An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?

Martin T. Bohl, Martin Stefan and Claudia Wellenreuther

No 8619, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: We introduce a novel type of commodity futures positions report issued by the European Securities and Markets Authority (ESMA). This report is interesting to researchers for two reasons: First, it allows analyzing European commodity markets, which, compared to US-American markets, have hitherto largely been ignored by the literature. Second, this new type of report offers the advantage of breaking down positions not only by the different types of traders but also by the underlying trading motives. This paper studies these new data for different energy and metal futures contracts. The results suggest that the extent of speculative positions might have been underestimated in earlier studies.

Keywords: Commodities; European Futures Markets; Speculation; ESMA (search for similar items in EconPapers)
Pages: 26 pages
Date: 2019-08
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Citations: View citations in EconPapers (2)

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