Forthcoming in Applied Economics Policy and Perspectives i. Title: The 'Necessity' of New Position Limits in Agricultural Futures Markets: The Verdict from Daily Firm Level Position Data
Forthcoming in Applied Economics Policy and Perspectives i. Title: The 'Necessity' of New Position Limits in Agricultural Futures Markets: The Verdict from Daily Firm Level Position Data
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即将发表的应用经济学政策和观点 i．
DOI：
10.1093/aepp/ppv019
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
S. Irwin
中科院分区：
文献类型：
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作者：
Dwight R. Sanders;S. Irwin
监管机构正在提议对美国商品期货市场实施新的头寸限制，而多头指数基金对期货价格的实际影响仍在争论中。研究人员注意到与使用美国商品期货交易委员会 (CFTC) 编制的数据相关的数据限制（频率和市场广度）。本研究通过使用特定多头指数基金的每日头寸数据来解决这些不足。实证分析重点关注 13 个美国农产品期货市场的公司头寸数据。公司层面的数据代表了整个指数基金行业。实证检验未能找到任何证据将公司的交易与市场回报联系起来。然而，公司的展期交易与日历价差的变化之间似乎确实存在一致的负相关关系。值得注意的是，这种影响的方向与价格压力假设相反。这项研究和其他研究的结果表明，可以得出明确的结论——没有必要对农产品期货市场的投机行为实行新的限制。
Regulators are proposing new position limits in U.S. commodity futures markets while the actual impact of long-only index funds on futures prices continues to be debated. Researchers have noted the data limitations—frequency and market breadth—associated with using data compiled by the U.S. Commodity Futures Trading Commission (CFTC). This research addresses these shortfalls by using daily position data for a specific long-only index fund. The empirical analysis focuses on the firm-level position data across 13 U.S. agricultural futures markets. The firm-level data are shown to be representative of the overall index fund industry. Empirical tests fail to find any evidence linking the firm's trading with market returns. However, there does appear to be a consistent negative relationship between the firm's roll transactions and changes in calendar price spreads. Notably, the direction of this impact runs contrary to the price-pressure hypothesis. The results of this study, and others, indicate that a clear verdict can be reached—new limits on speculation in agricultural futures markets are unnecessary.