Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2024-02-15 DOI:10.1016/j.jcomm.2024.100389
Michel A. Robe , John S. Roberts
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Abstract

The CFTC’s Commitments of Traders reports (DCOT and SCOT) are a key source of information about the open interest in commodity derivatives markets. While informative, these publications leave open four important questions. (1) Do traders that hold large positions every single day make up most of the total open interest? How big is that “market core”? (2) What is the relation between DCOT figures on swap dealer futures positions and CIT futures positions? (3) Are most futures traders long-only or short-only, or do they hold “mixed” positions? (4) Who makes up the fast-growing “Other Reportables” category that comprises all noncommercial market participants that are not managed money traders? We tackle those questions with regulatory data on futures positions in the four largest U.S. grain and oilseed markets in 2015–2018.

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交易商的四项承诺报告之谜再探:谷物和油籽期货市场的答案
美国商品期货交易委员会的《交易者承诺报告》(DCOT 和 SCOT)是商品衍生品市场未平仓合约信息的重要来源。这些出版物虽然信息丰富,但仍存在四个重要问题。(1) 每天持有大量头寸的交易者是否占未平仓合约总量的大部分?市场核心 "有多大?(2) DCOT 关于掉期交易商期货头寸的数据与 CIT 期货头寸之间的关系是什么?(3) 大多数期货交易者是只做多还是只做空,还是持有 "混合 "头寸?(4) 谁构成了快速增长的 "其他可报告 "类别,该类别包括所有非商业市场参与者,但不包括管理型货币交易商?我们利用 2015-2018 年美国四大谷物和油籽市场的期货头寸监管数据来解决这些问题。
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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
期刊最新文献
Editorial Board Carbon pricing and the commodity risk premium Have the causal effects between equities, oil prices, and monetary policy changed over time? Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics Commodity market downturn: Systemic risk and spillovers during left tail events
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