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On speculators and hedgers in currency futures markets: who leads whom?

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  • Andreas Röthig

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  • Andreas Röthig, 2011. "On speculators and hedgers in currency futures markets: who leads whom?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(1), pages 63-69, January.
    • Handle: RePEc:wly:ijfiec:v:16:y:2011:i:1:p:63-69
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    References listed on IDEAS

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    1. Paul H. Cootner, 1960. "Returns to Speculators: Telser versus Keynes," Journal of Political Economy, University of Chicago Press, vol. 68(4), pages 396-396.
    2. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    3. A. Chatrath & F. Song & B. Adrangi, 2003. "Futures trading activity and stock price volatility: some extensions," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 655-664.
    4. Antoniou, Antonios & Garrett, Ian, 1993. "To What Extent Did Stock Index Futures Contribute to the October 1987 Stock Market Crash?," Economic Journal, Royal Economic Society, vol. 103(421), pages 1444-1461, November.
    5. Ralf Brüggemann, 2006. "Sources of German unemployment: a structural vector error correction analysis," Empirical Economics, Springer, vol. 31(2), pages 409-431, June.
    6. Lester G. Telser, 1960. "Returns to Speculators: Reply," Journal of Political Economy, University of Chicago Press, vol. 68(4), pages 404-404.
    7. Andreas Röthig & Carl Chiarella, 2007. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(8), pages 719-737, August.
    8. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.
    9. Louis Ederington & Jae Ha Lee, 2002. "Who Trades Futures and How: Evidence from the Heating Oil Futures Market," The Journal of Business, University of Chicago Press, vol. 75(2), pages 353-374, April.
    10. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
    11. G. Garvy, 1960. "Reply," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 74(4), pages 657-658.
    12. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    13. Nicholas Kaldor, 1940. "A Symposium on the Theory of the Forward Market: I. A Note on the Theory of the Forward Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(3), pages 196-201.
    14. Antonios Antoniou & Gioia Pescetto & Antonis Violaris, 2003. "Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5-6), pages 645-667.
    15. Nicholas Kaldor, 1939. "Speculation and Economic Stability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(1), pages 1-27.
    16. R. G. Hawtrey, 1940. "A Symposium on the Theory of the Forward Market: III. Mr. Kaldor on the Forward Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(3), pages 202-205.
    17. Antonios Antoniou & Gioia Pescetto & Antonis Violaris, 2003. "Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 645-667, June.
    18. Kawaller, Ira G & Koch, Paul D & Koch, Timothy W, 1987. "The Temporal Price Relationship between S&P 500 Futures and the S and P 500 Index," Journal of Finance, American Finance Association, vol. 42(5), pages 1309-1329, December.
    19. Chris Brooks & Ian Garrett, 2002. "Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 25-31.
    20. Helmut Lütkepohl, 2005. "Vector Error Correction Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 6, pages 237-267, Springer.
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    Cited by:

    1. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    2. Georg Lehecka, 2015. "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, vol. 49(2), pages 575-603, September.
    3. Liwei Jin & Xianghui Yuan & Jun Long & Xiang Li & Feng Lian, 2022. "Price discovery in the CSI 300 Index derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1352-1368, July.
    4. Andreas Röthig, 2012. "Cross‐Speculation In Currency Futures Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(3), pages 272-278, July.

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