Activities per year
We examine the liquidity and insurance premia demanded by hedgers and speculators in commodity markets. We find that hedgers and speculators demand a higher premium for illiquid commodities for providing insurance and liquidity, respectively. Decomposing illiquidity into turnover and size components, we find evidence of a size premium associated with the insurance premium such that speculators demand a larger insurance premium for smaller commodities. We also find that the liquidity premium demanded by hedgers for illiquid commodities varies across bullish and bearish markets with hedgers demanding a larger premium from speculators trading in illiquid commodities in bearish markets.
FunderCentral Bank of Sri Lanka
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Economics and Econometrics
FingerprintDive into the research topics of 'An analysis of illiquidity in commodity markets'. Together they form a unique fingerprint.
- 4 Participation in conference
Chanaka Ganepola (Contributor) & Ian Garrett (Speaker)13 Aug 2018 → 15 Aug 2018
Activity: Participating in or organising an event › Participation in conference