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Do Commodity Traders Herd?

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  • Bahram Adrangi
  • Arjun Chatrath

Abstract

We test for herding using data on aggregate trader positions for four commodities over 20 years. We show that while the positions of commodity traders are highly related, the relatedness falls short of herding. The cross-commodity relatedness in trader positions is almost entirely explained by common demand and supply factors. Copyright (c) 2008, The Eastern Finance Association.

Suggested Citation

  • Bahram Adrangi & Arjun Chatrath, 2008. "Do Commodity Traders Herd?," The Financial Review, Eastern Finance Association, vol. 43(3), pages 461-476, August.
  • Handle: RePEc:bla:finrev:v:43:y:2008:i:3:p:461-476
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6288.2008.00202.x
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    Cited by:

    1. Babalos, Vassilios & Stavroyiannis, Stavros & Gupta, Rangan, 2015. "Do commodity investors herd? Evidence from a time-varying stochastic volatility model," Resources Policy, Elsevier, vol. 46(P2), pages 281-287.
    2. Demirer, Rıza & Lee, Hsiang-Tai & Lien, Donald, 2015. "Does the stock market drive herd behavior in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 32-44.
    3. Yiuman Tse & Michael R. Williams, 2013. "Does Index Speculation Impact Commodity Prices? An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 48(3), pages 365-383, August.
    4. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.

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