Economics, Econometrics and Finance
8 years ago

Managed futures trading does not significantly impact futures price volatility.

Journal of Futures Markets
Managed futures, positive feedback trading, and futures price volatility
Scott H. Irwin, Satoko Yoshimaru

Paper Summary

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Managed futures trading by large funds may increase futures price volatility. This study analyzed data from December 1988 to March 1989 on commodity pool trading in 36 futures markets. The results show that commodity pool trading volume had a significant impact on futures price volatility in only four out of 72 cases studied.