Online Seminar by Bahattin Büyükşahin

When:
February 12, 2021 @ 5:00 pm – 6:00 pm
2021-02-12T17:00:00+03:00
2021-02-12T18:00:00+03:00
Contact:
İpek Kamoy
+90(312) 2901276
‘Do Institutional Traders Predict Bull and Bear Markets?’
by Bahattin Büyükşahin
American University, Washington

Join Zoom Meeting
https://zoom.us/j/3370698252?pwd=OWRmQ1hNNWhRWng2QnhsTENzK1hGUT09
Meeting ID: 337 069 8252
Passcode: 597678

Abstract

We analyze the role of hedge fund, swap dealer, and arbitrageur activity in the crude oil market. Using confidential position data on institutional investors, we first analyze the linkages between trader positions and fundamentals. We find that these institutional position changes reflect fundamental economic factors. Subsequently, we adopt a Markov regime-switching model with time-varying probabilities and find institutional position changes contribute incrementally to the probability of regime changes, displaying the synchronization patterns modeled in Abreu and Brunnermeier (2002; 2003).