Determinants and dynamic interactions of trader positions in the gold futures market

Yu-Lun Chen and Wan-Shin Mo

Journal of Commodity Markets, 2023, vol. 31, issue C

Abstract: We investigate the determinants of different traders’ trading positions in the gold futures market. With a threshold value determined endogenously by our model, we find that when the gold futures price falls below the threshold, money managers adopt positive feedback trading strategies while swap dealers adopt negative feedback trading strategies. When the futures price rises above the threshold, money managers turn to negative feedback trading and swap dealers reduce the intensity of their negative feedback. In addition, money managers and swap dealers play the transmitter role in trading spillovers to other traders, and their trading transmitter role weakens during periods with high gold prices.

Keywords: Gold futures; Money managers; Swap dealers; Logistic smooth transition autoregressive (LSTAR) model (search for similar items in EconPapers)
JEL-codes: G10 G21 G40 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000338

DOI: 10.1016/j.jcomm.2023.100343

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