Wang, Changyun (2001): The behavior and performance of major types of futures traders. Published in: Journal of Futures Markets , Vol. 23, No. 1 (January 2003): pp. 1-31.
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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.
|Item Type:||MPRA Paper|
|Original Title:||The behavior and performance of major types of futures traders|
|English Title:||The behavior and performance of major types of futures traders|
|Keywords:||Trader behavior; perfromance; hedgers; speculators|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading|
|Depositing User:||changyun wang|
|Date Deposited:||06. Feb 2012 16:18|
|Last Modified:||12. May 2015 02:06|
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