Hedging Pressure Effects in Futures Markets

By Frans A. de Roon, T. Nijman, C. Veld. 2000

467 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bc6fdfd569f04b6cf607a135f003637f4f1fbf8a

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Citations in the corpus

Investor Sentiment and Return Predictability in Agricultural Futures Markets (2001, background): “Bessembinder (1992) and De Roon et al. (2000) provided empirical evidence of hedgingpressure effects in broad futuresmarkets, although they did not attempt to measure the extent of hedging pressure effects.”
What has driven oil prices since 2000? A structural change perspective (2011, background): “The sharp rise in energy prices and their volatility has beenproven to undermine real economic development (Ferderer, 1996; Oberndorfer, 2009; Sadorsky, 1999). The relationship between the oil prices and the factors that influence themhas beenmuch investigated in the literature. By investigating the”
Time Series Momentum (2012, methodology): “To ensure no look-ahead bias contaminates our results, we use the volatility estimates at time t 1 applied to time-t returns throughout the analysis.”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “In line with the futures literature (e.g. see de Roon et al. 2000, Moskowitz et al. 2012), we find that there is large cross-sectional variation in the return distributions of the different assets.”
The Fundamentals of Commodity Futures Returns (2007, unknown): “And in empirical implementations of the Theory of Normal Backwardation, researchers have linked “hedging pressure” to variation in futures risk premiums (e.g., Carter et al (1983), Bessembinder (1992), De Roon et al (2000)).”
Demand-Based Option Pricing (2009, result): “Further, de Roon, Nijman, and Veld (2000) find futures-market evidence consistent with the model’s predictions.”
The Financialization of Commodity Markets (2014, background): “De Roon, Nijman, and Veld (2000) provide evidence that hedging pressure on a commodity futures market stems from not only its own-market but also hedgers’ short positions in other closely related commodities, or so-called cross-market hedging.”