Do Large Hedgers and Speculators React to Events? A Stability and Events Analysis

Applied Financial Economics Letters, 2008, 4, 259–267. doi.org/10.1080/17446540701720501

Posted: 8 Jun 2021

Date Written: December 12, 2008

Abstract

Using CFTC’s COT data, this letter analysed whether large hedgers and large speculators were influenced by major economic events of the 1990s. Eight major economics events are looked at over 10-year period, and findings support that these informed players were hardly affected by major events. The trading determinant model, mean equation model and, risk and return relationship model suggested the behaviour and performance of these key market players were stable, and any significant structural break were short lived. The use of SD as a measure of risk captured more breaks in the risk and return relationship model, due to its higher sensitiveness to futures prices in the 29 US futures markets.

Keywords: CFTC, hedgers, speculators, stability, event analysis

JEL Classification: G01, G14, G15

Suggested Citation

Gurrib, Ikhlaas, Do Large Hedgers and Speculators React to Events? A Stability and Events Analysis (December 12, 2008). Applied Financial Economics Letters, 2008, 4, 259–267. doi.org/10.1080/17446540701720501, Available at SSRN: https://ssrn.com/abstract=3852910

Ikhlaas Gurrib (Contact Author)

Canadian University Dubai ( email )

School of Graduate Studies
Sheikh Zayed Road
Dubai, 117781
United Arab Emirates

HOME PAGE: http://www.cud.ac.ae

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