Download or read book Nonparametric Tests of Commodity Futures Market Efficiency written by Andrew M. McKenzie and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Download or read book Commodity Futures Price Changes written by Michael A. Hudson and published by . This book was released on 1986 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Investigation Into the Causes of Non martingale Behavior in Commodity Futures Prices written by Scott Wesley Barnhart and published by . This book was released on 1984 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Can Chartists Outperform the Market written by Salih N. Neftci and published by . This book was released on 1983 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Re examining the Futures Market Efficiency Using a New Approach in the Presence of a Time Varying Risk Premium written by Duminda Kuruppuarachchi and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
Download or read book A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency written by Rahuldeb Das and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three non-agricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
Download or read book The Distribution of Futures Price Changes and Market Efficiency in the Commodity Markets written by Seyed Mostafa Baladi and published by . This book was released on 1981 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements written by Feng Zhou and published by . This book was released on 2013 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation extends the proposed nonparametric framework for estimating interest rate dynamics to the estimation of the futures price term structure using agricultural commodity data. Instead of making potentially questionable assumptions on the distribution which governs futures returns, a distribution free nonparametric kernel estimator is implemented for both the convenience yield and spot price processes. The effect of mean reversion is found in both processes and the measurement error indicates the effectiveness of the estimates. As an application of the nonparametrically estimated futures price term structure, we estimate two key market risk measurements: Value at Risk and Expected Tail Loss, as risk indicators for taking positions in the futures market. Furthermore, this research adopts the Monte Carlo simulation method for estimating the risk measures. Soybeans is found to be a little less risky than corn and the difference in the results estimated by different methods can be significant in terms of the magnitude of economic losses.
Download or read book Testing for Efficiency in Commodity Futures Markets written by and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Signals on Currency Futures Contracts written by Erdogan Bilik and published by . This book was released on 1983 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Futures Market Efficiency written by Atcharawan Ngarmyarn and published by . This book was released on 1989 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Seasonality and Efficiency in Commodity Futures Markets written by and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Technical Bulletin written by and published by . This book was released on 1985 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 239 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 The Scientific Journal of Agricultural Economics written by Dr. Ghada Mohamed and published by Dr. Ghada Mohamed. This book was released on 2012-01-01 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Scientific Journal of Agricultural Economics Volume 1 - Issue 1 2012 Founder: Dr. Ghada Gomaa A. Mohamed Edited by: Daniel May & Ghada Mohamed ISSN 1923-6514 (Online): Library & Archives Canada Authors: Suppanunta Romprasert, Arif Nindito, and John Adams https://epe.lac-bac.gc.ca/100/201/300/scientific_jrn_agricultural_economics/2012/v01n01.pdf
Download or read book Journal of Agricultural Economics Research written by and published by . This book was released on with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Agricultural and Applied Economics written by and published by . This book was released on 2002 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
