The effects of margin changes on commodity futures markets

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 736

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Government Policy and Regulation ; Financial Institutions and Services: Government Policy and Regulation
• Subject: Commodities ; Hedging ; Market liquidity ; Margins ; Speculators

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Daskalaki, Charoula ; Skiadopoulos, George
• Event: Veröffentlichung
• (who): Queen Mary University of London, School of Economics and Finance
• (where): London
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/122081
• Last update: 10.03.2025, 11:43 AM CET