IDEAS home Printed from https://ideas.repec.org/r/eee/eneeco/v26y2004i3p425-445.html
   My bibliography  Save this item

Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
  2. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 11-20.
  3. 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.
  4. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  5. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
  6. Jin‐Yu Chen & Xue‐Hong Zhu & Mei‐Rui Zhong, 2021. "Time‐varying effects and structural change of oil price shocks on industrial output: Evidence from China's oil industrial chain," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3460-3472, July.
  7. Irwin, Scott H. & Sanders, Dwight R., 2012. "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(3), pages 1-26, August.
  8. Chen, Hao & Liao, Hua & Tang, Bao-Jun & Wei, Yi-Ming, 2016. "Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models," Energy Economics, Elsevier, vol. 57(C), pages 42-49.
  9. Chen, Yu-Lun & Chang, Ya-Kai, 2015. "Investor structure and the informational efficiency of commodity futures prices," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 358-367.
  10. Nicole M. Moran & Scott H. Irwin & Philip Garcia, 2020. "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 611-652, December.
  11. Bohl, Martin T. & Siklos, Pierre L. & Stefan, Martin & Wellenreuther, Claudia, 2020. "Price discovery in agricultural commodity markets: Do speculators contribute?," Journal of Commodity Markets, Elsevier, vol. 18(C).
  12. Duc Huynh, Toan Luu & Burggraf, Tobias & Nasir, Muhammad Ali, 2020. "Financialisation of natural resources & instability caused by risk transfer in commodity markets," Resources Policy, Elsevier, vol. 66(C).
  13. Yu-Lun Chen & Yin-Feng Gau & Wen-Ju Liao, 2016. "Trading activities and price discovery in foreign currency futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 793-818, May.
  14. Ji, Qiang & Bahloul, Walid & Geng, Jiang-Bo & Gupta, Rangan, 2020. "Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective," Research in International Business and Finance, Elsevier, vol. 52(C).
  15. Alessandro Cologni & Elisa Scarpa & Francesco Giuseppe Sitzia, 2015. "Big Fish: Oil Markets and Speculation," Working Papers 2015.52, Fondazione Eni Enrico Mattei.
  16. Aysegul Ates, 2016. "Trading Activity and Prices in Energy Futures Market," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 4(2), pages 1-11.
  17. Pagano Patrizio & Pisani Massimiliano, 2009. "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
  18. Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2013. "Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation," Energy: Resources and Markets 151372, Fondazione Eni Enrico Mattei (FEEM).
  19. M. J. Lombardi & I. Van Robays, 2011. "Do Financial Investors Destabilize the Oil Price?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/760, Ghent University, Faculty of Economics and Business Administration.
  20. Silvério, Renan & Szklo, Alexandre, 2012. "The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market," Energy Economics, Elsevier, vol. 34(6), pages 1799-1808.
  21. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
  22. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
  23. Huang, Shupei & An, Haizhong & Wen, Shaobo & An, Feng, 2017. "Revisiting driving factors of oil price shocks across time scales," Energy, Elsevier, vol. 139(C), pages 617-629.
  24. Pedro Linhares Rossi & Guilherme Santos Mello, 2014. "The Fourth Dimension: Derivatives As A Form Of Capital," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 025, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  25. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
  26. Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013. "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, vol. 36(C), pages 491-502.
  27. Algieri, Bernardina & Leccadito, Arturo, 2019. "Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 40-54.
  28. Mayer, Herbert & Rathgeber, Andreas & Wanner, Markus, 2017. "Financialization of metal markets: Does futures trading influence spot prices and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 300-316.
  29. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
  30. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
  31. Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
  32. Bosch, David & Smimou, K., 2022. "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  33. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
  34. Donia Aloui & Stéphane Goutte & Khaled Guesmi & Rafla Hchaichi, 2020. "COVID 19's impact on crude oil and natural gas S&P GS Indexes," Working Papers halshs-02613280, HAL.
