Measuring Financial Investor Presence Through Term Structure Anomalies

Item Type Monograph (Working Paper)
Abstract

We estimate the presence of financial investors in commodity futures markets from anomalies in the term structure. We argue that large-scale inflows from financial investors cause systematic deviations in nearby futures contracts that reflect excessive buying pressure in commodities. We compare this new speculation indicator with popular existing measures including reported CFTC data and the Hamilton and Wu (2014) risk premium. We find substantial financial investor presence in commodity markets from 2004 to 2014. We show that our new speculation measure is better in explaining the variation in oil return volatility than other existing measures.

Authors Adams, Zeno; Collot, Solène Marine Sophie & Rossi, Davide
Language English
Subjects business studies
economics
finance
HSG Classification contribution to scientific community
HSG Profile Area SOF - System-wide Risk in the Financial System
Date 2021
Publisher SoF-HSG
Place of Publication St.Gallen
Series Name School of Finance Working Paper Series
Volume 2021/08
Number 08
Number of Pages 33
Contact Email Address zeno.adams@unisg.ch
Depositing User Beatrix Kobelt-Glock
Date Deposited 06 May 2021 13:12
Last Modified 06 May 2021 13:22
URI: https://www.alexandria.unisg.ch/publications/263131

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Citation

Adams, Zeno; Collot, Solène Marine Sophie & Rossi, Davide: Measuring Financial Investor Presence Through Term Structure Anomalies. School of Finance Working Paper Series, 2021, 08.

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https://www.alexandria.unisg.ch/id/eprint/263131
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