Rhys ap Gwilym
Can position limits restrain ‘rogue’ trading?
Gwilym, Rhys ap; Ebrahim, Muhammed-Shahid
Abstract
This paper studies the imposition of position limits on commodity futures from the perspective of curbing excessive speculation and thus manipulation. We present a simple general equilibrium model in a static rational expectations framework and agent heterogeneity to illustrate that excessive speculation serves to enrich other agents at the expense of the speculator. Position limits, on the contrary, are not only superfluous, but also counter-productive, as they exacerbate market power and lead to a deterioration in efficiency. Position limits not only reduce social welfare but also cannot restrain market manipulation.
Citation
Gwilym, R. A., & Ebrahim, M. (2013). Can position limits restrain ‘rogue’ trading?. Journal of Banking and Finance, 37(3), 824-836. https://doi.org/10.1016/j.jbankfin.2012.10.025
Journal Article Type | Article |
---|---|
Acceptance Date | Oct 25, 2012 |
Publication Date | 2013-03 |
Deposit Date | Sep 22, 2014 |
Journal | Journal of Banking and Finance |
Print ISSN | 0378-4266 |
Publisher | Elsevier |
Volume | 37 |
Issue | 3 |
Pages | 824-836 |
DOI | https://doi.org/10.1016/j.jbankfin.2012.10.025 |
Public URL | https://durham-repository.worktribe.com/output/1445175 |
You might also like
On the Ethicality of Islamic Banking’s Business Model
(2023)
Journal Article
Can Trade Credit Rejuvenate Islamic Banking?
(2022)
Journal Article
Can a Loan Valuation Adjustment (LVA) Approach Immunize Collateralized Debt from Defaults?
(2019)
Journal Article
Corporate Social Responsibility, Shariah-Compliance, and Earnings Quality
(2016)
Journal Article
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search