Premium
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Author(s) -
Röthig Andreas,
Chiarella Carl
Publication year - 2007
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20266
Subject(s) - futures contract , speculation , econometrics , logistic regression , transition (genetics) , economics , value (mathematics) , nonlinear system , regression , regression analysis , mathematics , financial economics , statistics , chemistry , physics , macroeconomics , biochemistry , quantum mechanics , gene
This study explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 through December 27, 2005, the authors reject linearity in all of these markets. Using smooth transition regression models, the authors found a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 28:719–737, 2007