Predictive Value of Commercial Trading Activity in Eurodollar Futures Market on US Stock Market Indices From 2000 Through 2019
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 | https://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 |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.