Causality in futures markets

被引:29
作者
Bryant, Henry L.
Bessler, David A.
Haigh, Michael S.
机构
[1] Texas A&M Univ, Dept Agr Econ, College Stn, TX 77843 USA
[2] Texas A&M Univ, Dept Agr Econ, College Stn, TX 77843 USA
关键词
D O I
10.1002/fut.20231
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. (c) 2006 Wiley Periodicals, Inc.
引用
收藏
页码:1039 / 1057
页数:19
相关论文
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