Non-commercial actors and the recent futures prices of wheat

The paper examines empirically the influence of speculative activity by different typologies of non-commercial actors on futures prices returns for hard red winter wheat. The analysis is based on weekly data ranging from 01/2000 to 04/2012 and conducts different ratios taken from the Commitment of Traders Legacy Report and the Supplemental Commitments of Traders Report as proxies for speculative activity and introducing a methodology that makes a distinction between realized effects of futures and spot prices. The speculative effects are investigated applying Granger causality tests for the whole period as well as for various sub-periods based on a moving window of data. Results provide very week evidence for the influence of speculation on futures price return and dependent from the speculation variables adopted