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Cotton Commodity Futures Contract Positions and Real Cotton Commodity Market Dynamics Effects on Cotton Futures Returns

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  • Orhan Özaydın

    (Istanbul Commerce University)

Abstract

Commodity futures have been a major source of interest for market participants in recent history. However, the magnitude of this interest has raised the concern that speculative movements may have an impact on prices. it is tried to understand how cotton commodity returns between 2009-2018 are affected by long and short contract positions held by speculators and real market data such as production, consumption and stock. By help of EGARCH(1,1)model, it was seen that the position of speculators and the stock/usage ratios interacted with the return. The stock/use ratio, was found to be more effective on yield than speculator positions.

Suggested Citation

  • Orhan Özaydın, 2020. "Cotton Commodity Futures Contract Positions and Real Cotton Commodity Market Dynamics Effects on Cotton Futures Returns," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 35(113), pages 301-326, April.
    • Handle: RePEc:acc:malfin:v:35:y:2020:i:113:p:301-326
    DOI: https://doi.org/10.33203/mfy.628547
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    Keywords

    Futures; Commodity Markets; Derivative Market Participants; Supply and Demand;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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