Investor Sentiment And The Commodity Basis
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Investor Sentiment And The Commodity Basis
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Author : Werner Schnell
language : en
Publisher:
Release Date : 2013
Investor Sentiment And The Commodity Basis written by Werner Schnell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This thesis contributes to the ongoing research about whether accusing speculators for irrational exuberance is really justified. In particular, I investigate the effect of investor sentiment on the commodity market. For this analysis I construct a sentiment index as the first principal component of option implied volatility and TED spread. The common criticism on this kind of analysis is that the sentiment index might not only contain irrational exaggerations but also changes in fundamental variables. To address this objection, on the one hand I orthogonalize the index on a number of macroeconomic variables, on the other hand I use the commodity basis as a dependent variable instead of the prices. The assumption is that change in fundamentals should have an effect on spot and futures prices likewise but sentiment asymmetrically affects only futures market. To my knowledge, I am the first one that conducts this kind of analyses. While I do not find any significant effect of the sentiment index on the commodity basis, I find a significant effect for returns. This suggests that the sentiment index, even after orthogonalization, is still contaminated with fundamental variables and consequently does not measure only pure irrational behavior. Even after controlling for variables proposed by the storage and expectation theory, the result stays insignificant. Moreover, I also do not find a significant effect of investor sentiment on open speculative positions and on the inventory holdings.
Market Sentiment In Commodity Futures Returns
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Author : Lin Gao
language : en
Publisher:
Release Date : 2016
Market Sentiment In Commodity Futures Returns written by Lin Gao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We identify a strong presence of sentiment exposure in commodity futures returns. Sentiment is able to provide additional explanatory power for comovement among commodity futures beyond the macro- and equity-related sources. Commodity futures with low open interest growth, high volatilities, low momentum, or low futures basis are more sensitive to change in sentiment. Similar to Baker and Wurgler (2006), we construct a market sentiment index by Partial Least Squares regressions (PLS) with non-return based stock market proxies, in particular higher moments of the option implied return distribution. Moreover, our sentiment index can be built on a daily basis.
Investment Shocks And The Commodity Basis Spread
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Author : Fan Yang
language : en
Publisher:
Release Date : 2011
Investment Shocks And The Commodity Basis Spread written by Fan Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
I identify a "slope"' factor in the cross section of commodity futures returns. Low-basis commodity futures have higher loadings on this factor than high-basis commodity futures. This slope factor and a level factor -- an index of commodity futures -- jointly explain most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing new capital. I investigate a competitive dynamic equilibrium model of commodity production to endogenize this correlation. The model reproduces the cross-sectional futures returns.
The Effect Of Investor Sentiment On Futures Market Returns And Volatility
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Author : Kenneth Steven Lovell
language : en
Publisher:
Release Date : 2013
The Effect Of Investor Sentiment On Futures Market Returns And Volatility written by Kenneth Steven Lovell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Finance categories.
Commodities And Equities
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Author : Bahattin Büyüksahin
language : en
Publisher: Nova Science Publishers
Release Date : 2009
Commodities And Equities written by Bahattin Büyüksahin and has been published by Nova Science Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Commodity futures categories.
Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive co-integration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.
Hot Commodities
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Author : Jim Rogers
language : en
Publisher: John Wiley & Sons
Release Date : 2014-10-13
Hot Commodities written by Jim Rogers and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-13 with Business & Economics categories.
The next bull market is here. It’s not in stocks. It’s not in bonds. It’s in commodities - and some smart investors will be riding that bull to record returns in the next decade. Before Jim Rogers hit the road to write his best-selling books Investment Biker and Adventure Capitalist, he was one of the world’s most successful investors. He co-founded the Quantum Fund and made so much money that he never needed to work again. Yet despite his success, Rogers has never written a book of practical investment advice - until now. In Hot Commodities, Rogers offers the low-down on the most lucrative markets for today and tomorrow. In late 1998, gliding under the radar, a bull market in commodities began. Rogers thinks it’s going to continue for at least fifteen years - and he’s put his money where his mouth is: In 1998, he started his own commodities index fund. It’s up 165% since then, with more than $200 million invested, and it’s the single-best performing index fund in the world in any asset class. Less risky than stocks and less sluggish than bonds, commodities are where the money is - and will be in the years ahead. Rogers’s strategies are simple and straightforward. You can start small - a few thousand dollars will suffice. It’s all about putting your money into stuff you understand, the basic materials of everyday life, like copper, sugar, cotton, corn, or crude oil. Once you recognize the cyclical and historical trading patterns outlined here, you’ll be on your way. In language that is both colourful and accessible, Rogers explains why the world of commodity investing can be one of the simplest of all - and how commodities are the bases by which investors can value companies, markets, and whole economies. To be a truly great investor is to know something about commodities. For small investors and high rollers alike, Hot Commodities is as good as gold . . . or lead, or aluminium, which are some of the commodities Rogers says could be as rewarding for investors.
