Speculative Pressure

John Hua, Adrian Fernandez-Perez, Ana-Maria Fuertes and Joelle Miffre ()
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John Hua: Griffith University [Brisbane]
Adrian Fernandez-Perez: AUT - Auckland University of Technology
Joelle Miffre: Audencia Business School

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Abstract: The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity, currency and equity index futures' speculative pressure is priced in the broad cross-section after controlling for momentum, carry, global liquidity and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques and subsamples inter alia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency and equity index futures markets.

Keywords: Speculative pressure; Risk premium; Pricing; Futures markets (search for similar items in EconPapers)
Date: 2020-04-01
New Economics Papers: this item is included in nep-fmk
Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-02500777
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Published in Journal of Futures Markets, 2020

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02500777

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