  35. Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
  36. Zhang, Yue-Jun, 2013. "Speculative trading and WTI crude oil futures price movement: An empirical analysis," Applied Energy, Elsevier, vol. 107(C), pages 394-402.
  37. Tokic, Damir, 2012. "Speculation and the 2008 oil bubble: The DCOT Report analysis," Energy Policy, Elsevier, vol. 45(C), pages 541-550.
  38. Marcella Nicolini & Matteo Manera & Ilaria Vignati, 2013. "Detecting speculation in volatility of commodities futures markets," EcoMod2013 5125, EcoMod.
  39. Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021. "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, vol. 22(C).
  40. Zhou, Ying-Zhe & Huang, Jian-Bai & Chen, Jin-Yu, 2019. "Time-varying effect of the financialization of nonferrous metals markets on China's industrial sector," Resources Policy, Elsevier, vol. 64(C).
  41. Dwight R. Sanders & Scott H. Irwin, 2010. "A speculative bubble in commodity futures prices? Cross‐sectional evidence," Agricultural Economics, International Association of Agricultural Economists, vol. 41(1), pages 25-32, January.
  42. Kaufmann, Robert K., 2011. "The role of market fundamentals and speculation in recent price changes for crude oil," Energy Policy, Elsevier, vol. 39(1), pages 105-115, January.
  43. Martin T. Bohl & Nicole Branger & Mark Trede, 2019. "Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?," CQE Working Papers 8019, Center for Quantitative Economics (CQE), University of Muenster.
  44. Lubnau, Thorben & Todorova, Neda, 2015. "Trading on mean-reversion in energy futures markets," Energy Economics, Elsevier, vol. 51(C), pages 312-319.
  45. Babajide Fowowe, 2014. "Paper oil and physical oil: has speculative pressure in oil futures increased volatility in spot oil prices?," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 356-372, September.
  46. 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.
  47. Gong, Xu & Chen, Liqiang & Lin, Boqiang, 2020. "Analyzing dynamic impacts of different oil shocks on oil price," Energy, Elsevier, vol. 198(C).
  48. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
  49. Chang, Ya-Kai & Chen, Yu-Lun & Chou, Robin K. & Gau, Yin-Feng, 2013. "The effectiveness of position limits: Evidence from the foreign exchange futures markets," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4501-4509.
  50. 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.
  51. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
  52. Su, Hui & Zhou, Na & Wu, Qiaosheng & Bi, Zhiwei & Wang, Yuli, 2023. "Investigating price fluctuations in copper futures: Based on EEMD and Markov-switching VAR model," Resources Policy, Elsevier, vol. 82(C).
  53. Bahattin Buyuksahin & Jeffrey H. Harris, 2011. "Do Speculators Drive Crude Oil Futures Prices?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 167-202.
  54. Chen, Yu-Lun & Mo, Wan-Shin & Chang, Ya-Kai, 2022. "Investor sentiment spillover effect and market quality in crude oil futures," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 177-193.
  55. Ziran Li & Dermot J. Hayes, 2022. "The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 428-445, March.
  56. Chen, Yanhui & Zhang, Chuan & He, Kaijian & Zheng, Aibing, 2018. "Multi-step-ahead crude oil price forecasting using a hybrid grey wave model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 98-110.
  57. Dwight R. Sanders and Scott H. Irwin, 2013. "Measuring Index Investment in Commodity Futures Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  58. Kesicki, Fabian, 2010. "The third oil price surge - What's different this time?," Energy Policy, Elsevier, vol. 38(3), pages 1596-1606, March.
  59. Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang, 2016. "Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1917-1928, December.
  60. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.
  61. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Working Papers hal-03508699, HAL.
  62. Sigl-Grüb, C. & Schiereck, D., 2010. "Speculation and Nonlinear Price Dynamics in Commodity Futures Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56603, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  63. Bosch, David & Pradkhan, Elina, 2015. "The impact of speculation on precious metals futures markets," Resources Policy, Elsevier, vol. 44(C), pages 118-134.
  64. Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany.
