Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports Export

@article{citeulike:4522952, abstract = {The Commodity Futures Trading Commission (CFTC)'s Commitments of Traders (COT) data are examined for crude oil, unleaded gasoline, heating oil, and natural gas futures contracts. The collection procedures for the COT data are first examined, followed by Granger causality tests to determine if relationships between trader positions and market prices exist. A positive correlation between returns and positions held by noncommercial traders, and a negative correlation between commercial positions and market returns, are found. Furthermore, positive returns result in an increase in noncommercial net positions in the following week, whereas the net long positions held by commercial hedgers decline following price increases. However, traders' net positions do not lead market returns in general.}, author = {Sanders, D.}, citeulike-article-id = {4522952}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.eneco.2004.04.010}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/S0140-9883(04)00020-9}, doi = {10.1016/j.eneco.2004.04.010}, issn = {01409883}, journal = {Energy Economics}, keywords = {behaviour, derivative, hedge, information, sentiment}, month = {May}, number = {3}, pages = {425--445}, posted-at = {2009-05-15 11:20:35}, priority = {2}, title = {Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports}, url = {http://dx.doi.org/10.1016/j.eneco.2004.04.010}, volume = {26}, year = {2004} }

TY - JOUR ID - citeulike:4522952 L3 - citeulike-article-id:4522952 N2 - The Commodity Futures Trading Commission (CFTC)'s Commitments of Traders (COT) data are examined for crude oil, unleaded gasoline, heating oil, and natural gas futures contracts. The collection procedures for the COT data are first examined, followed by Granger causality tests to determine if relationships between trader positions and market prices exist. A positive correlation between returns and positions held by noncommercial traders, and a negative correlation between commercial positions and market returns, are found. Furthermore, positive returns result in an increase in noncommercial net positions in the following week, whereas the net long positions held by commercial hedgers decline following price increases. However, traders' net positions do not lead market returns in general. IS - 3 JF - Energy Economics SN - 01409883 EP - 445 TI - Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports VL - 26 SP - 425 KW - behaviour KW - derivative KW - hedge KW - information KW - sentiment AU - Sanders, D PY - 2004/05// UR - http://dx.doi.org/10.1016/j.eneco.2004.04.010 ER -