Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets

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.


Issue Date:
2009-08
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/54547
Published in:
Journal of Agricultural and Resource Economics, Volume 34, Number 2
Page range:
276-296
Total Pages:
21




 Record created 2017-04-01, last modified 2017-08-25

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