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Irwin, Scott H.; Garcia, Philip; Good, Darrel L.. |
Three attributes of futures contract behavior important for market performanceliquidity, volatility, and convergenceare investigated before and after the 2005 increase in speculative position limits for corn, soybean, and wheat contracts at the Chicago Board of Trade. The analysis of liquidity and market depth reveals a sharp increase in open interest for corn, soybeans and wheat beginning in late 2005. The increase in position limits likely accommodated the increase in speculative interest in corn, soybean and wheat futures, but some of the increase would have occurred without the increase as new market participants received hedge exemptions. The analysis of price volatility revealed no large change in measures of volatility after the change in... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Corn; Futures contract; Performance; Soybeans; Speculation; Wheat; Marketing. |
Ano: 2007 |
URL: http://purl.umn.edu/9951 |
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