Measurement errors in index trader positions data: Is the price pressure hypothesis still invalid?

Martin T. Bohl, Nicole Branger and Mark Trede

Applied Economic Perspectives and Policy, 2022, vol. 44, issue 3, 1534-1553

Abstract: In this paper, we examine whether the repeated rejection of Masters's price pressure hypothesis is robust with respect to measurement errors in index trader positions data. We allow for autocorrelated errors and a potential impact of index trader positions on both the level and volatility of commodity returns. The resulting state‐space model is estimated via particle Markov chain Monte Carlo (PMCMC). The empirical investigation relies on weekly data for 12 commodities listed in the SCoT and DCoT reports from 2006 to 2020. Our empirical findings show that the rejection of the price pressure hypothesis is robust concerning the inclusion of measurement errors in index trader positions data.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/aepp.13186

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apecpp:v:44:y:2022:i:3:p:1534-1553

Access Statistics for this article

More articles in Applied Economic Perspectives and Policy from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().