Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/248446 
Autor:innen: 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
QUCEH Working Paper Series No. 21-09
Verlag: 
Queen's University Centre for Economic History (QUCEH), Belfast
Zusammenfassung: 
How does futures trading affect spot price volatility? This paper uses a unique early-twentieth century natural experiment to test what happens when futures trading no longer exists. In 1903, futures trading in the Viennese grain market was banned. The permanency of this ban makes it ideal for studying its effect on volatility, using a difference-in-difference framework. Prices from Budapest, a market operating under similar conditions but unaffected by the ban, are used as a control. This paper finds increased spot price volatility and lower pricing accuracy because the information-transmission and risk-allocation functions of the futures market were no longer maintained.
Schlagwörter: 
futures trading
volatility
information
market regulation
speculation
commodity markets
agricultural economics
Austro-Hungarian Empire
JEL: 
N23
G13
G14
G18
G41
E65
Dokumentart: 
Working Paper

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