Hedger Articles & Analysis
4 articles found
With Wang's (2003) methodology, I construct an actual position–based sentiment index for two types of investors, speculators and hedgers, and then the Granger–causality is tested between investor's sentiment and price movements. ...
The paper concludes that the 2007–2008 boom and bust in prices was instigated by changes in fundamentals which were in turn amplified by hedgers and speculators.Keywords: commodities, commodity prices, crude oil prices, speculation, price bubbles, demand balance, supply balance, energy markets, price history, cointegration breakdown analysis, speculators, price swings, price ...
In specific, speculator's trend forecasts price continuation, whereas the hedger's trend predicts price reversals. However, during the price–collapsing period, no significant predictability is found. ...
The results suggest the optimal hedge ratio that incorporates non-stationarity, long-run equilibrium relationship and short-run dynamics are reliable and useful for hedgers. Comparisons of the hedging effectiveness and in-sample hedging performance of each model imply that the Error Correction Model (ECM) is superior to other models employed in terms of risk reduction. ...