Disaggregated Commitment Of Traders Data And Prospective Price Effects

Often, Einar M.; Wisen, Craig H.

doi:10.19030/jabr.v29i5.8021

Cited by 2 publications

(3 citation statements)

References 15 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The majority of the empirical literature on speculation in the commodity markets discusses the impact of financialisation as well as the role of speculators without considering a specific trader group. As a result, the largest part of the empirical literature also comes to the same conclusion (see Boyd et al, 2018;Fishe & Smith, 2019;Kim, 2015;Manera et al, 2013;Mayer et al, 2017;Often & Wisen, 2013;Wimmer et al, 2021). In the context of the increasing world population, this political and ethical discussion about the world's most essential resources remains vivid and primarily concentrates on index-tracking market players to our surprise.…”

Section: Introductionmentioning

confidence: 93%

“…They point out that either speculative behaviour in the agricultural, energy, and metal markets cannot be detected or Granger causality tests are not able to quantify the relationship well enough. Often and Wisen (2013) also investigate this relationship using Granger causality tests and show that hedgers in particular have a greater impact on prices in certain commodity markets (e.g., live cattle) than swap dealers or producers. As well as Often and Wisen (2013), Manera et al (2013) model speculative behaviour by Working's Speculative Index (Working, 1960), which measures the excessiveness of speculation as a ratio calculated by measuring the amount by which speculation exceeds commercial hedging needs, divided by commercial open interest.…”

Section: Review Of the Literaturementioning

confidence: 99%

“…Often and Wisen (2013) also investigate this relationship using Granger causality tests and show that hedgers in particular have a greater impact on prices in certain commodity markets (e.g., live cattle) than swap dealers or producers. As well as Often and Wisen (2013), Manera et al (2013) model speculative behaviour by Working's Speculative Index (Working, 1960), which measures the excessiveness of speculation as a ratio calculated by measuring the amount by which speculation exceeds commercial hedging needs, divided by commercial open interest. Using dynamic conditional correlation (DCC) multivariate GARCH models, they show that financial speculation cannot explain the returns of five agricultural commodities.…”

Section: Review Of the Literaturementioning

confidence: 99%

See 2 more Smart Citations

Long‐short speculator sentiment in agricultural commodity markets

Borgards

Czudaj

2022

Int. J Fin Econ

View full text Add to dashboard Cite

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short speculators as a proxy for their market sentiment. We find evidence that the sentiment period returns are considerably positive and differ significantly from neutral sentiment periods for all commodities which underlines the sentiment's relevance. In line with the empirical literature, we can reject the argument of price manipulation as the price continues to develop into the direction of the sentiment period although long-short speculators trade non-directionally in the following. We rather indicate the existence of a short-term time-series momentum effect, which can be robustly identified without the requirement to define an external model parameter. From the superior sentiment-based momentum returns, we conclude that long-short speculators have valuable, exclusive information, which cannot be replicated by observing their trading activity with a time lag of eight trading days. We also find that a sentiment-based momentum strategy generates significantly higher returns than the long-short speculators have realized in the fifteen-year sample period which we attribute to the complexity of the long-short speculators' investment strategies.

show abstract