Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 8, 2023 erstellt
Beschreibung:
We use the Commodity Futures Trading Commission’s Commitment of Traders report to investigate the trading behaviour of traders in 12 commodity futures markets. We find that commercial traders are contrarian, consistent with the prevalence of short hedgers, while non-commercial traders follow momentum strategies, reflecting the presence of CTAs. Our key contribution is in understanding the effect of trading at the 52-week high and low – technical levels that are known to influence investor behaviour – where we find trading behaviour is moderated at the 52-week high and accentuated at the 52-week low. Our results are consistent regardless of whether the futures market is in backwardation or contango. We find little support for evidence of market timing ability for either trader type