Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
AbstractThis article explores nonlinearities in the response of speculators? trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 172.
Date of creation: 01 Feb 2006
Date of revision:
Contact details of provider:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.business.uts.edu.au/qfrc/index.html
More information through EDIRC
futures marktes; speculation; nonlinear dynamics; smooth transition regression model;
Other versions of this item:
- Röthig, Andreas & Chiarella, Carl, 2006. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics 36774, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-AGR-2006-03-11 (Agricultural Economics)
- NEP-ALL-2006-03-11 (All new papers)
- NEP-FIN-2006-03-11 (Finance)
- NEP-FMK-2006-03-11 (Financial Markets)
- NEP-RMG-2006-03-11 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998. "A nonlinear time series model of El Niño," Working Paper Series in Economics and Finance 263, Stockholm School of Economics.
- Pablo Mejia-Reyes & Denise Osborn & Marianne Sensier, 2010.
"Modelling real exchange rate effects on output performance in Latin America,"
Taylor and Francis Journals, vol. 42(19), pages 2491-2503.
- P Mejía-Reyes & D R Osborn & M Sensier, 2004. "Modelling Real Exchange Rate Effects on Output Performance in Latin America," Centre for Growth and Business Cycle Research Discussion Paper Series 35, Economics, The Univeristy of Manchester.
- Wang, Changyun, 2001. "The behavior and performance of major types of futures traders," MPRA Paper 36426, University Library of Munich, Germany, revised Jul 2002.
- Skalin, Joakim & Terasvirta, Timo, 1999.
"Another Look at Swedish Business Cycles, 1861-1988,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 14(4), pages 359-78, July-Aug..
- J. Skalin & T. Teräsvirta, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SFB 373 Discussion Papers 1996,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Tom Doan, . "RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests," Statistical Software Components RTZ00191, Boston College Department of Economics.
- Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
- Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999.
"Investigating Stability and Linearity of a German M1 Money Demand Function,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 14(5), pages 511-25, Sept.-Oct.
- H. Lütkepohl & T. Teräsvirta & J. Wolters, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SFB 373 Discussion Papers 1995,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," Working Paper Series in Economics and Finance 64, Stockholm School of Economics.
- John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, vol. 54(6), pages 2263-2295, December.
- Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009. "Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 34(2), August.
- Zhechao (Charles) Liu & Nima Kordzadeh & Yoris A. Au & Jan G. Clark, . "Investigating the Reciprocal Relationships Within Health Virtual Communities," Working Papers 0007, College of Business, University of Texas at San Antonio.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).
If references are entirely missing, you can add them using this form.