The effects of margin changes on commodity futures markets

Charoula Daskalaki and George Skiadopoulos

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they impair the risk sharing function and they decrease market liquidity in certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account. Certain effects of margin changes diffuse across related markets though. Our results are robust to endogenously set margins by the exchanges.

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Year of publication:	2014 ; This draft: 24 October 2014
Authors:	Daskalaki, Charoula ; Skiadopoulos, George
Publisher:	London : School of Economics and Finance
Subject:	Commodities \| Hedging \| Market liquidity \| Margins \| Speculators \| Warenbörse \| Commodity exchange \| Rohstoffderivat \| Commodity derivative \| Spekulation \| Speculation \| Derivat \| Derivative \| Theorie \| Theory \| Marktliquidität

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Extent:	Online-Ressource (50 S.)
Series:	Working paper. - London : [Verlag nicht ermittelbar], ISSN 1473-0278, ZDB-ID 2666392-2. - Vol. 736
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/122081 [Handle]
Classification:	G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies ; G18 - Government Policy and Regulation ; G28 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010472794