Do Commodity Traders Herd?

被引：15

作者：

Adrangi, Bahram ^{[3
,1
]}

Chatrath, Arjun ^{[1
]}

机构：

[1] Univ Portland, Portland, OR USA

来源：

FINANCIAL REVIEW | 2008年 / 43卷 / 03期

关键词：

commodity comovement; herding; speculation;

D O I：

10.1111/j.1540-6288.2008.00202.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We test for herding using data on aggregate trader positions for four commodities over 20 years. We show that while the positions of commodity traders are highly related, the relatedness falls short of herding. The cross-commodity relatedness in trader positions is almost entirely explained by common demand and supply factors.

引用

页码：461 / 476

页数：16

共 34 条

[1]

[Anonymous], 1983, COMM TRAD REP

[2]

Avery C, 1998, AM ECON REV, V88, P724

[3] MACROECONOMIC INFLUENCES AND THE VARIABILITY OF THE COMMODITY FUTURES BASIS [J].