Returns and volatilities of cotton futures markets: impacts of participants' contract positions
Küçük Resim Yok
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Inderscience Publishers
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study examines how the positions (short or long positions) of hedgers, speculators, and index investors in futures markets influence the returns and volatilities of cotton futures markets. Previous work in futures returns and volatility has typically focused on energy and agriculture commodities, with little work dealing with cotton. We use autoregressive conditional heteroscedasticity (ARCH) effect on ten years (2009-2018) return data. Our study demonstrates that both long contract positions of non-hedgers and short positions of hedgers are positively correlated with futures returns; and further, while long positions do not have an impact on volatility of futures returns, short positions of hedgers do. We recommend that market participants trading cotton consider the type of contract position in their forecasting analysis of future cotton prices.
Açıklama
Anahtar Kelimeler
commodity futures; cotton market; derivative market participants; futures; futures market
Kaynak
Journal for International Business and Entrepreneurship Development
WoS Q Değeri
N/A
Scopus Q Değeri
N/A
