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New evidence that index traders did not drive bubbles in grain futures markets
Etienne, Xiaoli Liao; Irwin, Scott H.; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 42 (2017) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10011607640
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Pricing dynamics between single stock futures and the underlying spot security
Boney, Vaneesha; Giannikos, Christos; Guirguis, Hany S. - In: International journal of business and economics 17 (2018) 2, pp. 179-191
Persistent link: https://www.econbiz.de/10011997113
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Modeling speculative bubbles with diverse investor expectations
Phillips, Peter C. B. - In: Research in economics : an international review of economics 70 (2016) 3, pp. 375-387
Persistent link: https://www.econbiz.de/10011631179
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Price discovery of German index derivatives during financial turmoil
Frommherz, Anja - In: Review of managerial science 13 (2019) 1, pp. 147-179
Persistent link: https://www.econbiz.de/10011979671
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Returns to contrarian investment strategies : tests of naive expectations hypotheses
Dechow, Patricia M. - In: Journal of financial economics 43 (1997) 1, pp. 3-27
Persistent link: https://www.econbiz.de/10001213781
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Speculation in commodity futures markets : an empirical analysis of returns, the role of momentum, and the formation of expectations
Sigl-Grüb, Christof - 2008
Persistent link: https://www.econbiz.de/10013432887
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Returns to individual traders of futures : aggregate results
Hartzmark, Michael L. - In: Journal of political economy 95 (1987) 6, pp. 1292-1306
Persistent link: https://www.econbiz.de/10001053469
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Standard Deviation or Variance : The Better Proxy for Large Hedgers and Large Speculators Risk in U.S. Futures Markets
Gurrib, Ikhlaas - 2013
Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about volatility from the previous month to be significant in explaining large hedgers' and speculators' volatility. The greater reliance on the ARCH term for speculators' suggested their...
Persistent link: https://www.econbiz.de/10013073757
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Day-of-the-week patterns in futures prices : some further results
Chamberlain, Trevor W. - In: Quarterly journal of business and economics : QJBE 29 (1990) 2, pp. 68-88
Persistent link: https://www.econbiz.de/10001100884