Smart money: The forecasting ability of cftc large Traders in agricultural Futures markets

Dwight R. Sanders, Scott H. Irwin, Robert P. Merrin

Research output: Contribution to journalArticlepeer-review

Abstract

The forecasting content of the Commodity Futures Trading Commission's Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders' positions are useful in forecasting (leading) returns in 10 agricul-tural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets.

Original languageEnglish (US)
Pages (from-to)276-296
Number of pages21
JournalJournal of Agricultural and Resource Economics
Volume34
Issue number2
StatePublished - Aug 1 2009

Keywords

  • Agricultural futures markets
  • Commitments of Traders
  • Forecasting
  • Prices

ASJC Scopus subject areas

  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Smart money: The forecasting ability of cftc large Traders in agricultural Futures markets'. Together they form a unique fingerprint.

Cite this