کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084723 | 1477911 | 2015 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Investor structure and the informational efficiency of commodity futures prices
ترجمه فارسی عنوان
ساختار سرمایه گذار و بازده اطلاعاتی قیمت های آتی کالاها
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This article investigates the impact of the trading positions of hedgers (i.e., producers, merchants, processors, or users of a commodity), speculators (i.e., commodity pool operators, trading advisors, or hedge funds), and swap dealers on the price formation process in the agricultural, metal, and energy futures markets. The hedgers' relative positions exert negative impacts on price efficiency in commodity futures markets. Hedgers are less likely to be information motivated, so their trading delays the price formation process. However, speculators' positions have positive impacts on price efficiency because speculators correct pricing errors. This study also offers evidence that the role of swap dealers, similar to speculators in futures markets, is to provide liquidity and cross-market arbitrage. These findings highlight the role of producers, hedge funds, and swap dealers in price formation processes in commodity futures-information that is beneficial to academics, practitioners, and regulators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 42, December 2015, Pages 358-367
Journal: International Review of Financial Analysis - Volume 42, December 2015, Pages 358-367
نویسندگان
Yu-Lun Chen, Ya-Kai Chang,