The Euronext Wheat Market: Participants And Their Importance
Lautier, Delphine; Poullain, Alexis; Robe, Michel A. (2021), The Euronext Wheat Market: Participants And Their Importance, XVI EAAE virtual Congress :"Raising the impact of Agricultural Economics", 2021-07, Prague, Czech Republic
TypeCommunication / Conférence
Conference titleXVI EAAE virtual Congress :"Raising the impact of Agricultural Economics"
Conference countryCzech Republic
MetadataShow full item record
Dauphine Recherches en Management [DRM]
Autorité des marchés financiers [AMF]
Robe, Michel A.
College of Agricultural, Consumer and Environmental Sciences [Illinois] [ACES]
Abstract (EN)We utilize confidential regulatory data to identify a typology of stakeholders on the Euronext wheat (“Black Sea wheat”) market, and to document key patterns of market participation. Specifically, we identify the relative importance of different types of end-customers in the wheat market through 2019—in terms of both intraday transactions and overnight positions. For end-of-day positions, we differentiate between financial operators (with three separate categories for investment firms, funds, and other financial institutions ) and commercial actors (a category that groups producers, storers, transformers, and physical-market dealers and merchants). We propose a simple theoretical model tying the commodity index traders (CIT)s’ aggregate long position to the difference between futures and expected future spot prices, and provide supporting empirical evidence on the difference between the risk premia in the US soft red winter vs. Euronext wheat markets. For intraday transactions, we provide novel evidence that the three largest trader categories are (in order of decreasing contribution to overall volume) “point-and-click” arbitragers, ultra-fast traders, and large commercial traders. We document activity patterns of these types of traders during the delivery period, and show that “point-and-click” traders contribute substantially to the trading volume both before and during the maturity period.
Subjects / Keywordsstock exchange; stakeholders
Showing items related by title and author.