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Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports

  • Sanders, Dwight R.
  • Boris, Keith
  • Manfredo, Mark
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    File URL: http://www.sciencedirect.com/science/article/pii/S0140-9883(04)00020-9
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    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 26 (2004)
    Issue (Month): 3 (May)
    Pages: 425-445

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    Handle: RePEc:eee:eneeco:v:26:y:2004:i:3:p:425-445
    Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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    1. Bessembinder, Hendrik, 1992. "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 637-67.
    2. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
    3. de Roon, F.A. & Nijman, T.E. & Veld, C.H., 2000. "Hedging pressure effects in futures markets," Other publications TiSEM 3dfe2c9f-3194-4751-9b34-1, Tilburg University, School of Economics and Management.
    4. Louis Ederington & Jae Ha Lee, 2002. "Who Trades Futures and How: Evidence from the Heating Oil Futures Market," The Journal of Business, University of Chicago Press, vol. 75(2), pages 353-374, April.
    5. Raymond M. Leuthold, 1983. "Commercial use and speculative measures of the livestock commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(2), pages 113-135, 06.
    6. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
    7. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
    8. Changyun Wang, 2002. "The effect of net positions by type of trader on volatility in foreign currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(5), pages 427-450, 05.
    9. Hartzmark, Michael L, 1991. "Luck versus Forecast Ability: Determinants of Trader Performance in Futures Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 49-74, January.
    10. Wang, Changyun, 2000. "Investor sentiment and return predictability in agricultural futures markets," MPRA Paper 36425, University Library of Munich, Germany, revised Sep 2002.
    11. Chang, Eric C, 1985. " Returns to Speculators and the Theory of Normal Backwardation," Journal of Finance, American Finance Association, vol. 40(1), pages 193-208, March.
    12. Arjun Chatrath & Youguo Liang & Frank Song, 1997. "Commitment of traders, basis behavior, and the issue of risk premia in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(6), pages 707-731, 09.
    13. Leuthold, Raymond M & Garcia, Philip & Lu, Richard, 1994. "The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market," The Journal of Business, University of Chicago Press, vol. 67(3), pages 459-73, July.
    14. Foster, Andrew J., 1996. "Price discovery in oil markets: a time varying analysis of the 1990-1991 Gulf conflict," Energy Economics, Elsevier, vol. 18(3), pages 231-246, July.
    15. Buchanan, W. K. & Hodges, P. & Theis, J., 2001. "Which way the natural gas price: an attempt to predict the direction of natural gas spot price movements using trader positions," Energy Economics, Elsevier, vol. 23(3), pages 279-293, May.
    16. Scott H. Irwin & Satoko Yoshimaru, 1999. "Managed futures, positive feedback trading, and futures price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(7), pages 759-776, October.
    17. Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02, May.
    18. Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
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