{"id":116912,"date":"2024-01-22T20:16:14","date_gmt":"2024-01-22T19:16:14","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/116912\/"},"modified":"2024-11-07T04:43:19","modified_gmt":"2024-11-07T03:43:19","slug":"technical-trading-and-commodity-price-fluctuations","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/116912\/","title":{"rendered":"Technical Trading and Commodity Price Fluctuations"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-116912","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"The study examines the empirical relevance of two antagonistic hypotheses of commodity price dynamics. The \"fundamentalist hypothesis\" implies that commodity prices are determined exclusively by supply and demand conditions in spot markets. The \"bull-bear hypothesis\" assumes that also destabilising speculation plays an important role in the price formation process. The extent of commodity price fluctuations since the late 1980s, in particular the boom 2007-08 and the subsequent bust, can hardly be accounted for by market fundamentals. At the same time, trading volume on commodity derivatives exchanges has been quadrupling since mid-2000s. This increase was probably due to rising speculation, to a great extent based on technical trading systems. This presumption is confirmed by the results of testing the performance of 1,092 technical trading systems in the futures markets for crude oil, corn, wheat and rice. Most of the models would have been profitable not only over the entire sample period but also over most sub-periods. If one aggregates over the transactions and open positions of the 1,092 technical models, it turns out that technical commodity futures trading exerts an excessive demand (supply) pressure on commodity markets.","onlinedate":"2012-09-19 12:00:00","lang":"English","publication_series":"","publication_date":"20120901","publication_date_year":"","publication_date_full":false,"publication_num_pages":"108","keywords":"[\"Technical trading\",\"commodity futures markets\",\"commodity price dynamics\"]","jelcodes":"[]","related_publications":"[]","pdf":345365,"zip":null,"link":"","monthly_report":false,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"","journal":"","publisher":"","invisible":false,"external":false,"embargo_date":"2012-09-19 12:00:00","types":[81966],"research_groups":[3491],"collaboration":"","persons":[3841],"persons_data":"[{\"personId\":3841,\"personName\":\"Stephan Schulmeister\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","citations":"{\"apa\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_apa rendering_bookanthology rendering_apa rendering_bookanthology_apa\\\"><span>Schulmeister, S.<\\\/span> (2012). <span><em>Technical Trading and Commodity Price Fluctuations<\\\/em><\\\/span>. WIFO. <a onclick=\\\"window.open(this.href, '_blank','noopener,noreferrer'); return false;\\\" href=\\\"https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/45238\\\" class=\\\"link\\\"><span>https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/45238<\\\/span><\\\/a><\\\/div>\",\"vancouver\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_vancouver rendering_bookanthology rendering_vancouver rendering_bookanthology_vancouver\\\"><span>Schulmeister S<\\\/span>. <span class=\\\"title\\\"><span>Technical Trading and Commodity Price Fluctuations<\\\/span><\\\/span>. WIFO; 2012.<\\\/div>\",\"bibtex\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_bibtex rendering_bookanthology rendering_bibtex rendering_bookanthology_bibtex\\\"><div>@book{49fdcf59a7b24a78a5d5be33521495f2,<\\\/div><div>  title    = \\\"Technical Trading and Commodity Price Fluctuations\\\",<\\\/div><div>  abstract = \\\"The study examines the empirical relevance of two antagonistic hypotheses of commodity price dynamics. The {\\\"}fundamentalist hypothesis{\\\"} implies that commodity prices are determined exclusively by supply and demand conditions in spot markets. The {\\\"}bull-bear hypothesis{\\\"} assumes that also destabilising speculation plays an important role in the price formation process. The extent of commodity price fluctuations since the late 1980s, in particular the boom 2007-08 and the subsequent bust, can hardly be accounted for by market fundamentals. At the same time, trading volume on commodity derivatives exchanges has been quadrupling since mid-2000s. This increase was probably due to rising speculation, to a great extent based on technical trading systems. This presumption is confirmed by the results of testing the performance of 1,092 technical trading systems in the futures markets for crude oil, corn, wheat and rice. Most of the models would have been profitable not only over the entire sample period but also over most sub-periods. If one aggregates over the transactions and open positions of the 1,092 technical models, it turns out that technical commodity futures trading exerts an excessive demand (supply) pressure on commodity markets.