  65. Chen, Haojun & Maher, Daniela, 2013. "On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 177-201.
  66. Hao, Na & Colson, Gregory & Seong, Byeongchan & Park, Cheolwoo & Wetzstein, Michael, 2015. "Drought, ethanol, and livestock," Energy Economics, Elsevier, vol. 49(C), pages 301-307.
  67. Li, Xin & Ma, Jian & Wang, Shouyang & Zhang, Xun, 2015. "How does Google search affect trader positions and crude oil prices?," Economic Modelling, Elsevier, vol. 49(C), pages 162-171.
  68. Bu, Hui, 2014. "Effect of inventory announcements on crude oil price volatility," Energy Economics, Elsevier, vol. 46(C), pages 485-494.
  69. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021. "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 107-120.
  70. Sanders, Dwight R. & Manfredo, Mark R., 2005. "Price Discovery in Private Cash Forward Markets - The Case of Lumber," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19049, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  71. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2007. "Smart Money? The Forecasting Ability of CFTC Large Traders," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37556, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  72. Kolodziej, Marek & Kaufmann, Robert K., 2013. "The role of trader positions in spot and futures prices for WTI," Energy Economics, Elsevier, vol. 40(C), pages 176-182.
  73. Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
  74. Adam E. Clements & Neda Todorova, 2016. "Information Flow, Trading Activity and Commodity Futures Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 88-104, January.
  75. Mutafoglu, Takvor H. & Tokat, Ekin & Tokat, Hakki A., 2012. "Forecasting precious metal price movements using trader positions," Resources Policy, Elsevier, vol. 37(3), pages 273-280.
  76. Fan, Ying & Xu, Jin-Hua, 2011. "What has driven oil prices since 2000? A structural change perspective," Energy Economics, Elsevier, vol. 33(6), pages 1082-1094.
  77. Berk, Istemi & Rauch, Jannes, 2016. "Regulatory interventions in the US oil and gas sector: How do the stock markets perceive the CFTC's announcements during the 2008 financial crisis?," Energy Economics, Elsevier, vol. 54(C), pages 337-348.
  78. Chen, Jinyu & Zhu, Xuehong & Zhong, Meirui, 2019. "Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 489-500.
  79. Liu, Yanqiong & Guo, Yaoqi & Wei, Qing, 2024. "Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods," Journal of Commodity Markets, Elsevier, vol. 34(C).
  80. 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.
  81. Algieri, Bernardina, 2012. "Price Volatility, Speculation and Excessive Speculation in Commodity Markets: sheep or shepherd behaviour?," Discussion Papers 124390, University of Bonn, Center for Development Research (ZEF).
  82. Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
  83. Lai, Hung-Cheng & Wang, Kuan-Min, 2014. "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, vol. 41(C), pages 156-165.
  84. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009. "Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 34(2), pages 1-21, August.
  85. Rob Hayward, 2018. "Foreign Exchange Speculation: An Event Study," IJFS, MDPI, vol. 6(1), pages 1-13, February.
  86. Douwe Kingma & Wim Suyker, 2004. "FAQs about oil and the world economy," CPB Memorandum 104, CPB Netherlands Bureau for Economic Policy Analysis.
  87. Shanker, Latha, 2017. "New indices of adequate and excess speculation and their relationship with volatility in the crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 18-35.
  88. Cologni, Alessandro & Scarpa, Elisa & Sitzia, Francesco Giuseppe, 2015. "Big Fish: Oil Markets and Speculation," Energy: Resources and Markets 206220, Fondazione Eni Enrico Mattei (FEEM).
  89. repec:bla:opecrv:v:34:y:2010:i:1:p:25-41 is not listed on IDEAS
  90. Douwe Kingma & Wim Suyker, 2004. "FAQs about oil and the world economy," CPB Memorandum 104.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  91. Yulia Merkoulova, 2020. "Predictive abilities of speculators in energy markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 804-815, May.
  92. He, Yongda & Lin, Boqiang, 2019. "Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI," Energy, Elsevier, vol. 176(C), pages 900-916.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.