Download or read book Asymmetric Information in Commodity Futures Markets Theory and Empirical Evidence written by Khoury, Nabil and published by Québec : Direction de la recherche, Faculté des sciences de l'administration, Université Laval. This book was released on 1992 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal hedging in commodity futures markets in the presence of asymmetric information written by Nabil Khoury and published by . This book was released on 1985 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Download or read book A Theory of Hedging in Commodity Futures Under Asymmetric Information written by Nabil Khoury and published by . This book was released on 1985 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Incomplete Markets with Asymmetric Information written by Rohit Rahi and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes a simple parametric model of endogenously determined incomplete futures markets, focusing on their role in allocating risk and transmitting private information. It characterizes market structures that are constrained efficient in the sense that no other market structure, with the same number of assets, leads to a Pareto-dominating allocation in equilibrium. Necessary conditions for constrained efficiency are (a) hedging efficiency (the hedging quality of futures contracts cannot be improved for one agent without reducing it for another, and (b) informational efficiency (the informational content of futures prices cannot be increased for one agent without diminishing it for another). Explicit characterizations are obtained for these notions of efficiency. It is shown that, under certain conditions, the market structure determined by volume-maximizing futures is informationally efficient and, in the case of a single futures contract, hedging-efficient as well.
Download or read book Speculation in Commodity Futures Markets written by Christof Sigl-Grüb and published by . This book was released on 2008 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymetric Information in Commodity Futures Markets Theory and Empirical Evidence written by Stylianos Perrakis and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The History of Commodity Futures Trading and Its Regulation written by Jerry Markham and published by Praeger. This book was released on 1987 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes the impact of regulation on today's commodity futures trading market by examining the development and growth of both. It addresses the development of regulatory efforts and examines the regulated futures exchange, discusses the creation and development of the Commodity Futures Trading Commission, and focuses on the types of commodity interests that are traded and their regulation. Commodity interests include leverage contracts, commodity futures contracts and options, and foreign contracts. Including an examination of the problems faced by the government in its regulatory efforts, this important new work is an accessible and authoritative guide for anyone involved in the commodity futures market, including banks, businesses, speculators, and regulators.
Download or read book Trading Performance in Forward Markets written by Gordon Phillips and published by . This book was released on 1991 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Economics Law and Public Policy of Market Power Manipulation written by Stephen Pirrong and published by Springer. This book was released on 2012-09-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deterrence of market manipulation is central to the entire regulatory and legal framework governing the operation of American commodity futures markets. However, despite all of the regulatory, scholarly, and legal scrutiny of market manipulation, the subject is widely misunderstood. Federal commodity and securities laws prohibit manipulation, but do not define it. Scholarly research has failed to analyze adequately the causes or effects of manipulation, and the relevant judicial decisions are confused, confusing, and contradictory. The aim of this book is to illuminate the process of market manipulation by presenting a rigorous economic analysis of this phenomenon, including the conditions that facilitate it and its effects on market users and others. The conclusions of this analysis are used to examine critically some legal and regulatory anti-manipulation policies. The Economics, Law and Public Policy of Market Power Manipulation concludes with a set of robust and realistic tests that regulators and jurists can apply to detect and deter manipulation.
Download or read book Equilibrium Commodity Trading written by Emmanuel Leclercq and published by . This book was released on 2014 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an equilibrium model of commodity spot and futures markets in which commodity production, consumption, and speculation are endogenously determined. Speculators facilitate hedging by the commodity suppliers. The entry of new speculators thus increases the supply of the commodity and decreases the expected spot prices, to the benefits of the end-users. However, this entry may be detrimental to the producers, as they do not internalize the price reduction due to greater aggregate supply. In the presence of asymmetric information, speculation on the futures market serves as a learning device. The futures price and open interest reveal different pieces of private information regarding the supply and demand side of the spot market, respectively. When the accuracy of private information is low, the entry of new speculators makes both production and spot prices more volatile. The entry of new speculators typically increases the correlation between financial and commodity markets.
