Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates
| Autor: | Chunming Yuan, Aaron Tornell |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Economics and Econometrics
Financial economics jel:F31 Trough (economics) jel:G13 General Business Management and Accounting Spot Exchange Rates Currency Futures Speculation Hedging Commitments of Traders jel:G17 jel:F37 jel:G15 Currency Accounting mental disorders Econometrics Economics Foreign exchange market Futures contract psychological phenomena and processes health care economics and organizations Finance |
| Zdroj: | Journal of Futures Markets. 32:122-151 |
| ISSN: | 0270-7314 |
| DOI: | 10.1002/fut.20511 |
| Popis: | This study presents an empirical analysis investigating the relationship between the futures trading activities of speculators and hedgers and the potential movements of major spot exchange rates. A set of trader position measures are employed as regression predictors, including the level and change of net positions, an investor sentiment index, extremely bullish/bearish sentiments, and the peak/trough indicators. We find that the peaks and troughs of net positions are generally useful predictors to the evolution of spot exchange rates, but other trader position measures are less correlated with future market movements. In addition, speculative position measures usually forecast price-continuations in spot rates while hedging position measures forecast price-reversals in these markets. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark |
| Databáze: | OpenAIRE |
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