Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?

Martin T. Bohl, Nicole Branger and Mark Trede ()

No 8019, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: In this paper, we examine whether the repeated rejection of Masters' price pressure hypothesis is robust with respect to measurement errors in index trader position data. We allow for autocorrelated errors and a potential impact of index trader positions on the level and volatility of commodity returns. The resulting state-space model is estimated via particle MCMC. The empirical investigation relies on weekly data for eleven commodities contained in the SCoT reports. 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.

Keywords: Masters' Price Pressure Hypothesis; Measurement Errors; Commodity Futures Markets; Index Traders; CFTC Data (search for similar items in EconPapers)
JEL-codes: C18 G41 Q02 Q14 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2019-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/cqe_wp_80_2019.pdf Version of March 2019 (application/pdf)

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:cqe:wpaper:8019

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().