미결제약정수량과 상품선물 수익률에 대한 연구

Investments into commodity-liked products have substantially grown since 2000 due to somewhat lower correlation with traditional assets. (Gorton and Rouwenhorst (2006). As shown in this paper, commodity market open interest tends to lead commodity returns using CFTC data set and can be somewhat more informative in line with Hong and Yogo(2012). In particular, the copper find that both “Managed Net” and “SWAP Net” have statistically significant impact with positive coefficients, while “Producer Net” has no statistically significant at all. This positive coefficient is additional evidence that expected commodity returns are pro-cyclical. The agricultural commodity such as corn and soybean exhibited that “Producer Net” has statistically significant impact with negative coefficient, which seems to reflect hedge motivation by producers. The dollar index(DXY) are negatively correlated with commodity returns with 1% statistical significant level. And also, currency factor seems to drive out the forecasting power in regression analysis. Economists like Stock and Watson(2003) have already known that asset prices can be useful for forecasting macroeconomic stylized facts. And also Hong and Yogo(2012) found that open interest could be more informative which is somewhat pro-cyclical and correlated with both macroeconomic activity. It is desirable to examine the institutional investor strategy such as hedge fund strategy to investigate trigger factor for the changes in “Managed Net” and “SWAP Net” in future study agenda.