Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates

摘要: This study presents an empirical analysis investigating the relationship between futures trading activities of speculators and hedgers potential movements major spot exchange rates. A set trader position measures are employed as regression predictors, including level change net positions, investor sentiment index, extremely bullish/bearish sentiments, peak/trough indicators. We find that peaks troughs positions generally useful predictors to evolution rates, but other less correlated with future market movements. In addition, speculative usually forecast price-continuations in rates while hedging price-reversals these markets. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark