Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Andreas Röthig and Carl Chiarella

No 167, Darmstadt Discussion Papers in Economics from Darmstadt University of Technology, Department of Law and Economics

Abstract: This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs.

Keywords: Futures markets; speculation; nonlinear dynamics; smooth transition regression model (search for similar items in EconPapers)
JEL-codes: C22 C53 G10 G11 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/32068/1/511221614.PDF (application/pdf)

Related works:
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2009)
Journal Article: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2007)
Working Paper: Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models (2007)
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2006)
Working Paper: Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models (2006)
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:zbw:darddp:dar_36774

Access Statistics for this paper

More papers in Darmstadt Discussion Papers in Economics from Darmstadt University of Technology, Department of Law and Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().