Please use this identifier to cite or link to this item:
|Title:||The behavior and performance of major types of futures traders||Authors:||Wang, C.||Issue Date:||2003||Citation:||Wang, C. (2003). The behavior and performance of major types of futures traders. Journal of Futures Markets 23 (1) : 1-31. ScholarBank@NUS Repository. https://doi.org/10.1002/fut.10056||Abstract:||This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (negatively) correlated with subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power. Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers have a destabilizing impact on futures prices. © 2003 Wiley Periodicals, Inc.||Source Title:||Journal of Futures Markets||URI:||http://scholarbank.nus.edu.sg/handle/10635/44528||ISSN:||02707314||DOI:||10.1002/fut.10056|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.