Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

This study explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 through December 27, 2005, the authors reject linearity in all of these markets. Using smooth transition regression models, the authors found a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 28:719–737, 2007