Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports

• Published in: Energy economics Vol. 26; no. 3; pp. 425 - 445
• Main Authors: SANDERS, Dwight R, BORIS, Keith, MANFREDO, Mark
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier Science 01.05.2004; Elsevier; Elsevier Science Ltd
• Series: Energy Economics
• Subjects: Applied sciences; Causality; Correlation analysis; Economic data; Economic models; Energy; Energy economics; Energy industry; Energy market; Energy policy; Exact sciences and technology; Fossil fuels and derived products; Futures; Futures market; Gas; General, economic and professional studies; Hedging; Natural gas; Oil; Oil price; Petroleum industry; Prices; Studies; Positioning; Price; Gasoline; Causality; Oil economy; Gas economy; Fuel oil; Natural gas; Time bargain; Petroleum; Dealer
• ISSN: 0140-9883; 1873-6181
• DOI: 10.1016/S0140-9883(04)00020-9

The Commodity Futures Trading Commission (CFTC)'s Commitments of Traders (COT) data are examined for crude oil, unleaded gasoline, heating oil, and natural gas futures contracts. The collection procedures for the COT data are first examined, followed by Granger causality tests to determine if relationships between trader positions and market prices exist. A positive correlation between returns and positions held by noncommercial traders, and a negative correlation between commercial positions and market returns, are found. Furthermore, positive returns result in an increase in noncommercial net positions in the following week, whereas the net long positions held by commercial hedgers decline following price increases. However, traders' net positions do not lead market returns in general. [PUBLICATION ABSTRACT]