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An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?

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Listed:
  • Martin T. Bohl
  • Martin Stefan
  • Claudia Wellenreuther

Abstract

We introduce a novel type of commodity futures positions report issued by the European Securities and Markets Authority (ESMA). This report is interesting to researchers for two reasons: First, it allows analyzing European commodity markets, which, compared to US-American markets, have hitherto largely been ignored by the literature. Second, this new type of report offers the advantage of breaking down positions not only by the different types of traders but also by the underlying trading motives. This paper studies these new data for different energy and metal futures contracts. The results suggest that the extent of speculative positions might have been underestimated in earlier studies.

Suggested Citation

  • Martin T. Bohl & Martin Stefan & Claudia Wellenreuther, 2019. "An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?," CQE Working Papers 8619, Center for Quantitative Economics (CQE), University of Muenster.
    • Handle: RePEc:cqe:wpaper:8619
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    File URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/cqe_wp_86_2019.pdf
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    References listed on IDEAS

    as
    1. Ing-Haw Cheng & Wei Xiong, 2014. "Why Do Hedgers Trade So Much?," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 183-207.
    2. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
    3. Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2016. "Modelling futures price volatility in energy markets: Is there a role for financial speculation?," Energy Economics, Elsevier, vol. 53(C), pages 220-229.
    4. Darrell Duffie, 2014. "Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," The Journal of Legal Studies, University of Chicago Press, vol. 43(S2), pages 173-182.
    5. Dwight R. Sanders & Scott H. Irwin & Robert P. Merrin, 2010. "The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 32(1), pages 77-94.
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    Cited by:

    1. Martin T. Bohl & Nicole Branger & Mark Trede, 2022. "Measurement errors in index trader positions data: Is the price pressure hypothesis still invalid?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 44(3), pages 1534-1553, September.
    2. Friedrich, Marina & Mauer, Eva-Maria & Pahle, Michael & Tietjen, Oliver, 2020. "From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS," EconStor Preprints 196150, ZBW - Leibniz Information Centre for Economics, revised 2020.

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