Trading behaviour and return performance of speculators and hedgers : currency and precious-metal futures 1992 - 2003

• Main Authors: Jeenath Mehron Mohd Yahaya, Nuraihan Mohd Bashir, Masataka Wada
• Other Authors: Kang, Joseph Choong Seok
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Futures
• Online Access: http://hdl.handle.net/10356/9521
• Institution: Nanyang Technological University

This paper investigates the trading behaviour and return performance of hedgers and speculators in eight currency and four precious metal futures contracts.For the investigation, we construct weekly data on futures returns, three pricing factors, and major traders’ net futures positions for the peri...