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Article: Futures Commitments and Commodity Price Jumps

TitleFutures Commitments and Commodity Price Jumps
Authors
KeywordsSpeculation
Futures
Volatility
Price jumps
Issue Date1999
PublisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/FR
Citation
The Financial Review (Statesboro), 1999, v. 34, p. 95-111 How to Cite?
AbstractWe examine the relationship between the commitments of three of the largest groups of futures traders and the abnormal price movements in five agricultural commodities. The general evidence suggests that the commitments of futures traders have been increasing over time, whereas the frequency of price jumps have not. Regression results indicate a negative relationship between price jumps and the commitments of speculators and small traders. There is also evidence of a negative relationship between the number of speculators and cash market volatility, consistent with a host of speculation-based theories.
Persistent Identifierhttp://hdl.handle.net/10722/85708
ISSN
2015 SCImago Journal Rankings: 0.477

 

DC FieldValueLanguage
dc.contributor.authorChatrath, Aen_HK
dc.contributor.authorSong, Fen_HK
dc.date.accessioned2010-09-06T09:08:16Z-
dc.date.available2010-09-06T09:08:16Z-
dc.date.issued1999en_HK
dc.identifier.citationThe Financial Review (Statesboro), 1999, v. 34, p. 95-111en_HK
dc.identifier.issn0732-8516en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85708-
dc.description.abstractWe examine the relationship between the commitments of three of the largest groups of futures traders and the abnormal price movements in five agricultural commodities. The general evidence suggests that the commitments of futures traders have been increasing over time, whereas the frequency of price jumps have not. Regression results indicate a negative relationship between price jumps and the commitments of speculators and small traders. There is also evidence of a negative relationship between the number of speculators and cash market volatility, consistent with a host of speculation-based theories.-
dc.languageengen_HK
dc.publisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/FRen_HK
dc.relation.ispartofThe Financial Review (Statesboro)en_HK
dc.rightsThe definitive version is available at www.blackwell-synergy.com-
dc.subjectSpeculation-
dc.subjectFutures-
dc.subjectVolatility-
dc.subjectPrice jumps-
dc.titleFutures Commitments and Commodity Price Jumpsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0800-3564&volume=34&spage=95&epage=111&date=1999&atitle=Futures+Commitments+and+Commodity+Price+Jumpsen_HK
dc.identifier.emailSong, F: fmsong@econ.hku.hken_HK
dc.identifier.authoritySong, FM=rp01095en_HK
dc.identifier.doi10.1111/j.1540-6288.1999.tb00465.x-
dc.identifier.hkuros53663en_HK
dc.identifier.volume34-
dc.identifier.spage95-
dc.identifier.epage111-
dc.publisher.placeUnited States-

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