𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On speculators and hedgers in currency futures markets: who leads whom?

✍ Scribed by Andreas Röthig

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
192 KB
Volume
16
Category
Article
ISSN
1076-9307

No coin nor oath required. For personal study only.

✦ Synopsis

This paper studies the lead-lag relationship between speculation and hedging activity in six currency futures markets. The relations between (i) total speculation (long plus short) and total hedging (long plus short), (ii) long speculation and short hedging, and (iii) short speculation and long hedging are investigated. The empirical results, based on vector autoregressive and vector error correction models, suggest that speculators lead hedgers in all markets examined. Moreover, speculators attract hedgers to open positions in currency futures markets.

📜 SIMILAR VOLUMES

Speculation and hedging in the currency
Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates
✍ Aaron Tornell; Chunming Yuan 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 403 KB 👁 2 views

## Abstract This study presents an empirical analysis investigating the relationship between the futures trading activities of speculators and hedgers and the potential movements of major spot exchange rates. A set of trader position measures are employed as regression predictors, including the lev