Determinants and dynamic interactions of trader positions in the gold futures market

被引：1
|
作者：
Chen, Yu-Lun [1 ,2 ]
Mo, Wan-Shin [1 ]
机构：
[1] Chung Yuan Christian Univ, Coll Business, Dept Finance, Taoyuan, Taiwan
[2] 200 Chung Pei Rd, Taoyuan 32023, Taiwan
来源：
JOURNAL OF COMMODITY MARKETS | 2023年 / 31卷
关键词：
Gold futures; Money managers; Swap dealers; Logistic smooth transition autoregressive (LSTAR) model; STOCKS; SENTIMENT; BONDS; OIL;
D O I：
10.1016/j.jcomm.2023.100343
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the determinants of different traders' trading positions in the gold futures market. With a threshold value determined endogenously by our model, we find that when the gold futures price falls below the threshold, money managers adopt positive feedback trading strategies while swap dealers adopt negative feedback trading strategies. When the futures price rises above the threshold, money managers turn to negative feedback trading and swap dealers reduce the intensity of their negative feedback. In addition, money managers and swap dealers play the transmitter role in trading spillovers to other traders, and their trading transmitter role weakens during periods with high gold prices.
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页数：14
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