Financial activity in agricultural futures markets: evidence from quantile regressions

被引：1

作者：

Pradkhan, Elina ^{[1
]}

机构：

[1] Humboldt Univ, Inst Finance, Spandauer Str 1, D-10178 Berlin, Germany

来源：

AUSTRALIAN JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS | 2017年 / 61卷 / 04期

关键词：

futures markets; Granger causality; quantile regressions; speculation; COMMODITY; CAUSALITY;

D O I：

10.1111/1467-8489.12222

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

This study analyses the relationship between financial activity and price returns in 12 US agricultural futures markets. It contributes to the existing research by exploring the forecasting power of trading activity for returns from the perspective of conditional quantiles. Quantile regressions detect Granger-causal effects from positions of speculators and index traders to price returns in a wide range of commodity markets such as cocoa, coffee, corn, sugar and SRW wheat.

引用

页码：610 / 625

页数：16

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