Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6738
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dc.contributor.authorMutafoğlu, Takvor H.-
dc.contributor.authorTokat, Ekin-
dc.contributor.authorTokat, Hakkı A.-
dc.date.accessioned2021-09-11T15:43:22Z-
dc.date.available2021-09-11T15:43:22Z-
dc.date.issued2012en_US
dc.identifier.issn0301-4207-
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2012.02.002-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/6738-
dc.description.abstractIn the early 2000s, the precious metal markets entered into a new phase where a steady rise of prices had been observed until the October 2008 crash. Given the size and importance of precious metal market, as well as the hedging capacity of precious metals due to their low correlation with equity markets (Draper et al., 2006), the question we want to arise is whether trader positions predict the direction of gold, platinum, and silver spot price movements. The forecasting content of the Commodity Futures Trading Commission's Commitment of Traders report for platinum, silver and gold prices using trader positions is investigated in a VAR framework. Granger causality tests are conducted to determine whether a relation between trader positions and market prices exists. An examination of the extreme trader positions on price movements is also conducted. The results indicate that market return is a significant parameter in explaining trader's positions for all trader types in each of the precious metal markets under consideration after the beginning of 2000s where we detect a structural break for each of the market under study. Commercial traders are found to be negative feedback traders, that is, they sell when the prices increase in the market. On the other hand, in line with the previous literature, a positive correlation between returns and positions held by non-commercial and non-reporting traders is found. However, trader's net positions do not lead market returns in general. There is some evidence on the forecasting ability of extreme trader positions on market returns. (C) 2012 Elsevier Ltd. All rights reserved.en_US
dc.language.isoenen_US
dc.publisherElsevier Sci Ltden_US
dc.relation.ispartofResources Policyen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCommitment of Tradersen_US
dc.subjectPrecious metal futures marketsen_US
dc.subjectGranger causalityen_US
dc.titleForecasting precious metal price movements using trader positionsen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of International Entrepreneurshipen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümütr_TR
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Uluslararası Girişimcilik Bölümütr_TR
dc.identifier.volume37en_US
dc.identifier.issue3en_US
dc.identifier.startpage273en_US
dc.identifier.endpage280en_US
dc.identifier.wosWOS:000309085200002en_US
dc.identifier.scopus2-s2.0-84865580644en_US
dc.institutionauthorTokat, Ekin-
dc.institutionauthorTokat, Hakkı Arda-
dc.identifier.doi10.1016/j.resourpol.2012.02.002-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ1-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairetypeArticle-
item.cerifentitytypePublications-
item.languageiso639-1en-
crisitem.author.dept04.03. Department of Management-
Appears in Collections:İşletme Bölümü / Department of Management
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
Uluslararası Girişimcilik Bölümü / Department of International Entrepreneurship
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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