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The effect of net positions by type of trader on volatility in foreign currency futures markets

Citations

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Cited by:

  1. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
  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. 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.
  4. Ji, Qiang & Bahloul, Walid & Geng, Jiang-Bo & Gupta, Rangan, 2020. "Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective," Research in International Business and Finance, Elsevier, vol. 52(C).
  5. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
  6. Bohl, Martin T. & Stephan, Patrick M., 2013. "Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 45(4), pages 1-21, November.
  7. Erdong Chen & Mengzhong Ma & Zixin Nie, 2024. "Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior," Electronic Markets, Springer;IIM University of St. Gallen, vol. 34(1), pages 1-36, December.
  8. 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.
  9. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021. "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 107-120.
  10. Adam E. Clements & Neda Todorova, 2016. "Information Flow, Trading Activity and Commodity Futures Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 88-104, January.
  11. Hossfeld, Oliver & Röthig, Andreas, 2016. "Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market," Finance Research Letters, Elsevier, vol. 18(C), pages 218-225.
  12. Lai, Ya-Wen & Lin, Chiou-Fa & Tang, Mei-Ling, 2017. "Mispricing and trader positions in the S&P 500 index futures market," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 250-265.
  13. Umutlu, Mehmet & Shackleton, Mark B., 2015. "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 43-70.
  14. Alizadeh, Amir H. & Tamvakis, Michael, 2016. "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, vol. 56(C), pages 134-149.
  15. Liu, Lu & Zhang, Xiang, 2019. "Financialization and commodity excess spillovers," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 195-216.
  16. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
  17. Erdong Chen & Mengzhong Ma & Zixin Nie, 2024. "Exploring the Impact: How Decentralized Exchange Designs Shape Traders' Behavior on Perpetual Future Contracts," Papers 2402.03953, arXiv.org, revised Apr 2024.
  18. Aris Kartsaklas, 2018. "Trader Type Effects On The Volatility‐Volume Relationship Evidence From The Kospi 200 Index Futures Market," Bulletin of Economic Research, Wiley Blackwell, vol. 70(3), pages 226-250, July.
  19. Tokic, Damir, 2012. "Speculation and the 2008 oil bubble: The DCOT Report analysis," Energy Policy, Elsevier, vol. 45(C), pages 541-550.
  20. Qiang Ji & Walid Bahloul & Jiang-bo Geng & Rangan Gupta, 2019. "Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment," Working Papers 201930, University of Pretoria, Department of Economics.
  21. Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.
  22. Santos, Augusto Seabra & Almeida, Alexandre Nunes, 2025. "Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil?," Journal of Commodity Markets, Elsevier, vol. 37(C).
  23. Todorova, Neda & Clements, Adam E., 2018. "The volatility-volume relationship in the LME futures market for industrial metals," Resources Policy, Elsevier, vol. 58(C), pages 111-124.
  24. Tribhuvan N. Puri & George C. Philippatos, 2008. "Asymmetric Volume‐Return Relation and Concentrated Trading in LIFFE Futures," European Financial Management, European Financial Management Association, vol. 14(3), pages 528-563, June.
  25. Sanders, Dwight R. & Boris, Keith & Manfredo, Mark, 2004. "Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports," Energy Economics, Elsevier, vol. 26(3), pages 425-445, May.
  26. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Melvin, Michael, 2014. "Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 163-181.
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