-
47浏览
-
0点赞
-
0收藏
-
0分享
-
228下载
-
0评论
-
引用
期刊论文
Futures trading activity and predictable foreign exchange market movements
Journal of Banking & Finance 28(2004)1023-1041,-0001,():
In this paper, we examine the relation between futures trading activity by trader type and returns over short horizons in five foreign currency futures markets-British pound, Canadian dollar, Deutsche mark, Japanese yen, and Swiss franc. Transforming trading activity into a sentiment measure, we find that speculator sentiment is positively related to future returns. In contrast, hedger sentiment covaries negatively with future returns. We also find that extreme sentiment by trader type is more correlated with future market movements than moderate sentiment. Our results suggest that hedgers lose to speculators in these futures markets, on average. Based on equilibrium pricing models that futures risk premiums are determined by both market risk and hedging pressure, we show that the profits to speculators are in general compensation for bearing risk.
【免责声明】以下全部内容由[汪昌云]上传于[2005年07月04日 22时34分48秒],版权归原创者所有。本文仅代表作者本人观点,与本网站无关。本网站对文中陈述、观点判断保持中立,不对所包含内容的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考,并请自行承担全部责任。
本学者其他成果
同领域成果