Information Transparency and Risk Sharing in Commodity Futures Markets

dc.contributor.advisor

Chen, Qi

dc.contributor.advisor

Vashishtha, Rahul

dc.contributor.author

Wang, Shuyan

dc.date.accessioned

2023-06-08T18:22:33Z

dc.date.issued

2023

dc.department

Business Administration

dc.description.abstract

A central function of commodity futures markets is to help firms in the real sector insure against commodity price fluctuations. I examine how greater availability of information about commodity fundamentals (henceforth, information transparency) affects the capacity of these markets to accommodate firms’ hedging needs. Theory suggests that while greater availability of information can reduce adverse selection and increase traders’ willingness to absorb risk, it can also accelerate the realization of risk and hinder the transfer of risk via the markets. Using both cross-sectional variation in information transparency across 26 commodity markets over 20 years and information shocks induced by the launch of the Agricultural Market Information System (AMIS) and the SEC’s revision of firms’ 10-K oil and gas reserve disclosures, I document that information transparency (i) makes it costlier to use commodity futures to hedge commodity price risk and (ii) reduces traders’ propensity to trade futures. Evidence suggests that these findings are consistent with theories positing that information disclosure impairs risk-sharing opportunities. This study contributes new evidence on how information influences the efficient allocation of commodity price risk across the real and financial sectors.

dc.identifier.uri

https://hdl.handle.net/10161/27688

dc.subject

Accounting

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commodity futures markets

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Disclosure

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Hedging

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risk sharing

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Transparency

dc.title

Information Transparency and Risk Sharing in Commodity Futures Markets

dc.type

Dissertation

duke.embargo.months

24

duke.embargo.release

2025-05-24T00:00:00Z

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