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Journal of Agricultural and Resource Economics >
Volume 34, Number 2, August 2009 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/54547
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| Title: | Smart Money: The Forecasting Ability
of CFTC Large Traders in
Agricultural Futures Markets |
| Authors: | Sanders, Dwight R.
Irwin, Scott H.
Merrin, Robert P. |
| Keywords: | agricultural futures markets
commitments of traders
forecasting
prices |
| Issue Date: | 2009-08 |
| Abstract: | The forecasting content of the Commodity Futures Trading Commission’s Commitments
of Traders (COT) report is investigated. Bivariate Granger causality tests show very little
evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural
futures markets. However, there is substantial evidence that traders respond to price
changes. In particular, noncommercial traders display a tendency for trend following. The
other trader classifications display mixed styles, perhaps indicating those trader categories
capture a variety of traders. The results generally do not support use of the COT data
in predicting price movements in agricultural futures markets. |
| URI: | http://purl.umn.edu/54547 |
| Institution/Association: | Journal of Agricultural and Resource Economics>Volume 34, Number 2, August 2009 |
| Total Pages: | 21 |
| From Page: | 276 |
| To Page: | 296 |
| Collections: | Volume 34, Number 2, August 2009
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| JARE,Aug09,#04R,pp276-296.pdf | | 627Kb | PDF | View/Open |
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