Janardanan, Rajkumar
[Verfasser:in]
;
Qiao, Xiao
[Sonstige Person, Familie und Körperschaft];
Rouwenhorst, K. Geert
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Journal of Futures Markets, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 30, 2018 erstellt
Beschreibung:
This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that limits events are the result of speculative activity, but instead associated with shocks to fundamentals that lead to persistent price changes. When futures trading halts price discovery migrates to options markets, but option prices provide a biased estimate of subsequent future prices when trading resumes