Disaggregated Commitment Of Traders Data And Prospective Price Effects

Abstract

The interplay between speculative levels in futures contracts and prospective price changes is an important issue for hedgers, speculators, consumers, and regulators. The Commodity Futures Trading Commission (CFTC) began the dissemination of disaggregated data in September 2009; which allows for additional analysis that was previously not possible. This study analyzes Disaggregated Commitments of Traders data and prospective price effects in underlying futures markets. The relationship between position changes and subsequent price movements is examined through a series of Granger causality tests in agricultural commodity, energy, and metal markets. Primary findings indicate large traders and hedgers have more influence in future price changes in some commodity markets. In addition, there is limited evidence that changes in the positions of swap dealers and producers can cause subsequent futures prices to change, although the effect is inconsistent across time.