Coyle, C, Gogolin, F and Kearney, F (2019) Modelling gold futures: should the level of speculation inform our choice of variables? European Journal of Finance, 25 (10). pp. 966-977. ISSN 1351-847X
Abstract
Prior literature provides conflicting evidence about the impact of speculation on gold futures returns, volatility, and the relationship between market fundamentals and prices. In this paper, we exploit trade volume information to determine the most appropriate family of factors to adopt when modelling gold futures. Using the Disaggregated Commitment of Traders report, we find that extreme levels of speculation are informative in that they signify a shift in the relative modelling accuracy of macroeconomic and latent factors. A simple composite prediction framework, incorporating the changing level of speculation, empirically demonstrates the uncovered phenomenon and offers improved predictive accuracy for gold futures prices. Furthermore, our findings are shown to be robust to alternative latent and macroeconomic model specifications.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in The European Journal of Finance on 17 Dec 2018, available online: https://doi.org/10.1080/1351847X.2018.1559212. |
Keywords: | Financial forecasting; contingent pricing; futures pricing; general financial markets |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 03 Jan 2019 10:33 |
Last Modified: | 17 Jun 2020 00:38 |
Status: | Published |
Publisher: | Taylor & Francis |
Identification Number: | 10.1080/1351847X.2018.1559212 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:140400 |