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Futures trading activity and predictable foreign exchange market movements

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  • Wang, Changyun

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  • Wang, Changyun, 2004. "Futures trading activity and predictable foreign exchange market movements," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1023-1041, May.
  • Handle: RePEc:eee:jbfina:v:28:y:2004:i:5:p:1023-1041
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    1. Martin D.D. Evans & Richard K. Lyons, 2017. "Order Flow and Exchange Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290 World Scientific Publishing Co. Pte. Ltd..
    2. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
    3. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    4. Stulz, René M., 1984. "Optimal Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(02), pages 127-140, June.
    5. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
    6. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    7. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245 World Scientific Publishing Co. Pte. Ltd..
    8. Hirshleifer, David, 1990. "Hedging Pressure and Futures Price Movements in a General Equilibrium Model," Econometrica, Econometric Society, vol. 58(2), pages 411-428, March.
    9. Carter, Colin A & Rausser, Gordon C & Schmitz, Andrew, 1983. "Efficient Asset Portfolios and the Theory of Normal Backwardation," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 319-331, April.
    10. Stambaugh, Robert F., 1982. "On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis," Journal of Financial Economics, Elsevier, vol. 10(3), pages 237-268, November.
    11. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
    12. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    13. Chang, Eric C. & Michael Pinegar, J. & Schachter, Barry, 1997. "Interday variations in volume, variance and participation of large speculators," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 797-810, June.
    14. Frans A. de Roon & Theo E. Nijman & Chris Veld, 2000. "Hedging Pressure Effects in Futures Markets," Journal of Finance, American Finance Association, vol. 55(3), pages 1437-1456, June.
    15. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    16. Stoll, Hans R., 1979. "Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(04), pages 873-894, November.
    17. Smith, Clifford W. & Stulz, René M., 1985. "The Determinants of Firms' Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 391-405, December.
    18. McCurdy, Thomas H & Morgan, Ieuan, 1992. "Evidence of Risk Premiums in Foreign Currency Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 65-83.
    19. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    20. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    21. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 587-602.
    22. 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 637-667.
    23. Connolly, Robert A., 1991. "A posterior odds analysis of the weekend effect," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 51-104.
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    Cited by:

    1. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
    2. Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
    3. Nicholas Mulligan & Daan Steenkamp, 2018. "Reassessing the information content of the Commitments of Traders positioning data for exchange rate changes," Reserve Bank of New Zealand Analytical Notes series AN2018/03, Reserve Bank of New Zealand.
    4. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
    5. Yu-Lun Chen & Yin-Feng Gau & Wen-Ju Liao, 2016. "Trading activities and price discovery in foreign currency futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 793-818, May.
    6. Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
    7. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560, April.
    8. Guglielmo Maria Caporale & Luis Gil-Alana, 2012. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 105-136, March - J.
    9. Ronald McDonald & Xuxin Mao, 2016. "Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment," Working Papers 2016_06, Business School - Economics, University of Glasgow.
    10. repec:eee:finana:v:54:y:2017:i:c:p:176-191 is not listed on IDEAS
    11. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
    12. repec:ipg:wpaper:2014-390 is not listed on IDEAS
    13. Aaron Tornell & Chunming Yuan, 2012. "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(2), pages 122-151, February.
    14. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
    15. Mutafoglu, Takvor H. & Tokat, Ekin & Tokat, Hakki A., 2012. "Forecasting precious metal price movements using trader positions," Resources Policy, Elsevier, vol. 37(3), pages 273-280.
    16. Yi-Tsung Lee & Wei-Shao Wu & Yun Yang, 2013. "Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 219-242, September.
    17. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    18. Luis A. Gil-Alana & Jiang Liang, 2011. "The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency," Faculty Working Papers 13/11, School of Economics and Business Administration, University of Navarra.
    19. Smales, Lee A., 2014. "News sentiment in the gold futures market," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 275-286.
    20. repec:gam:jijfss:v:6:y:2018:i:1:p:22-:d:132329 is not listed on IDEAS
    21. Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
    22. Jonathan Kearns & Phil Manners, 2004. "The Profitability of Speculators in Currency Futures Markets," RBA Research Discussion Papers rdp2004-07, Reserve Bank of Australia.
    23. Chang, Ya-Kai & Chen, Yu-Lun & Chou, Robin K. & Gau, Yin-Feng, 2013. "The effectiveness of position limits: Evidence from the foreign exchange futures markets," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4501-4509.
    24. Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.

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