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Effect of Speculators’ Position Changes on the LME Futures Market

Commodity Research Center, Public Procurement Service, Daejeon 35208, Korea
Int. J. Financial Stud. 2019, 7(2), 32; https://doi.org/10.3390/ijfs7020032
Received: 19 March 2019 / Revised: 29 May 2019 / Accepted: 12 June 2019 / Published: 14 June 2019
This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position changes of speculators, such as hedge funds and CTAs (commodity trading advisors), unidirectionally Granger-cause the prices of base metals, such as aluminum, copper, and zinc. This finding is a result of causality going from the levels of net futures positions of money managers to futures price changes on the London Metal Exchange (LME). However, producers’ and swap dealers’ speculative roles in price-formation are rejected in Granger causality tests. This paper presents clear results with important market implications. View Full-Text
Keywords: COTR; non-commercial traders; money managers; Granger causality test COTR; non-commercial traders; money managers; Granger causality test
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Park, J. Effect of Speculators’ Position Changes on the LME Futures Market. Int. J. Financial Stud. 2019, 7, 32.

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