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- W2772076281 abstract "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." @default.
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- W2772076281 date "2017-01-01" @default.
- W2772076281 modified "2023-09-25" @default.
- W2772076281 title "On Commodity Price Limits" @default.
- W2772076281 doi "https://doi.org/10.2139/ssrn.3076090" @default.
- W2772076281 hasPublicationYear "2017" @default.
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