✦ LIBER ✦

The behavior and performance of major types of futures traders

✍ Scribed by Changyun Wang

Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 166 KB
Volume: 23
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10056

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We
find that after controlling for market risk factors, speculators are contrarians, but respond positively to market
sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also
find that trades of speculators (hedgers) are positively (negatively) correlated with
subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power.
Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and
hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers
have a destabilizing impact on futures prices. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1–31,
2003

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