Advanced Positioning Flow And Sentiment Analysis In Commodity Markets
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Author : Mark J. S. Keenan
language : en
Publisher: John Wiley & Sons
Release Date : 2020-02-18
Advanced Positioning Flow And Sentiment Analysis In Commodity Markets written by Mark J. S. Keenan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-18 with Business & Economics categories.
The definitive book on Positioning Analysis — a powerful and sophisticated framework to help traders, investors and risk managers better understand commodity markets Positioning Analysis is a powerful framework to better understand commodity price dynamics, risk, and sentiment. It indicates what each category of trader is doing—what they are trading, how much they are trading and how they might behave under a variety of different circumstances. It is essential in isolating specific types of flow patterns, defining behavioral responses, measuring shifts in sentiment, and developing tools for better risk management. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets explains the fundamentals of Positioning Analysis and presents new concepts in Commodity Positioning Analytics. This invaluable guide helps readers recognize how certain types of positioning patterns can be used to develop models, indicators, and analyses that can be used to enhance performance. This updated second edition contains substantial new material, including analytics based on the analysis of flow, the decomposition of trading flows, trading activity in the Chinese commodity markets, and the inclusion of Newsflow into Positioning Analysis. Author: Mark J S Keenan, also covers the structure of positioning data, performance attribution of speculators, sentiment analysis and the identification of price risks and behavioral patterns that can be used to generate trading signals.. This must-have resource: Offers intuitive and accessible guidance to commodity market participants and risk managers at various levels and diverse areas of the market Provides a wide range of analytics that can be used directly or integrated into a variety of different commodity-related trading, investment, and risk management programs Features an online platform comprising a wide range of customizable, regularly-updated analytical tools Contains an abundance of exceptional graphics, charts, and illustrations Includes easy-to-follow instructions for building analytics. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition is an indispensable source of information for all types of commodity traders, investors, and speculators, as well as investors in other asset classes who look to the commodity markets for price information.
Commodity Price Dynamics
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Author : Craig Pirrong
language : en
Publisher: Cambridge University Press
Release Date : 2011-10-31
Commodity Price Dynamics written by Craig Pirrong and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-31 with Business & Economics categories.
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
The Right Stock At The Right Time
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Author : Larry Williams
language : en
Publisher: John Wiley & Sons
Release Date : 2003-08-08
The Right Stock At The Right Time written by Larry Williams and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-08-08 with Business & Economics categories.
Praise for THE RIGHT STOCK AT THE RIGHT TIME "It is a fundamentally good time to consider the strategies in this book. Macro-market timing, stock-specific approaches, money management revelations, and intermarket analysis. Even better that it is written by someone who has actually done it himself." —Lindsay Glass Global Market Timing Specialist, Bloomberg LP "This book delivers a knock-out punch to investor pessimism, with an uppercut of bullishness and hard facts." —Ray Mercer Former World Heavyweight Champion "The stock market is a major stream of income and Williams clearly shows the best time and stocks to buy." —Robert Allen, New York Times bestselling financial author and millionaire maker "No other book on the horizon comes close to this one. Larry lets you stand on his shoulders and view the market from the vantage of a master." —Yale Hirsch Chairman, The Hirsch Organization Inc.
The Macroeconomic Determinants Of Commodity Prices
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Author : Mr.Eduardo Borensztein
language : en
Publisher: International Monetary Fund
Release Date : 1994-01-01
The Macroeconomic Determinants Of Commodity Prices written by Mr.Eduardo Borensztein and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-01-01 with Business & Economics categories.
The “traditional structural approach” to the determination of real commodity prices has relied exclusively on demand factors as the fundamentals that explain the behavior of commodity prices. This framework, however, has been unable to explain the marked and sustained weakness in commodity prices during the 1980s and 1990s. This paper extends that framework in two important directions: First, it incorporates commodity supply in the analysis, capturing the impact on prices of the sharp increase in commodity exports of developing countries during the debt crisis of the 1980s. Second, we take a broader view of “world” demand that extends beyond the industrial countries and includes output developments in Eastern Europe and the former Soviet Union (FSU). The empirical results support these extensions, as both the fit of the model improves substantially and, more importantly, its ability to forecast increases markedly.