Long‐short speculator sentiment in agricultural commodity markets

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for 12 agricultural commodity futures. For this purpose, we dynamically model equidirectional trading of long and short futures as a proxy market sentiment. We find evidence period considerably positive differ significantly from neutral periods all commodities, which underlines sentiment's relevance. In line with empirical literature, can reject argument price manipulation continues develop into direction although trade non-directionally in following. rather indicate existence time-series momentum effect, be robustly identified without requirement define an external parameter. From superior sentiment-based returns, conclude have valuable, exclusive information, cannot replicated by observing activity time lag eight days. also strategy generates higher than realised 15-year sample attribute complexity speculators' strategies.