Abstract The purpose of this paper is to review the evidence on profitability technical analysis. empirical literature categorized into two groups, ‘early’ and ‘modern’ studies, according characteristics testing procedures. Early studies indicate that trading strategies are profitable in foreign exchange markets futures markets, but not stock markets. Modern consistently generate economic profits a variety speculative at least until early 1990s. Among total 95 modern 56 find positive results...

Abstract Some market participants and policy‐makers believe that index fund investment was a major driver of the 2007‐2008 spike in commodity futures prices. One group empirical studies does find evidence had an impact on level However, data methods used these are subject to criticisms limit confidence one can place their results. Moreover, another provides no systematic relationship between positions funds The lack direct link trading prices casts considerable doubt belief fueled price bubble.

It is commonly asserted that speculative buying by index funds in commodity futures and over-the–counter derivatives markets created a “bubble“ prices, with the result crude oil particular, far exceeded fundamental values at peak. The purpose of this paper to show bubble argument simply does not withstand close scrutiny. Four main points are explored. First, arguments proponents conceptually flawed reflect basic misunderstandings how actually work. Second, number facts about situation...

The first decade of the 21 st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes both participants. available literature indicates that irrational harmful impacts over last been minimal. In particular, there is little evidence passive index investment caused a massive bubble prices. There intriguing several other...

Abstract This paper revisits the “adequacy of speculation” debate in agricultural futures markets using positions held by index funds Commitment Traders reports. Index fund were a relatively stable percentage total open interest from 2006–2008. Traditional speculative measures do not show any material shifts over sample period. Even after adjusting indices for commodity positions, values are within historical ranges reported prior research. One implication is that long‐only may be beneficial...

Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain observed thick-tailed distributions futures price movements. The two hypotheses are tested by applying stability-under-addition test distribution parameters twenty lengthy time series changes in daily closing prices. Tests conducted on both original data randomized data. results offer sup? port for normals hypothesis.

Considerable disagreement exists about the most appropriate characterization of farm‐level yield distributions. Yet, economic importance alternative distribution specifications on crop insurance valuation has not been well documented. The results this study demonstrate that large differences in expected payouts from popular products can arise solely parameterization chosen to represent suggest frequently unexamined specification may lead economically significant errors policy rating and...

Abstract Recent accusations against speculators in general and long‐only commodity index funds particular include: increasing market volatility, distorting historical price relationships, fueling a rapid increase decrease the level of prices. Some researchers have argued that these participants—through their impact on prices—may inadvertently prevented efficient distribution food aid to deserving groups. Certainly, this result—if substantiated—would counter classical argument make prices...

This article addresses the debate regarding role of index funds in commodity futures markets. Many have argued that are speculators responsible for bubbles prices. The argument is based on premise sheer size investment can overwhelm normal functioning these Importantly, an empirical linkage must be made between fund positions and prices, or there no obvious mechanism by which a bubble form. authors' analysis uses new data from U.S. Commodity Futures Trading Commission contained...

A large percentage of farmers do not respond to mail surveys. To gain insight into why and how improve response rates, a three-step research design was developed. First, an initial survey, based on in-person interviews with 15 farmers, sent 100 farmers. Second, who did this survey were contacted by phone investigate the reasons for responding. Third, information from these nonrespondents, instrument revised 3,990 U.S. Our studies show that period in which is crucial factor willingness...

Trading of twelve technical system is simulated for a portfolio commodities from 1978 to 1984 in order test market disequilibrium. Results differ substantially by trading system. Seven systems produced significant gross returns. Four the sytems net returns and risk-adjusted These results show that disequilibrium models are better description short-run futures price movements than random walk model. They also suggest there may be additional causes beyond transaction costs risk aversion.

Abstract A recently developed testing procedure is used to detect and date‐stamp explosive episodes (“bubbles”) in corn, soybean, wheat futures markets during 2004–2013. We find that the experienced price explosiveness only approximately two percent of time and, when bubbles do occur, they are generally short‐lived small magnitude. The correspondence between observed spikes rather low, with a large portion occurring downward movements. Commodity index trader positions not significantly...

The "Masters Hypothesis" is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times recent years.This paper analyzes market impact of investment markets using non-public data Large Trader Reporting System (LTRS) maintained by U.S. Commodity Futures Trading Commission (CFTC).The LTRS are superior to publicly-available because commodity trader (CIT) positions available on daily basis, disaggregated...

Abstract In a well‐functioning futures market, the price at expiration equals of underlying asset. This condition failed to hold in grain markets for most 2005‐2010, calling into question ability these perform their discovery and risk management functions. During this period, contracts expired up 35% above cash price. We develop dynamic rational expectations model commodity storage that explains how recent convergence failures were generated by institutional structure delivery system. When...

Abstract Recent changes in farm policy have renewed interest using marketing strategies based on futures and options markets to enhance the income of field crop producers. This article reviews main concepts associated empirical research dominant academic theory concerning behavior markets, namely, efficient market hypothesis. rich conceptual base provides several important insights. One is that, although individuals can beat market, few consistently do so. insight consistent with Grossman...

Abstract Strong concerns about how efficiently live hog futures prices react to U.S. Department of Agriculture Hogs and Pigs Reports have been raised by livestock producer groups. Using market survey data, direct tests the efficient markets hypothesis are performed for market. Two‐limit tobit models account institutional price limits. Results support in that ( a ) do not anticipated changes reported information, b significantly expected direction unanticipated c generally adjust information...

Abstract This paper evaluates the role that index funds have played in recent convergence problems of Chicago Board Trade corn, soybean, and wheat futures contracts. These new market participants are widely considered to inflated prices and/or expanded spreads between prices. Large markets contribute a lack by uncoupling cash markets. Statistical tests provide no evidence rolling positions or initiation large “crowded space” contributed an expansion spreads.

The purpose of this study was to examine the impact situation and outlook information from World Agricultural Supply Demand Estimates (WASDE) in corn soybean futures markets over period 1985 2006. Results indicate that WASDE reports containing National Statistics Service (NASS) crop production estimates other domestic international have largest impact; causing return variance on report sessions be 7.38 times greater than normal 6.87 futures. limited a smaller impact. results show has increased time.