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Financial activity in agricultural futures markets: evidence from quantile regressions

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  • Pradkhan, Elina

Abstract

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.

Suggested Citation

  • Pradkhan, Elina, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), October.
    • Handle: RePEc:ags:aareaj:313554
    DOI: 10.22004/ag.econ.313554
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    References listed on IDEAS

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    2. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009. "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
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