CFCT Commitments of Traders Reports: Empirical Analysis and Strategies for Foreign-Exchange Investors

• Main Authors: LIN,MING-HUNG, 林明宏
• Other Authors: HUANG,CHEN-JUI
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/99v7en

碩士 === 東海大學 === 財務金融學系碩士在職專班 === 104 === This paper links data from the Commitments of Traders (COT) Report released weekly by the US Commodity Futures Trading Commission (CFTC) with movements in EUR/USD and USD/JPY exchange rates and examines whether the three position indicators that include the total open interest (TOI) ratio, net long position (NLP) ratio, and investor sentiment index (ISI) for each type of traders and the US weekly initial claims for unemployment insurance can serve as foundations for short-term technical analysis in the foreign exchange market. The empirical analysis overall finds a significantly positive (negative) relation between position indicators for Non-Reportables (Dealers/Intermediaries) represented by small (large) traders and rates of changes in EUR/USD and USD/JPY. In contrast, macroeconomic conditions reflected by initial claims are irrelevant to the trend in short-term exchange rates. This study also designs both bidirectional and unidirectional trading strategies for various periods on the basis of position indicators for Non-Reportables and Dealers/Intermediaries and calculates respective average rolling returns. The results indicate that the position indicators for small traders categorized as Non-Reportables in COT Reports are valuable for short-term foreign exchange investors.