Cotton Commodity Futures Contract Positions and Real Cotton Commodity Market Dynamics Effects on Cotton Futures Returns

Orhan Özaydın
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Orhan Özaydın: Istanbul Commerce University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2020, vol. 35, issue 113, 301-326

Abstract: Commodity futures have been a major source of interest for market participants in recent history. However, the magnitude of this interest has raised the concern that speculative movements may have an impact on prices. it is tried to understand how cotton commodity returns between 2009-2018 are affected by long and short contract positions held by speculators and real market data such as production, consumption and stock. By help of EGARCH(1,1)model, it was seen that the position of speculators and the stock/usage ratios interacted with the return. The stock/use ratio, was found to be more effective on yield than speculator positions.

Keywords: Futures; Commodity Markets; Derivative Market Participants; Supply and Demand (search for similar items in EconPapers)
JEL-codes: G13 Q02 Q11 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:35:y:2020:i:113:p:301-326

DOI: 10.33203/mfy.628547

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