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

By D. R. Sanders, Keith Boris, Mark R. Manfredo. 2004

168 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/40ca5fba6b343008ffca32284ec9fb44f8a5a272

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Citations in the corpus

The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010, unknown): “Speculative Measures Working (1960) developed his speculative “T” index to measure the amount of speculation to “carry” hedging after accounting for the amount of long and short hedging that offset each other.”
Do Financial Investors Destabilize the Oil Price? (2011, background): “Moreover, studies that want to evaluate the role of the index funds directly using trader s position data, also have to rely on rough approximations.3 For this reason, we will 2See Sanders et al. (2004) for a more detailed explanation.”
Do Speculators Drive Crude Oil Futures Prices? (2011, background): “Sanders et al (2004) using weekly aggregated COT data, ﬁnd uni-directional causality from returns to net positions, rather than the opposite.”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “Shah and Brorsen (2011) find that in a sideby-side comparison electronic order matching at the Kansas City Board of Trade has considerably lower liquidity costs compared with open outcry (floor) trading.”
A speculative bubble in commodity futures prices? Cross-sectional evidence (2009, methodology): “Following Sanders, Boris, and Manfredo (2004), the percent net long (PNL) is also used to measure the position of traders with in a market, (1) tt tt t CISCIL CISCILPNL + − =Index Commodity 6 where, CIL is commodity index long positions and CIS is commodity index short positions.”
The role of market fundamentals and speculation in recent price changes for crude oil (2011, background): “Sanders et al. (2004) find that positive futures returns ‘Granger cause’ a net increase in the percent long position by noncommercial traders.”
Risk-Adjusted Forecasts of Oil Prices (2009, background): “14Formal analysis of energy futures markets (Sanders et al., 2004) reveals that positive futures returns Granger-cause increases in the net long positions held by reporting noncommercial traders.”
The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results (2010, methodology): “So, it is often thought that the non-commercial category is a relatively pure subset of reporting speculators (Sanders, Boris, and Manfredo, 2004).”
Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009, background): “These tests establish whether lagged position changes help to forecast current futures price changes.8 Sanders, Boris, and Manfredo (2004), Bryant, Bessler, and Haigh (2006), Gorton, Hayashi, and Rouwenhorst (2007), and Sanders, Irwin, and Merrin (2008b) conduct Granger causality tests using…”