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Speculative Pressure

Author

Listed:
  • John Hua

    (Griffith University [Brisbane])

  • Adrian Fernandez-Perez

    (AUT - Auckland University of Technology)

  • Ana-Maria Fuertes

    (Sir John Cass Business School)

  • Joelle Miffre

    (Audencia Business School)

Abstract

The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity, currency and equity index futures' speculative pressure is priced in the broad cross-section after controlling for momentum, carry, global liquidity and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques and subsamples inter alia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency and equity index futures markets.

Suggested Citation

  • John Hua & Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2020. "Speculative Pressure," Post-Print hal-02500777, HAL.
    • Handle: RePEc:hal:journl:hal-02500777
    Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-02500777
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    References listed on IDEAS

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    Cited by:

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    4. Bianchi, Robert J. & Fan, John Hua & Zhang, Tingxi, 2021. "Investable commodity premia in China," Journal of Banking & Finance, Elsevier, vol. 127(C).
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    8. John Hua Fan & Tingxi Zhang, 2020. "The untold story of commodity futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 671-706, April.
    9. Meng Han, 2023. "Commodity momentum and reversal: Do they exist, and if so, why?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1204-1237, September.
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    Keywords

    Speculative pressure; Risk premium; Pricing; Futures markets;
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