Hedgers, funds, and small speculators in the energy futures markets: An analysis of the CFTC's Commitments of Traders reports

Dwight R. Sanders, Keith Boris, Mark Manfredo

Research output: Contribution to journalArticlepeer-review

100 Scopus citations

Abstract

The Commodity Futures Trading Commission (CFTC)'s Commitments of Traders (COT) data are examined for crude oil, unleaded gasoline, heating oil, and natural gas futures contracts. The collection procedures for the COT data are first examined, followed by Granger causality tests to determine if relationships between trader positions and market prices exist. A positive correlation between returns and positions held by noncommercial traders, and a negative correlation between commercial positions and market returns, are found. Furthermore, positive returns result in an increase in noncommercial net positions in the following week, whereas the net long positions held by commercial hedgers decline following price increases. However, traders' net positions do not lead market returns in general.

Original languageEnglish (US)
Pages (from-to)425-445
Number of pages21
JournalEnergy Economics
Volume26
Issue number3
DOIs
StatePublished - May 1 2004

Keywords

  • Causality
  • Commitments of Traders
  • Energy futures markets
  • Futures funds

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

Fingerprint

Dive into the research topics of 'Hedgers, funds, and small speculators in the energy futures markets: An analysis of the CFTC's Commitments of Traders reports'. Together they form a unique fingerprint.

Cite this