Does speculation increase volatility in grain futures markets? Evidence from the Interwar Chicago Board of Trade
利用两次世界大战期间芝加哥期货交易所的谷物期货交易数据，检验投机是否导致市场波动，发现投机并未引起波动，反而是波动吸引了投机。
Abstract A key justification for futures regulation in the interwar period was the idea that speculators were making grain prices volatile, and therefore speculative activity needed to be restricted. This paper uses new data on grain futures contracts traded at the Chicago Board of Trade to empirically assess whether speculators Granger caused volatility in futures markets during the interwar period. We find that speculators did not Granger cause volatility, but volatile markets Granger caused speculative activity. These results suggest that speculators entered volatile markets but did not increase volatility.