Title: The impact of market participants' interaction on futures prices: comparing three US wheat futures markets

Authors: David Bosch

Addresses: Institute of Finance, School of Business and Economics, Humboldt-University of Berlin Spandauer Street 1, 10178 Berlin, Germany

Abstract: The extreme price movements in the three US wheat futures markets in 2008 and 2011 can be largely explained by fundamental developments. But different price reactions in those wheat futures markets raise doubt whether only supply and demand moved wheat futures prices. The question arises whether the different behaviour of market participants is also essential for price discovery. This study examines the influence of different market structures on prices of the three most important US wheat futures markets. For this purpose, trader's positions of the disaggregated commitments of traders (DCoT) report from June 2006 to December 2013 are analysed. Results reveal that during the price peak, the behaviour of hedgers and other market participants at the Minneapolis Grain Exchange contributed to the decoupling of wheat futures prices from the fundamental development. This demonstrates that market structure is of great importance for price development in futures markets.

Keywords: wheat futures markets; supply; demand; speculation; hedging; Chicago Board of Trade; Kansas City Board of Trade; Minneapolis Grain Exchange; disaggregated Commitments of traders; market structure.

DOI: 10.1504/IJFMD.2017.10008834

International Journal of Financial Markets and Derivatives, 2017 Vol.6 No.2, pp.120 - 148

Accepted: 04 Aug 2017
Published online: 13 Nov 2017 *

Full-text access for editors Access for subscribers Purchase this article Comment on this article