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Who Trades Futures and How: Evidence from the Heating Oil Futures Market

Citations

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Cited by:

  1. Kun Peng & Zhepeng Hu & Michel A. Robe, 2024. "Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 803-825, May.
  2. Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  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. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  5. Rajkumar Janardanan & Xiao Qiao & K. Geert Rouwenhorst, 2019. "On commodity price limits," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 946-961, August.
  6. 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.
  7. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
  8. Martin T. Bohl & Martin Stefan, 2020. "Return dynamics during periods of high speculation in a thinly traded commodity market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 145-159, January.
  9. 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.
  10. Miffre, Joëlle & Brooks, Chris, 2013. "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 230-240.
  11. Smales, Lee A., 2016. "Trading behavior in S&P 500 index futures," Review of Financial Economics, Elsevier, vol. 28(C), pages 46-55.
  12. 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.
  13. Basak, Suleyman & Croitoru, Benjamin, 2006. "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
  14. Robert Weiner, 2006. "Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market," RFF Working Paper Series dp-06-31, Resources for the Future.
  15. John Hua Fan & Adrian Fernandez‐Perez & Ana‐Maria Fuertes & Joëlle Miffre, 2020. "Speculative pressure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 575-597, April.
  16. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
  17. 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.
  18. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
  19. 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).
  20. Henry L. Bryant & David A. Bessler & Michael S. Haigh, 2006. "Causality in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(11), pages 1039-1057, November.
  21. Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
  22. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
  23. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
  24. Changyun Wang, 2003. "The behavior and performance of major types of futures traders," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(1), pages 1-31, January.
  25. 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.
  26. Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
  27. Claudia Wellenreuther & Jan Voelzke, 2019. "Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 405-417, April.
  28. Robe, Michel A. & Roberts, John S., 2024. "Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets," Journal of Commodity Markets, Elsevier, vol. 34(C).
  29. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  30. Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  31. Yao, Wei & Alexiou, Constantinos, 2024. "On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1054-1072.
  32. Haase, Marco & Huss, Matthias, 2018. "Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 29-46.
  33. 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.
  34. Basu, Devraj & Miffre, Joëlle, 2013. "Capturing the risk premium of commodity futures: The role of hedging pressure," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2652-2664.
  35. Rousse, Olivier & Sévi, Benoît, 2016. "Informed Trading in Oil-Futures Market," ESP: Energy Scenarios and Policy 249788, Fondazione Eni Enrico Mattei (FEEM).
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
  41. 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).
  42. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.
  43. 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).
  44. Maria Cristina Sterie & Ionut Laurentiu Petre & Iulia Bianca Bogos, 2022. "The Influence of Ukraine’s Foreign Grain Trade through Romania on Prices," Commodities, MDPI, vol. 1(2), pages 1-15, November.
  45. Nikolay Gospodinov & Ibrahim Jamali, 2018. "Monetary policy uncertainty, positions of traders and changes in commodity futures prices," European Financial Management, European Financial Management Association, vol. 24(2), pages 239-260, March.
  46. 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.
  47. 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.
  48. Bohl Martin T., 2016. "Treiben Indexfonds Agrarrohstoffpreise? Nein!," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 17(2), pages 155-171, July.
  49. Robe, Michel A. & Roberts, John S., 2021. "20 Years of CFTC Data: Who Holds Positions in Agricultural Futures Markets?," 2021 Annual Meeting, August 1-3, Austin, Texas 313995, Agricultural and Applied Economics Association.
  50. Loïc Maréchal, 2023. "A tale of two premiums revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 580-614, May.
  51. Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018. "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, vol. 54(C), pages 69-91.
  52. 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.
  53. Inci, Ahmet Can & Lu, Biao, 2007. "Currency futures-spot basis and risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 180-197, April.
  54. Peña, Juan Ignacio & Rodriguez, Rosa, 2018. "Default supply auctions in electricity markets: Challenges and proposals," Energy Policy, Elsevier, vol. 122(C), pages 142-151.
  55. 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.
  56. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predicting inflation expectations: A habit-based explanation under hedging," International Review of Financial Analysis, Elsevier, vol. 89(C).
  57. D'Ecclesia, Rita L. & Magrini, Emiliano & Montalbano, Pierluigi & Triulzi, Umberto, 2014. "Understanding recent oil price dynamics: A novel empirical approach," Energy Economics, Elsevier, vol. 46(S1), pages 11-17.
  58. Sanders, Dwight R. & Boris, Keith & Manfredo, Mark, 2004. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports," Energy Economics, Elsevier, vol. 26(3), pages 425-445, May.
  59. 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.
  60. Martin T. Bohl & Martin Stefan, 2018. "Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market," CQE Working Papers 7418, Center for Quantitative Economics (CQE), University of Muenster.
  61. Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 13-32.
  62. Maul Daniel & Fischer Martin & Schiereck Dirk, 2015. "Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(6), pages 608-629, December.
  63. Martin T. Bohl & Christoph Sulewski, 2018. "The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices," CQE Working Papers 7718, Center for Quantitative Economics (CQE), University of Muenster.
  64. 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.
  65. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
  66. Dwight R. Sanders & Scott H. Irwin, 2013. "Measuring Index Investment in Commodity Futures Markets," The Energy Journal, , vol. 34(3), pages 105-127, July.
  67. 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.
  68. Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
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