Returns and volatilities of cotton futures markets: impacts of participants' contract positions

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dc.contributor.authorÖzaydın, Orhan
dc.contributor.authorÇankaya, Serkan
dc.contributor.authorBenabess, Najiba
dc.date.accessioned2023-01-23T09:20:44Z
dc.date.available2023-01-23T09:20:44Z
dc.date.issued2022en_US
dc.departmentFakülteler, Ticari Bilimler Fakültesi, Ekonomi Bölümüen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1504/jibed.2022.125699en_US
dc.identifier.scopus2-s2.0-85140646752en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/6138
dc.identifier.urihttps://doi.org/10.1504/jibed.2022.125699
dc.identifier.wosWOS:000860834200004en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherInderscience Publishersen_US
dc.relation.ispartofJournal for International Business and Entrepreneurship Developmenten_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectcommodity futures; cotton market; derivative market participants; futures; futures marketen_US
dc.titleReturns and volatilities of cotton futures markets: impacts of participants' contract positionsen_US
dc.typeArticleen_US

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