\\\",<\\\/div><div>  keywords = \\\"Technical trading, commodity futures markets, commodity price dynamics, Technical trading, commodity futures markets, commodity price dynamics\\\",<\\\/div><div>  author   = \\\"Stephan Schulmeister\\\",<\\\/div><div>  year     = \\\"2012\\\",<\\\/div><div>  month    = sep,<\\\/div><div>  language = \\\"English\\\",<\\\/div><p>}<\\\/p><\\\/div>\",\"ris\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_ris rendering_bookanthology rendering_ris rendering_bookanthology_ris\\\"><p>TY  - BOOK<\\\/p><p>T1  - Technical Trading and Commodity Price Fluctuations<\\\/p><p>AU  - Schulmeister, Stephan<\\\/p><p>PY  - 2012\\\/9<\\\/p><p>Y1  - 2012\\\/9<\\\/p><p>N2  - The study examines the empirical relevance of two antagonistic hypotheses of commodity price dynamics. The \\\"fundamentalist hypothesis\\\" implies that commodity prices are determined exclusively by supply and demand conditions in spot markets. The \\\"bull-bear hypothesis\\\" assumes that also destabilising speculation plays an important role in the price formation process. The extent of commodity price fluctuations since the late 1980s, in particular the boom 2007-08 and the subsequent bust, can hardly be accounted for by market fundamentals. At the same time, trading volume on commodity derivatives exchanges has been quadrupling since mid-2000s. This increase was probably due to rising speculation, to a great extent based on technical trading systems. This presumption is confirmed by the results of testing the performance of 1,092 technical trading systems in the futures markets for crude oil, corn, wheat and rice. Most of the models would have been profitable not only over the entire sample period but also over most sub-periods. If one aggregates over the transactions and open positions of the 1,092 technical models, it turns out that technical commodity futures trading exerts an excessive demand (supply) pressure on commodity markets.<\\\/p><p>AB  - The study examines the empirical relevance of two antagonistic hypotheses of commodity price dynamics. The \\\"fundamentalist hypothesis\\\" implies that commodity prices are determined exclusively by supply and demand conditions in spot markets. The \\\"bull-bear hypothesis\\\" assumes that also destabilising speculation plays an important role in the price formation process. The extent of commodity price fluctuations since the late 1980s, in particular the boom 2007-08 and the subsequent bust, can hardly be accounted for by market fundamentals. At the same time, trading volume on commodity derivatives exchanges has been quadrupling since mid-2000s. This increase was probably due to rising speculation, to a great extent based on technical trading systems. This presumption is confirmed by the results of testing the performance of 1,092 technical trading systems in the futures markets for crude oil, corn, wheat and rice. Most of the models would have been profitable not only over the entire sample period but also over most sub-periods. If one aggregates over the transactions and open positions of the 1,092 technical models, it turns out that technical commodity futures trading exerts an excessive demand (supply) pressure on commodity markets.<\\\/p><p>KW  - Technical trading<\\\/p><p>KW  - commodity futures markets<\\\/p><p>KW  - commodity price dynamics<\\\/p><p>KW  - Technical trading<\\\/p><p>KW  - commodity futures markets<\\\/p><p>KW  - commodity price dynamics<\\\/p><p>M3  - Study<\\\/p><p>BT  - Technical Trading and Commodity Price Fluctuations<\\\/p><p>ER  - <\\\/p><\\\/div>\"}","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v28.0 (Yoast SEO v28.0) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>Technical Trading and Commodity Price Fluctuations - WIFO<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.wifo.ac.at\/en\/publication\/116912\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Technical Trading and Commodity Price Fluctuations\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.wifo.ac.at\/en\/publication\/116912\/\" \/>\n<meta property=\"og:site_name\" content=\"WIFO\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WIFOat\/\" \/>\n<meta property=\"article:modified_time\" content=\"2024-11-07T03:43:19+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1920\" \/>\n\t<meta property=\"og:image:height\" content=\"1280\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@WIFOat\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/116912\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/116912\\\/\",\"name\":\"Technical Trading and Commodity Price Fluctuations - 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