|Author:||Fan, Stephanie Winnie|
|Title:||Do speculators drive futures prices? : evidence from the futures prices of precious metals|
|Subject:||Metals as an investment.|
Hong Kong Polytechnic University -- Dissertations
|Department:||Faculty of Business|
|Pages:||vii, 119 leaves : color illustrations ; 30 cm|
|Abstract:||This study examines the effect of the trading activities of speculators and other major traders on the prices and volatility of the precious metals futures markets. I consider the new Disaggregated Commitments of Traders (DCOT) report released by the Commodity Futures Trading Commission (CFTC). The evidence shows that managed money speculators do not drive the futures prices of gold, silver, palladium and platinum. Instead, regression results show strong evidence that the returns of precious metals affect the managed money speculators' positions in every precious metals market. Consistent with positive feedback trading, traders buy when prices increase and sell prices decrease. In addition, there is a strong contemporaneous relationship between the net positions of all types of traders and returns. Finally, I find that gold and silver volatility began to increase after the commodity index funds began to actively participate in the futures markets. This finding could help regulators better understand the roles of speculators in the futures markets and whether the position limits rule should be imposed.|
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