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Published version

Publication date

2025-03-01

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cc-by-nc (c) Alaminos Aguilera, David, 2025
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/226722

Rising Bubbles by Margin Calls

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https://doi.org/10.1016/j.frl.2024.106733

Abstract

This paper examines price bubble formation in commodity markets driven by margin calls, highlighting mechanisms causing extreme price volatility. Analyzing Nickel, WTI Oil, Silver, Copper, Wheat, Corn, and Soybean, I test five hypotheses on leverage, liquidity reduction, and positive feedback loops using advanced detection methods like LPPLS and GSADF. Results show high leverage and margin calls amplify volatility through forced trades and speculation. Asymmetrical reactions and herding behavior further exacerbate bubbles, particularly under supply constraints. My findings stress the need for improved risk management and regulatory measures to curb leverage-driven volatility, enhancing market stability and resilience.

Subject

Política de preus, Especulació, Empreses

Subject (English)

Prices policy, Speculation, Business enterprises

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Articles publicats en revistes (Empresa)

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ALAMINOS AGUILERA, David. Rising Bubbles by Margin Calls. Finance Research Letters. 2025. Vol. 74. ISSN 1544-6123. [consulted: 8 of June of 2026]. Available at: https://hdl.handle.net/2445/226722

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