Download or read book Margin Requirements Price Limits and Their Relationship to Canadian Agriculture Futures Price Volatility written by Wan-Ju Hsiao and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Margin requirements for futures contracts represent the amount that traders have to deposit to protect the broker from default. Margin requirements may be used as a tool to prevent excessive volatility in the futures price by limiting excessive speculation in the futures market. Previous studies that examined the effectiveness of margin requirements upon price volatility have not found evidence that margins are able to stabilize the futures price volatility. However, none of these studies have considered the price limits specified by the futures exchange to reduce large movements in prices. Thus, the objective of this study is to examine two Canadian agriculture futures contracts--the canola and the western domestic barley futures contract which are traded on the ICE Futures Canada--over the period June 2002 through June 2009, to understand whether increases in margins are effective at stabilizing futures prices after considering the effect of price limits upon futures prices. The results show that increases in margins can reduce futures price volatility when price limits are taken into consideration for the canola contract, but not for the barley contract. Moreover, the existence of price limits appears to have a gravitation (destabilization) effect on canola futures price volatility but no effect on the barley futures price volatility.
Download or read book Margin Requirements on Commodity Exchanges written by United States. Congress. Senate. Committee on Agriculture and Forestry and published by . This book was released on 1948 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relationship Between Margin Changes and Volatility in Futures Markets written by Ya Cai and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traders in futures markets are required to deposit initial margin requirements for their open futures positions and maintain minimum margin requirements for these open positions. Futures exchanges set these margin requirements and require higher margin requirements for more volatile contracts. It has been argued that futures exchanges may use changing margin requirements to control the volatility of futures contracts and this question is still of interest. To address this question, I investigate the relationship between margin changes and futures price volatility for 24 different futures contracts, which include contracts on agricultural commodities, livestock, equity indices, interest rate and foreign currency. I provide evidence using univariate tests that the futures price volatility is significantly reduced following margin increases, while the futures price volatility increases but to a lesser extent following margin decreases. A regression analysis shows that larger margin changes have a greater negative effect on the futures price volatility. This relationship holds for the different futures contracts. Finally, it may be argued that margin requirements and futures price volatility are endogeneous variables. To address the potential presence of endogeneity, I employ the instrumental variables technique along with two stages least squares estimation and find that the inverse relationship between margin changes and volatility still holds.
Download or read book The Adequacy and Consistency of Margin Requirements in the Markets for Stocks and Derivative Products written by Mark Warshawsky and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Theory of Price Limits in Futures Markets written by Michael Joseph Brennan and published by . This book was released on 1984 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book World Agricultural Supply and Demand Estimates written by and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Role of Margin Requirements in Futures Markets written by Sujata Bose Sinha and published by . This book was released on 1993 with total page 750 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Margin Requirements and Volatility written by Kwan Yiu Lee and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Limits and Margin Requirements in Futures Markets written by Haiwei Chen and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hypothesis that futures exchanges could use daily price limits as a substitute for higher margin requirements. The empirical results show that the size of margin is negatively correlated with the presence of price limits. Evidence points to the portfolio adjustment costs theory as an explanation of the benefits from price limits. The empirical results cast doubt on the notion that price limits should be abolished. The results also confirm that exchanges have set margin requirements according to economic theories.
Download or read book Review of Commodity Futures Trading and Its Relationship to Agricultural Producers written by United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development and published by . This book was released on 1984 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Download or read book dealing with commodity price uncertainty written by Panos Varangis and published by World Bank Publications. This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Myth of Comoving Commodity Prices written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1999-12-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of economic time series called concordance. Concordance measures the proportion of time that the prices of two commodities are concurrently in the same boom period or same slump period. Using data on the prices of several unrelated commodities, the paper finds no evidence of comovement in commodity prices. The results carry an important policy implication, as the study provides no support for earlier claims of irrational trading behavior by participants in world commodity markets.
Download or read book Finance Literature Index written by and published by . This book was released on 1994 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Futures Trading Practices Act of 1991 S 207 written by United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry and published by . This book was released on 1991 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Energy Speculation written by United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Oversight and Investigations and published by . This book was released on 2008 with total page 988 pages. Available in PDF, EPUB and Kindle. Book excerpt:
