Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Andreas Röthig () and Carl Chiarella ()

No 167, Darmstadt Discussion Papers in Economics from Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology)

Abstract: This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs.

Keywords: Futures markets; speculation; nonlinear dynamics; smooth transition regression model. (search for similar items in EconPapers)
JEL-codes: G10 G11 C22 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr, nep-fin and nep-fmk
Date: 2006-02
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Related works:
Working Paper: Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:tud:ddpiec:167

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