摘要：The paper examines empirically the influence of speculative activity by different typologies of non-commercial actors on futures prices returns for hard red winter wheat. The analysis is based on weekly data ranging from 01/2000 to 04/2012 and conducts different ratios taken from the Commitment of Traders Legacy Report and the Supplemental Commitments of Traders Report as proxies for speculative activity and introducing a methodology that makes a distinction between realized effects of futures and spot prices. The speculative effects are investigated applying Granger causality tests for the whole period as well as for various sub-periods based on a moving window of data. Results provide very week evidence for the influence of speculation on futures price return and dependent from the speculation variables adopted.
其他摘要：The paper examines empirically the influence of speculative activity by different typologies of non-commercial actors on futures prices returns for hard red winter wheat. The analysis is based on weekly data ranging from 01/2000 to 04/2012 and conducts different ratios taken from the Commitment of Traders Legacy Report and the Supplemental Commitments of Traders Report as proxies for speculative activity and introducing a methodology that makes a distinction between realized effects of futures and spot prices. The speculative effects are investigated applying Granger causality tests for the whole period as well as for various sub-periods based on a moving window of data. Results provide very week evidence for the influence of speculation on futures price return and dependent from the speculation variables adopted.
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