Author ORCID Identifier:
Date of Graduation
7-2026
Document Type
Thesis
Degree Name
Master of Science in Agricultural Economics (MS)
Degree Level
Graduate
Department
Agricultural Economics and Agribusiness
Advisor/Mentor
McKenzie, Andrew Malcom
Committee Member
Ahrendsen, Bruce L.
Second Committee Member
Yang, Yao
Keywords
Agricultural Futures Market, Prices, Vector Autoregressive models, Granger Causality
Abstract
The study evaluates the impact of speculative activity on agricultural commodity returns, specifically in the corn, soybeans, rice, and oats markets. The study also analyzed the influence commodity returns have on speculative positions. Weekly data from the Commodity Futures Trading Commission were used as a proxy for speculative activity, and futures data were also retrieved from Barchart. Vector Autoregressive models and the Granger Causality tests were estimated to identify the relationships between returns and speculation. The paper found that speculative positions do not Granger-cause returns over the course of a week except for rice Tuesday results, which recorded a statistically significant relationship. This is a new finding in literature, and this result may be because rice is a less liquid market than corn and soybean markets. This lower level of liquidity of rice potentially gives an oversized weight in influencing prices compared to liquid markets like corn and soybeans markets. The study also found that futures returns Granger-cause net speculative positions in all four markets. This supports the idea that speculators follow price trends such that when prices increase or fall, they take positions to take advantage of price moves. Large price moves or increased volatility attract speculative interest to the futures market. The study suggests that future research can focus on estimating whether speculators make a profit by changing their positions in response to changes in returns. The study also suggests that future research needs to differentiate the different types of speculators in the market to fully understand their trading motives.
Citation
Asamoah, C. (2026). The Role of Speculators in the Agricultural Futures Market and Their Impact on Prices. Graduate Theses and Dissertations Retrieved from https://scholarworks.uark.edu/etd/6356
