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Financial activity in agricultural futures markets: evidence from quantile regressions
Author(s) -
Pradkhan Elina
Publication year - 2017
Publication title -
australian journal of agricultural and resource economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.683
H-Index - 49
eISSN - 1467-8489
pISSN - 1364-985X
DOI - 10.1111/1467-8489.12222
Subject(s) - futures contract , speculation , economics , quantile , quantile regression , financial economics , agriculture , commodity , index (typography) , financial market , econometrics , finance , ecology , world wide web , computer science , biology
This study analyses the relationship between financial activity and price returns in 12 US agricultural futures markets. It contributes to the existing research by exploring the forecasting power of trading activity for returns from the perspective of conditional quantiles. Quantile regressions detect Granger‐causal effects from positions of speculators and index traders to price returns in a wide range of commodity markets such as cocoa, coffee, corn, sugar and SRW wheat.