The recent financialization in commodity futures markets has prompted many calls for restricting speculative activity due to its detrimental effect on market quality. One aspect of market quality is that new information is instantaneously reflected in the price. This article studies how speculative activity affects informational efficiency of commodity futures markets. We document significant temporal and cross-sectional variation in market efficiency in 19 commodity futures markets based on a sample covering the period from 1992 to 2019. The regression analysis finds evidence for a significant negative relation between speculative activity and the degree of informational efficiency. The results are robust across different window sizes. A subsequent analysis shows that the results are mainly driven by traditional long-short speculators while the influence of index trader is insignificant.

由于投机活动对市场质量产生不利影响，商品期货市场最近的金融化促使许多人呼吁限制投机活动。市场质量的一个方面是新信息立即反映在价格中。本文研究投机活动如何影响商品期货市场的信息效率。基于 1992 年至 2019 年期间的样本，我们记录了 19 个商品期货市场市场效率的显着时间和横截面变化。回归分析发现了投机活动与信息效率程度之间存在显着负相关的证据。结果在不同的窗口大小上都是稳健的。