Seminars & webinars
26 July 2012

Do Institutional Traders Predict Bull and Bear Markets?


Where: Milan
Location:

Fondazione Eni Enrico Mattei
Corso Magenta 63
20123 Milan

***
Video-conference
at FEEM Venice

How to reach: Google map
Event's Timetable:


h. 10.00

Information:

Seminars Office, seminars@feem.it

Speakers:

Bahattin Buyuksahin, International Energy Agency

Abstract

Authors: Bahattin Buyuksahin (International Energy Agency), Celso Brunetti (Johns Hopkins University; CFTC) and Jeffrey H. Harris (Syracuse University)

We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental economic factors within each market. More importantly, institutional positions also contribute incrementally to the probability of regime changes displaying the synchronization patterns modeled in Abreu and Brunnermeier (2002; 2003). Conditioning on hedge fund activity and arbitrageur activity significantly improves our probability estimates, demonstrating that institutional positions can be useful in determining whether price trends resembling bubble patterns will continue or reverse.

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Do Institutional Traders Predict Bull and Bear Markets?

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