Asymmetric information in commodity futures markets: Theory and empirical evidence
✍ Scribed by Perrakis, Stylianos; Khoury, Nabil
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 291 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0270-7314
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✦ Synopsis
This article examines the theoretical and empirical implications of asymmetric information in commodity futures markets. In particular, it formulates and tests a theoretical model that recognizes two distinct categories of traders: hedgers, who participate in both spot and futures markets, and speculators, who participate only in the futures market. Speculators are assumed to possess differential information about the realized values of selected random variables. Multiperiod futures market equilibria are derived under competitive conditions, and the ability of futures markets to forecast changes in equilibrium spot market prices are examined. The key variable is shown to be the randomness and informational asymmetry in the aggregate supply by