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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… Click to show full 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
Keywords:
futures markets;
trading activity;
rate convergence;
commodity
Journal Title: Journal of Futures Markets
Year Published: 2017
Link to full text (if available)
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Journal Title: Journal of Futures Markets
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!