Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logisitic Smooth Transition Regression Models

John Wiley & Sons Ltd
Publication Type:
Journal Article
Journal Of Futures Markets, 2007, 27 (8), pp. 719 - 737
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This study explores nonlinearities in the response of speculators trading activity to price changes in live cattle, corn, and lean hog futures markets Analyzing weekly data from March 4, 1997 through December 27, 2005, the authors reject linearity in all of these markets. Using smooth transition regression models, the authors found a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs.
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