Predictive Value of Commercial Trading Activity in Eurodollar Futures Market on US Stock Market Indices From 2000 Through 2019

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dc.contributor.author Somani, Ankur
dc.contributor.advisor Purnanandam, Amiyatosh
dc.date.accessioned 2020-05-14T12:00:51Z
dc.date.available 2020-05-14T12:00:51Z
dc.date.issued 2020-04
dc.identifier BA 480 en_US
dc.identifier.uri http://hdl.handle.net/2027.42/155357
dc.description.abstract This paper examines the predictive value of commercial Eurodollar futures trading activity on US public equities. The inspiration behind this topic stems from a May 2011 publication by Tom McClellan of The McClellan Market Report. In it, McClellan charts the S&P 500 Index and net commercial trading position as a percentage of total open interest in the Eurodollar futures market (“monthly commercial positioning”) from January 2007 to May 2011. After shifting the monthly commercial positioning data forward by 52 weeks, McClellan brings viewers’ attention to the strong lagged correlation between the 2 time series. In this study, we reproduce this time delayed interaction for the period 2000 through 2019 and notice a correlation exceeding 0.8 between monthly commercial positioning and a 52-week lagged reproduction of the S&P 500 Index. We then employ a bivariate econometric procedure to explore cointegration and short-run and long-run Granger-causality. Specifically, we separately measure the forecasting power of monthly commercial positioning on 14 US stock market indices (3 broad-based indices and 11 sector-specific indices). In a majority of our results, monthly commercial positioning is shown not to be a statistically significant indicator of US equity markets. en_US
dc.language.iso en_US en_US
dc.subject.classification Business Administration en_US
dc.title Predictive Value of Commercial Trading Activity in Eurodollar Futures Market on US Stock Market Indices From 2000 Through 2019 en_US
dc.type Project en_US
dc.type Thesis en_US
dc.subject.hlbsecondlevel Business (General)
dc.subject.hlbtoplevel Business and Economics
dc.contributor.affiliationum Ross School of Business en_US
dc.contributor.affiliationumcampus Ann Arbor
dc.description.bitstreamurl https://deepblue.lib.umich.edu/bitstream/2027.42/155357/1/Ankur Somani_BA 480 Written Report.pdf
dc.owningcollname Business, Stephen M. Ross School of - Senior Thesis Written Reports
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