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Finance and Economics Discussion Series: Commodity Index Trading and Hedging Costs - Softcover

Brunetti, Celso; Reiffen, David

 
9781288697700: Finance and Economics Discussion Series: Commodity Index Trading and Hedging Costs
Softcover
ISBN 10: 1288697708 ISBN 13: 9781288697700
Verlag: Bibliogov, 2013

Inhaltsangabe

Trading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. The model predicts that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset which precisely identifies trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance.

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Verlag
Bibliogov
Erscheinungsdatum
2013
Sprache
Englisch
ISBN 10 
1288697708
ISBN 13 
9781288697700
Einband
Taschenbuch
Anzahl der Seiten
44
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Verantwortliche Person
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