Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor | Faculty of Business | en_US |
| dc.contributor.advisor | Tong, Wilson (AF) | - |
| dc.creator | Fan, Stephanie Winnie | - |
| dc.identifier.uri | https://theses.lib.polyu.edu.hk/handle/200/7971 | - |
| dc.language | English | en_US |
| dc.publisher | Hong Kong Polytechnic University | - |
| dc.rights | All rights reserved | en_US |
| dc.title | Do speculators drive futures prices? : evidence from the futures prices of precious metals | en_US |
| dcterms.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. | en_US |
| dcterms.extent | vii, 119 leaves : color illustrations ; 30 cm | en_US |
| dcterms.isPartOf | PolyU Electronic Theses | en_US |
| dcterms.issued | 2013 | en_US |
| dcterms.educationalLevel | All Doctorate | en_US |
| dcterms.educationalLevel | D.B.A. | en_US |
| dcterms.LCSH | Metals as an investment. | en_US |
| dcterms.LCSH | Precious metals. | en_US |
| dcterms.LCSH | Futures market. | en_US |
| dcterms.LCSH | Speculation. | en_US |
| dcterms.LCSH | Hong Kong Polytechnic University -- Dissertations | en_US |
| dcterms.accessRights | restricted access | en_US |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| b2825627x.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 4.7 MB | Adobe PDF | View/Open |
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