Do Large Hedgers and Speculators React to Events? An Analysis of Stability and Events

Ikhlaas Gurrib

The IUP Journal of Financial Economics, 2007, vol. V, issue 2, 31-41

Abstract: Using Commodity Futures Trading Commission (CFTC) and Commitment of Traders (COT) data, this paper analyzes whether large hedgers and large speculators were influenced by the major economic events of the 1990s. Eight major economic events are analyzed for a period of 10 years, and findings support that these informed players were hardly affected by the major events. The trading determinant model, mean equation model, and risk and return relationship model, suggests that the behavior and performance of these key market players were stable, and any significant structural break were short lived. The use of standard deviation as a measure of risk captured more breaks in the risk and returns relationship model, due to its higher sensitiveness to futures prices in the 29 US futures markets.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:05:y:2007:i:2:p:31-41

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