Who Holds Positions in Agricultural Futures Markets

Robe, Michel A.; Roberts, John S.

doi:10.2139/ssrn.3438627

Cited by 9 publications

(10 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our results are consistent with the notion that financial index investment is motivated by longterm investment objectives rather than short-term trading (e.g., Robe and Roberts, 2019;Stoll and Whaley, 2010). Robe and Roberts (2019) used non-public data from 2015 to 2018, including all trader-level futures positions reported to CFTC, to investigate the nature of market participants, the maturity structure of the positions held by different types of traders, and via the main business lines of these traders, their corresponding aggregate position patterns. Similar to our findings, their results show that the main goal of CITs is to have long-term and passive investments for portfolio diversification.…”

Section: Cq Testssupporting

confidence: 90%

“…One possibility is trader composition. Using non-publically available CFTC data for the same four commodities analyzed in the present paper, Robe and Roberts (2019) found that only 19% and 30% of the long and short open interest in the CBOT wheat market were attributed to commercial traders in 2015-2018, respectively, substantially lower than the ratios in the other three markets. Meanwhile, CITs held 43% of long open interest in CBOT wheat, whereas in the other three markets, the ratio ranges from 29% (soybeans) to 36% (corn).…”

Section: Discussionmentioning

confidence: 48%

“…For most of the significant cases that show a price impact, test results suggest that increases in CIT net long position changes are associated with lower futures returns, contrary to the underlying tenet of the Masters Hypothesis. Robe and Roberts (2019) noted that CITs held a higher share of short open interest than the other three markets. The larger presence of CIT short positions may be one reason for the negative CIT price impact.…”

Section: Discussionmentioning

confidence: 99%

See 2 more Smart Citations

Do Extreme CIT Position Changes Move Prices in Grain Futures Markets?

Irwin²,

Etienne³

2022

J. Agric. Appl. Econ.

View full text Add to dashboard Cite

Most previous studies reject the basic tenet of the Masters Hypothesis that the influx of financial index investments has pressured agricultural futures prices upwards substantially. However, the impact of index investment activities may be more complicated and nuanced than can be detected by the relatively simple linear Granger causality tests used in many previous studies. Our study applies a new cross-quantilogram (CQ) test to weekly index trader positions and returns in four agricultural futures markets. Overall, we find limited support for a significant relationship between extreme index trader position changes and returns, and even less support that increased index trading activities have pushed commodity prices higher.

show abstract

Section: Cq Testssupporting

confidence: 90%

Section: Discussionmentioning

confidence: 48%

Section: Discussionmentioning

confidence: 99%

See 1 more Smart Citation

Do Extreme CIT Position Changes Move Prices in Grain Futures Markets?

Irwin²,

Etienne³

2022

J. Agric. Appl. Econ.

View full text Add to dashboard Cite

show abstract

“…Our analysis explicitly accounts for the fact that a large fraction of all commodity futures market activity takes the form of calendar spreads, i.e., entails simultaneously taking long and short positions in futures with different maturities (rather than trading a single maturity outright)-see Robe and Roberts (2019). Precisely, we investigate liquidity in the outright futures markets for grains and oilseeds and in the related calendar spread markets.…”

Section: Introductionmentioning

confidence: 99%

Canary in the Coal Mine: COVID-19 and Soybean Futures Market Liquidity

Peng

Robe

et al. 2021

SSRN Journal

Self Cite

View full text Add to dashboard Cite

We document the impact of the early stages of the COVID-19 pandemic on liquidity in U.S. agricultural markets. Notably, we show that soybean futures-market depth collapses weeks before the U.S. financial markets' crash of March 2020. Soybean futures liquidity is affected the earliest, the most, and the longest. Soybean depth drops by half for outright futures and by over 90 percent for calendar spreads, and soybean bid-ask spreads increase significantly. This liquidity pullback starts on the night of February 12 to 13, 2020-a full two weeks before (i) liquidity evaporates in U.S. bond and equity markets and (ii) soybean prices start to fall sharply. The start of the soybean liquidity pullback coincides with overnight news of bleak COVID-19 developments in China (a dominant source of world demand for oilseeds). Following a series of emergency interventions by the U.S. Federal Reserve in March and April 2020, liquidity recovers in the soybean outright futures market-but depth remains abnormally low for calendar spreads. These patterns cannot be explained by other factors, such as seasonalities or changes in soybean futures trading volume and price volatility: the COVID-19 shock was novel, and it destroyed soybean-market liquidity in a way that foretold financial-market developments two weeks later. In contrast to soybeans, we find little evidence of a drop in corn or wheat futures liquidity until U.S. financial and crude oil markets sink in early March. Soybeans were truly the canary in the coal mine.

show abstract

“…First, agricultural markets have evolved massively over the course of the past two decades. Quantitatively, the open interests in corn and soybean options and futures are many times what they were 15 years ago (Robe & Roberts, 2019). Qualitatively, changes that could materially impact the manner or the extent of market reactions to USDA news include the growth (and, later, the dominance) of electronic and high‐frequency trading (Haynes & Roberts, 2015; Haynes et al, 2017), the demise of the futures trading pits (Gousgounis & Onur, 2018), and the influx of ever more sophisticated private forecasting services (Karali, Irwin, et al, 2019; McKenzie, 2008).…”

Section: Introductionmentioning

confidence: 99%

Market uncertainty and sentiment around USDA announcements

Cao

Robe

2021

Journal of Futures Markets

Self Cite

View full text Add to dashboard Cite

We investigate forward‐looking commodity price volatility expectations (proxied by option‐implied volatilities or IVols) around scheduled US Department of Agriculture (USDA) reports. We show that corn and soybean IVols are significantly lower for several trading days after a report. The IVol response to a release depends on agricultural market experts' disagreement and sentiment before the USDA report, and on the extent to which the USDA information surprises the market. Whereas commodity IVols are generally positively related to financial‐market sentiment and macroeconomic uncertainty (jointly captured by the volatility index [VIX]), this comovement breaks down on report days—with the VIX and commodity IVols moving in opposite directions.

show abstract

Who Holds Positions in Agricultural Futures Markets

Cited by 9 publications

References 17 publications

Do Extreme CIT Position Changes Move Prices in Grain Futures Markets?

Do Extreme CIT Position Changes Move Prices in Grain Futures Markets?

Canary in the Coal Mine: COVID-19 and Soybean Futures Market Liquidity

Market uncertainty and sentiment around USDA announcements

Contact Info

Product

Resources

About