Too much of a good thing? Speculative effects on commodity futures curves
| Main author: | van Huellen, Sophie |
|---|---|
| Format: | Journal Article |
| Online access: |
Click here to view record |
| id |
eprints-30019 |
|---|---|
| recordtype |
eprints |
| institution |
SOAS, University of London |
| collection |
SOAS Research Online |
| language |
English |
| language_search |
English |
| description |
The increasing inflow of index traders into commodity futures markets has been linked to anomalies in futures curves. At the same time, these investors have been welcomed as liquidity providers. In this paper, I reconcile the apparent dissent. Using factor decomposition, I show (a) that index and hedging positions have offsetting effects on futures curves, and (b) index positions are associated with upward sloping, peaked futures curves, and occasionally wave-like shapes linked to roll effects. These findings suggest that index traders are liquidity providers but can become too much of a good thing if exceeding hedgers’ demand for a counterparty. |
| format |
Journal Article |
| author |
van Huellen, Sophie |
| author_facet |
van Huellen, Sophie |
| authorStr |
van Huellen, Sophie |
| author_letter |
van Huellen, Sophie |
| title |
Too much of a good thing? Speculative effects on commodity futures curves |
| publisher |
Elsevier |
| publishDate |
2020 |
| url |
https://eprints.soas.ac.uk/30019/
|