Christof Sigl-GrübSpeculation in Commodity Futures Markets

About this book deutschenglish

Interest in commodity markets has grown remarkably in recent years. One of the main reasons for that is the expectation of an ever-growing demand from emerging economies like India and China, which leads to rising prices and more intensive competition for resources on an international level. By the same token, these expectations make commodities appealing as an alternative asset class for portfolio management. Because commodities additionally exhibit low correlation to many traditional assets like stocks, bonds, and real estate and because they are traded in liquid markets, they continue to develop into a "must have” in a modern portfolio management. That in turn has led to an unprecedented growth of investments of speculative investors, whose primary business activities are not related to commodities and who are not interested in any physical delivery of the traded commodity. This new development brings up a number of questions: How do these investors behave, what are their motives? How do the underlying markets change due to their presence?

Despite the growing practical interest, commodity markets have by far not provoked the degree of academic interest, which capital markets have received, for example. This is the basic motivation for the research question of this thesis: The author wants to deepen the understanding of speculative investments in these markets by focusing on the following aspects: Are speculative investors successful in the long run, and if so, why? What is the role of market momentum? Does it change with a growing level of speculative positions? And third: What influence does the availability of information have on the formation of expectations concerning future commodity prices?

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