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College of Agricultural, Consumer and Environmental Sciences (ACES) >
Dept. of Agricultural and Consumer Economics >
Office for Futures and Options Research (OFOR) >
OFOR Working Paper Series >
Please use this identifier to cite this item:
http://hdl.handle.net/2142/4062
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| Title: |
Noise Trader Demand in Futures Markets |
| Authors: |
Sanders, Dwight R.
Irwin, Scott H.
Leuthold, Raymond M. |
| Keywords: |
Granger causality model |
| Issue Date: |
1996-Jun |
| Publisher: |
Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign |
| Series Name / Report no.: |
OFOR Working Paper Series, no. 96-02 |
| Abstract / Summary: |
Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models conclusions depend crucially on the assumed specification for noise trader demand. This research seeks to empirically determine the appropriate demand specification for uninformed traders. Using commercial market sentiment indices as proxies for noise trader demand, Granger causality models are estimated to examine the linear linkages between sentiment and futures returns. The models strongly suggest that noise traders are positive feedback traders (i.e., extrapolative expectations) with relatively long memories. |
| URI: |
http://hdl.handle.net/2142/4062 |
| Type of Resource: |
text |
| Genre of Resource: |
working paper |
| Publication Status: |
published or submitted for publication |
| Peer-Reviewed: |
not peer reviewed |
| Appears in Collections: |
OFOR Working Paper Series
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WP96-02.doc (103Kb)
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WP96-02.doc.pdf (191Kb)
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