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- Title
The information content of aggregate data on financial futures positions.
- Authors
Mogford, Caroline; Pain, Darren
- Abstract
This article uses statistical analysis to investigate the strength of any empirical relationships between data on speculative financial futures positions and movements in asset prices. It finds strong evidence that speculative positions do indeed tend to move closely with changes in the underlying asset prices. But there is little support for the view that these positions data systematically inform about future changes in asset prices. INSET: Possible links between futures positions and movements….
- Subjects
FUTURES; AGGREGATED data; PRICES; ASSETS (Accounting); DERIVATIVE securities; INVESTMENTS
- Publication
Bank of England Quarterly Bulletin, 2006, Vol 46, Issue 1, p57
- ISSN
0005-5166
- Publication type
Article