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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۲ دارای ۳۴ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H760
سال نشر: ۲۰۲۲
نام ناشر (پایگاه داده): الزویر
نام مجله: Research in International Business and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۳۴ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۲ : انگیزه معامله گران و فشار پوشش ریسک در بازارهای آتی کالا
عنوان کامل انگلیسی:
Traders’ motivation and hedging pressure in commodity futures markets
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Abstract
This study seeks to explain the major drivers of trading activity in commodity futures markets and gage the effect of trading activity on commodity prices. Rather than concentrating on a specific commodity subgroup or a particular type of commodity traders, we provide an extensive overview of the behavior across all market participants and their influence on commodity prices by using a broad set of commodity futures contracts. Although commodity futures returns show comovement with financial fundamentals (U.S. dollar index, equity, and bond markets), based on the Disaggregated Commitment of Traders Report (DCOT), this relationship cannot be attributed to trading activity. Pricing in commodity markets can be predominantly attributed to hedgers and influential speculators (money managers), whereas small speculators (nonreportable traders) are crucial to some soft commodity futures similar to dealers in metals commodity futures. Furthermore, we find limited cases where inventory changes exert a sizable influence on position changes of DCOT traders.
Keywords: Hedgers, Speculators, Motivation, Interaction, Futures prices, Commodity markets
۱.Introduction
Although the economics of commodity markets have received considerable research attention recently, some important questions remain unanswered, notably those related to the empirical examination of what motivates various market participants. The behavior of many of these participants is the subject of continuing debate regarding the effects of trading, particularly by speculators, and recent regulatory initiatives by the U.S. Commodity Futures Trading Commission (CFTC) to potentially restrain such trading.
Our research objective is consistent with, and stimulated by, the publication of numerous recent studies that attempt to examine financial issues within specific markets or groups of industries to gain insights that would not be possible if we combine a wide range of assets and ignore specific factors. Studies focusing on industry specifics can reveal additional intuitions, as we intend to do in this study (e.g., see Hu and Xiong, 2013; Acharya et al., 2013; Klomp, 2020). This study examines two research questions: First, what is the impact of financial fundamentals (the U.S. dollar, equity, and bond markets) and factors, including momentum and/or contrarian behavior, on changes in commodity traders’ position? Second, what is the additional contribution and impact of changes in those trading positions, including hedging pressure, on commodity prices? In an effort to understand these primary drivers, our empirical examination aims to highlight the role of various types of traders, given that each group of traders in the commodity markets differs in its strategies, expectations, and motivations, notably the trading strategies of sophisticated traders, such as hedgers and speculators (e. g., De Roon et al., 2000; Sanders et al., 2004; Moskowitz et al., 2012; Rouwenhorst and Tang, 2012; Basu and Miffre, 2013; Cheng and Xiong, 2014; Fuertes et al., 2015; Basak and Pavlova, 2016; and Ji et al., 2020)…
۶.Conclusions and implications
We find that financial fundamentals proxied by equity and bond markets and the U.S. dollar account for only a small portion of variability in commodity traders’ positions for a subset of commodities. We also find that although the majority of commodity returns are strongly influenced by the U.S. dollar, returns for energy and industrial metal commodities are also influenced by equity and bond market performance; however, this relationship cannot be attributed to any single trader group. Returns in many commodity futures markets can be largely attributed to position changes by hedgers and prominent speculators (i.e., MMs), whereas small speculators (nonreportable traders) and swap dealers are crucial to some soft commodity markets and metals markets, respectively. Furthermore, we find limited cases when inventory changes exert a sizable influence on position changes as shown in the DCOT report.