The Quality of Commodity Futures Markets

在本次研究拨款申请中，笔者对商品期货市场质量进行了全面的研究。我的主要目标是分析大宗商品市场的金融化如何影响市场质量的两个维度--流动性和价格效率--以及不同市场参与者的构成如何影响市场质量。本世纪头五年指数投资者的到来代表着交易者构成的巨大变化，并导致了一场关于投机对市场运行的不利影响的讨论。为了衡量股票市场的市场质量，现有文献依赖于对高频盘中报价数据的分析。然而，只有在2008年后才能可靠地获得大宗商品期货的此类数据。为了研究更长时期的市场质量，我计划根据每天或一天内的时间和销售数据确定代理，使我能够将样本期延长到金融化之前的时期，因为没有高频报价数据。这将使我能够研究商品市场金融化对其质量的影响。它还将允许使用不同的识别策略对商品市场质量的决定因素进行详细分析，例如指数权重变化的事件研究，或使用商品期货交易委员会(CFTC)头寸数据的回归方法。该项目将有助于理解套期保值者、投机者、套利者和指数投资者之间的相互作用，特别是在商品期货市场。它还将为不同的市场参与者如何消费或提供流动性，以及它们如何影响价格发现的问题提供见解。研究结果与设计和监管运行良好的市场有关，因此市场参与者和政策制定者都非常感兴趣。

In this research grant application, I outline a comprehensive study of commodity futures markets quality. My main objective is to analyze how the financialization of commodity markets has affected the two dimensions of market quality – liquidity and price efficiency – and how market quality is affected by the composition of different market participants. The arrival of index investors during the first half of the 2000s represents a drastic change in trader composition and has resulted in a discussion about the adverse effects of speculation on the functioning of markets. To measure market quality in, e.g., equity markets, the existing literature relies on the analysis of high-frequency intraday quote data. However, such data for commodity futures are only reliably available after 2008. In order to study market quality over a longer period, I plan to identify proxies based on daily or intraday Time and Sales data that allow me to extend the sample period to the pre-financialization period, for which high-frequency quote data do not exist. This will enable me to study the impact of the financialization of commodity markets on their quality. It will also permit a detailed analysis of the determinants of commodity market quality using different identification strategies, such as an event study of index weight changes, or a regression approach that uses positions data from the Commodity Futures Trading Commission (CFTC). The project will contribute to the understanding of the interplay between hedgers, speculators, arbitrageurs, and index investors in general and in commodity futures markets in particular. It will also provide insights into the question of how different market participants consume or provide liquidity, and how they affect price discovery. The results are relevant for the design and regulation of well-functioning markets, and thus of great interest for market participants and policymakers alike.