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This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for short term speculation. We consider four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and seven non-energy commodities (cocoa, coffee, corn, oats, soybean oil, soybeans and wheat) over the period 1986-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative effect. The robustness exercise shows that: i) scalping is positive and significant also at higher and lower data frequencies; ii) results remain unchanged through different model specifications (GARCH-in-mean, EGARCH, and TARCH); iii) results are robust to different specifications of the mean equation.

This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for short term speculation. We consider four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and seven non-energy commodities (cocoa, coffee, corn, oats, soybean oil, soybeans and wheat) over the period 1986-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative effect. The robustness exercise shows that: i) scalping is positive and significant also at higher and lower data frequencies; ii) results remain unchanged through different model specifications (GARCH-in-mean, EGARCH, and TARCH); iii) results are robust to different specifications of the mean equation.

The Securities Settlement Systems (SSS) in the People's Republic of China (PRC) are organized around three different types of markets, which are the bond market, the corporate securities market, and the futures market. The China Government Depositary and Clearing Corporation Limited (CCDC) is the SSS as well as the central securities depository (CSD) for bonds. The China Securities Depository and Clearing Corporation Limited (SD and C) is the central counterparty (CCP), SSS, as well as the CSD for all instruments traded on the Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE). The four futures exchanges have their own clearing and settlement departments, which offer the function of a CCP. The CCDC, SD and C, and Shanghai Futures Exchange (SHFE), Dalian Commodities Exchange (DCE), and Zhengzhou Commodities Exchange (ZCE) operate important securities and derivatives settlement systems both, due to the large volume and value of transactions and the fact that they support key financial sector markets (interbank bond market, stock exchanges and futures). The assessment of the bonds market-CCDC system against the Recommendations for Securities Settlement Systems (RSSS) concludes that the system observes (observed or broadly observed) thirteen of the 19 recommendations, being one not applicable. The assessment of the stock exchanges-SD and C system against the RSSS concludes that the system observes (observed or broadly observed) seventeen of the 19 recommendations. The assessment of the commodities futures markets-SHFE system against the Recommendations for Central Counterparties (RCCP) concludes that the system observes (observed or broadly observed) eleven of the 15 recommendations, being one not applicable. The present document is the assessment of securities and derivatives settlement systems in the PRC based on the recommendations of the Committee on Payment and Settlement Systems (CPSS) and the International Organization of Securities Commissions (IOSCO) for RSSS and the recommendations of CPSS-IOSCO for Central Counterparties (RCCP). The paper is divided into following five parts: the first part gives general information; the second gives information and methodology used for assessment; the third part is securities and derivatives settlement systems infrastructure overview; the fourth part is main findings from the assessment with international standards; and the fifth part gives authorities' response.

Taken together, studies that examine how well commodity futures markets perform find that risk premiums are common—and so unbiasedness is not—and markets are not uniformly efficient across commodities or forecast horizons. This large body of research sheds important light on whether and to what extent commodity-futures markets forecast optimally future spot prices and, so, enable commercials to manage price risk by effectively parsing out much of it to speculators, a process that improves the total welfare of an economy with competitive but otherwise-incomplete markets. Nevertheless, that speculators can, in effect, improve welfare in this way has done little to quell popular hostilities toward futures markets. Such hostilities—and, in particular, those directed at speculators—in North America date to the inception of these markets in the nineteenth century, and have contributed to the unflattering depiction of the early futures exchange as an inchoate and poorly managed institution that initially served only the (illegitimate) aspirations of gamblers, an original-sin creation narrative that surely compromises the legitimacy of modern futures markets. Unfortunately, economists’ understanding of early commodity-futures markets is particularly fragmented—the extant literature focuses almost exclusively on the post-World War II era—and, as such, claims regarding the performance of early futures markets remain largely unsubstantiated in any quantitatively measurable sense. In this paper, I test and compare the efficiency properties of wheat, corn, and oats futures prices on the Chicago Board of Trade (CBT) from 1880 to 1890 and from 1997 to 2007. I demonstrate that, on balance, these nascent nineteenth-century grain-futures markets were, like their contemporary counterparts in this case, mostly efficient. As such, these results support the claims of early proponents of futures markets who argued that the development of the futures exchange was shaped primarily by commercial interests who sought to mitigate price risk.