Large Traders Transactions and Dollar Index Futures Returns
Date Issued
2016
Date
2016
Author(s)
Chou, Shih-Kai
Abstract
This paper uses weekly data from 2005:W1 to 2015:W43, covering 564 entries of observation data, to explore whether net positions of Non-commercial traders in dollar index futures market can predict the return of dollar index futures market. The correlation between two variables is determined with the vector autoregression model (VAR). Intuitively, net positions of Non-commercial traders in dollar index futures market is the result of professional investor studies and could potentially predict the return of dollar index futures market. However, there is substantial evidence that traders respond to price change and Non-commercial traders display a tendency for trend following. Second, there is practically no evidence that traders’ positions can forecast or lead market returns.
Subjects
unit root test
vector autoregression model
Granger causality test
impulse response analysis
forecast error variance decomposition
Type
thesis
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