Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets
The forecasting content of the Commodity Futures Trading Commissionâ€™s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that tradersâ€™ positions are useful in forecasting (leading) returns in 10 agricultural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets.
Volume (Year): 34 (2009)
Issue (Month): 2 (August)
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