Download or read book The Information Content of Commodity Futures Markets written by Rómulo Alves and published by . This book was released on 2019 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that commodity futures returns contain information relevant to stock market returns and macroeconomic fundamentals for a large number of countries. Commodity futures returns predict stock market returns in 59 out of 70 countries and macroeconomic fundamentals in 62 countries. This predictability is not concentrated in the energy and industrial metals sectors, as it is economically and statistically significant across all sectors. Surprisingly, we find that the role of countries' dependence on commodity trade is limited in its ability to account for this predictability. This holds true even when considering new measures that take into account indirect exposures through financial and trade linkages between countries. We find much stronger evidence of predictability being related to the ability of commodities to forecast inflation rates. Overall, our evidence is consistent with commodity markets having a truly global information discovery role in relation to financial markets and the real economy.
Download or read book Non Convergence in Domestic Commodity Futures Markets written by Michael Adjemian and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: During most of 2005-10, the price of expiring U.S. corn, soybeans, and wheat futures contracts settled much higher than corresponding delivery market cash prices. Because futures contracts at expiration are commonly thought to be equivalent to cash grain, this commodity price non-convergence appeared inconsistent with the law of one price. In addition, sustained non-convergence concerns market participants, exchanges, and policymakers because it can make hedging less effective, send confusing signals to the market, threaten the viability of a contract, and ultimately lead to a misallocation of agricultural resources. This report summarizes prominent theories that have been offered to explain non-convergence, including a new model that explains how the structure of a competitive delivery market can generate a positive expiring basis. The data support this delivery market theory over alternative explanations. Finally, we discuss various policy levers that have been offered to address non-convergence, as well as their likely impacts.
Download or read book The Effect of Algorithmic Trading on Agricultural Commodities Market Quality written by Neda Arzandeh and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The growing use of algorithms has significantly changed trading. These changes have been subjected to an ongoing debate in the finance literature. Some studies have found that algorithmic trading (AT) has a positive effect on market quality by increasing the competition, trading volume and liquidity, and lowering trading costs. Algorithmic traders provide liquidity when it is expensive and take it when it is cheap. On the other hand, others argue that AT may increase volatility and adverse selection. The difference in speed between fast and slow traders not only causes adverse selection, but it leads to wider spreads. We study the effect of AT on market quality, trade size and volatility, focusing on five agricultural commodity futures markets listed in the CME Group during the period of December 2015 to March 2016. The commodities include wheat, soybean, corn, lean hogs and live cattle. We control for USDA announcements released during the period of study, the day of the week, and intraday movements of AT. We find that AT improves market quality by narrowing the effective half spread (an estimate of the liquidity cost) in all markets. The effect is stronger in lean hogs and live cattle markets where AT also decreases the adverse selection (the reflection of the existence of different levels of information in the market). Algorithmic traders are more active when transaction costs and information asymmetry are lower. AT also decreases volatility in all markets. Our results show that the USDA announcements are significant only in the soybean market. We also find that the effect of the day of the week on AT is only significant in the corn market. The effect of the opening time of the market on AT is positive in soybean and corn, and negative in live cattle. The closing time is negative in all markets except live cattle where it is not significant. Finally, we perform an impulse response analysis. We find that the initial reaction of QHS and RS to a shock of AT is positive, the reaction of EHS and PI is negative, and the effect is always temporary.
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 Option Pricing written by Robert A. Jarrow and published by McGraw-Hill/Irwin. This book was released on 1983 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Transfer written by Christopher L. Culp and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on an enormously popular "derivative instruments and applications" course taught by risk expert Christopher Culp at the University of Chicago, Risk Transfer will prepare both current practitioners and students alike for many of the issues and problems they will face in derivative markets. Filled with in-depth insight and practical advice, this book is an essential resource for those who want a comprehensive education and working knowledge of this major field in finance, as well as professionals studying to pass the GARP FRM exam. Christopher L. Culp, PhD (Chicago, IL), is a Principal at CP Risk Management LLC and is also Adjunct Professor of Finance at the University of Chicago. He is the author of Corporate Aftershock (0-471-43002-1) and The ART of Risk Management (0-471-12495-8).
