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Determinants and dynamic interactions of trader positions in the gold futures market

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  • Chen, Yu-Lun
  • Mo, Wan-Shin

Abstract

We investigate the determinants of different traders’ trading positions in the gold futures market. With a threshold value determined endogenously by our model, we find that when the gold futures price falls below the threshold, money managers adopt positive feedback trading strategies while swap dealers adopt negative feedback trading strategies. When the futures price rises above the threshold, money managers turn to negative feedback trading and swap dealers reduce the intensity of their negative feedback. In addition, money managers and swap dealers play the transmitter role in trading spillovers to other traders, and their trading transmitter role weakens during periods with high gold prices.

Suggested Citation

  • Chen, Yu-Lun & Mo, Wan-Shin, 2023. "Determinants and dynamic interactions of trader positions in the gold futures market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000338
    DOI: 10.1016/j.jcomm.2023.100343
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    Cited by:

    1. Youtao Xiang & Sumuya Borjigin, 2024. "High–low volatility spillover network between economic policy uncertainty and commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1295-1319, August.

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    More about this item

    Keywords

    Gold futures; Money managers; Swap dealers; Logistic smooth transition autoregressive (LSTAR) model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G40 - Financial Economics - - Behavioral Finance - - - General

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