MetaTOC stay on top of your field, easily

Financial activity in agricultural futures markets: evidence from quantile regressions

Australian Journal of Agricultural and Resource Economics

Published online on

Abstract

This study analyses the relationship between financial activity and price returns in 12 US agricultural futures markets. It contributes to the existing research by exploring the forecasting power of trading activity for returns from the perspective of conditional quantiles. Quantile regressions detect Granger‐causal effects from positions of speculators and index traders to price returns in a wide range of commodity markets such as cocoa, coffee, corn, sugar and SRW wheat.