳制品期货合约收益增加的原因。研究还表明,在某些情况下,金融投机甚至降低了乳制品期货价格的波动性。因此,非商业市场参与者可能有助于分散价格风险,使这些市场更具流动性。
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来源期刊
CiteScore
9.20
自引率
3.50%
发文量
28
审稿时长
36 weeks
期刊介绍: Equilibrium. Quarterly Journal of Economics and Economic Policy is a scientific journal dedicated to economics, which is the result of close cooperation between the Instytut Badań Gospodarczych/Institute of Economic Research (Poland) and Polish Economic Society and leading European universities. The journal constitutes a platform for exchange of views of the scientific community, as well as reflects the current status and trends of world science and economy. The journal especially welcome empirical articles making use of quantitative methods in: Macroeconomics and Monetary Economics, International Economics, Financial Economics and Banking, Public Economics, Business Economics, Labor and Demographic Economics, Economic Development, and Technological Change, and Growth. Current most preferable topics and special issues: The economics of artificial intelligence: business potentials and risks; Digitalization and entrepreneurship in economics; Sustainable socio-economic development, environmental and ecological economics; Transition in the energy market (improving energy efficiency, alternative energy sources, renewable energy, energy security).
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