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Speculative Pressure

Fan, J. H., Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 and Miffre, J. (2019). Speculative Pressure. Journal of Futures Markets, doi: 10.1002/fut.22085

Abstract

The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity, currency and equity index futures’ speculative pressure is priced in the broad cross-section after controlling for momentum, carry, global liquidity and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques and sub-periods inter alia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency and equity index futures markets.

Publication Type: Article
Additional Information: This is the peer reviewed version of the following article: Fan, J. H., Fernandez-Perez, A., Fuertes, A-M. and Miffre, J. Speculative Pressure. Journal of Futures Markets, which is published in final form at https://doi.org/10.1002/fut.22085. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Publisher Keywords: Speculative pressure, Risk premium, Pricing, Futures markets
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: https://openaccess.city.ac.uk/id/eprint/23283
[img] Text - Accepted Version
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