Causality in futures markets Academic Article uri icon

abstract

  • This study tests causal hypotheses emanating from theories of futures markets by utilizing methods appropriate for disproving causal relationships with observational data. The hedging pressure theory of futures markets risk premiums, the generalized version of the normal backwardation theory of Keynes, is rejected. Theories predicting that the activity levels of speculators or uninformed traders affect levels of price volatility, either positively or negatively, are also rejected. 2006 Wiley Periodicals, Inc.

published proceedings

  • Journal of Futures Markets

altmetric score

  • 3

author list (cited authors)

  • Bryant, H. L., Bessler, D. A., & Haigh, M. S.

citation count

  • 40

complete list of authors

  • Bryant, Henry L||Bessler, David A||Haigh, Michael S

publication date

  • November 2006

publisher