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Commodity Futures Returns : A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures
Cifarelli, Giulio - 2010
This study introduces a non linear model of commodity futures prices which accounts for the pressures due to hedging … returns is developed. The empirical findings indicate that hedging and speculative behavior change significantly across the …, characterized by a stronger impact of speculation on futures return dynamics …
Persistent link: https://www.econbiz.de/10013135852
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Hedging, Hedge Accounting and Speculation : Evidence from Canadian Oil and Gas Companies
Smistad, Rikard E. - 2011
speculation, all of the energy firms attempt derivative speculation to a different extent …
Persistent link: https://www.econbiz.de/10013118633
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Hedge or Speculation? Evidence of the Use of Derivatives by Brazilian Firms During the Financial Crisis
Rossi, Jose Luiz - 2011
This paper analyzes the use of foreign exchange derivatives by non-financial publicly traded Brazilian companies from 2007 to 2009. Using balance-sheet data on firms' positions in derivatives and their foreign exchange exposure, this study finds that a significant number of companies speculated...
Persistent link: https://www.econbiz.de/10013120956
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Hedge or Speculation? Evidence of the Use of Derivatives by Brazilian Firms During the Financial Crisis
Rossi, Jose Luiz - 2011
This paper analyzes the use of foreign exchange derivatives by non-financial publicly traded Brazilian companies from 2007 to 2009. Using balance-sheet data on firms' positions in derivatives and their foreign exchange exposure, this study finds that a significant number of companies speculated...
Persistent link: https://www.econbiz.de/10013121433
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Hedge or Speculation? Evidence of the Use of Derivatives by Brazilian Firms During the Financial Crisis
Rossi Júnior, José - 2012
This paper analyzes the use of foreign exchange derivatives by non-financial publicly traded Brazilian companies from 2007 to 2009. Using balance-sheet data on firms' positions in derivatives and their foreign exchange exposure, this study finds that a significant number of companies speculated...
Persistent link: https://www.econbiz.de/10013109132
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Speculation and Hedging in the Currency Futures Markets : Are They Informative to the Spot Exchange Rates
Tornell, Aaron - 2013
movements. In addition, speculative position measures usually forecast price-continuations in spot rates while hedging position …
Persistent link: https://www.econbiz.de/10013086080
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Determinants of Trader Profits in Futures Markets
Dewally, Michaël - 2013
with likely hedgers, which is consistent with the hedging pressure hypothesis, and (c) profits on long positions vary … hedging pressure …
Persistent link: https://www.econbiz.de/10013093753
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Why Do Hedgers Trade so Much?
Cheng, Ing-Haw - 2013
common practice of categorically classifying trading by hedgers as hedging while trading by speculators as speculation, as … speculation …
Persistent link: https://www.econbiz.de/10013072576
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Measuring Risk for Large Hedgers and Large Speculators in Major US Futures Markets
Gurrib, Ikhlaas - 2013
Using the Commodity Futures Trading Commission's Commitments of Traders data, considering both the generalized autoregressive conditional heteroskedasticity (GARCH) and the power ARCH volatility-based models, it has been found that the lagged volatility and the news about volatility from the...
Persistent link: https://www.econbiz.de/10013073840
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Why is Price Discovery in Credit Default Swap Markets News-Specific?
Marsh, Ian W. - 2012
investors with hedging demands. In support of this explanation we find that the CDS-lag and its news-specificity are related to … various firm-level proxies for hedging demand in the cross section as well measures for economy-wide informational asymmetries …
Persistent link: https://www.econbiz.de/10013112812