Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257630 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 2 [Article No.:] 32 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-9
Publisher: 
MDPI, Basel
Abstract: 
This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position changes of speculators, such as hedge funds and CTAs (commodity trading advisors), unidirectionally Granger-cause the prices of base metals, such as aluminum, copper, and zinc. This finding is a result of causality going from the levels of net futures positions of money managers to futures price changes on the London Metal Exchange (LME). However, producers' and swap dealers' speculative roles in price-formation are rejected in Granger causality tests. This paper presents clear results with important market implications
Subjects: 
COTR
non-commercial traders
money managers
Granger causality test
JEL: 
C3
G1
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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