Download or read book Lead Lag Relationships of Commodity Futures Contracts written by Nicolas Jordan and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this master thesis is to discover lead-lag relationships between prices of commodity futures contracts with different times to maturity as well as to test if existing lead-lag relationships are economically exploitable with a trading strategy. The analysis focuses on gold, silver, copper and oil futures. The question whether the price of a specific futures contract with a given maturity can be used to predict the price of a contract with the same underlying but a different maturity is relevant for a number of reasons. First, it shows whether modern electronic futures markets are in accordance with market efficiency. Second, it can help to better understand the dynamics and relationships between futures prices with different maturities. Third, it is interesting for practitioners in the finance industry as it can reveal opportunities for generating profitable trading strategies. In order to empirically detect lead-lag relationships between different maturity futures contracts, a vector error correction model (VECM) is estimated with intraday data of 5-minute intervals. This rarely analyzed data frequency allows to discover previously unknown pricing inefficiencies. The cointegrating relationships for metal futures are modeled with a new method which captures the particular seasonality pattern that arises because these futures also trade during the delivery months. Depending on the results of the empirical analysis, either a VECM or vector auto-regression (VAR) model is used to produce out-of-sample forecasts and to develop a trading strategy. The following conclusions can be derived from the performed analyses. There indeed exist lead-lag relationships between all futures contracts considered. Some of these lead-lag relationships are exploitable in a trading strategy, producing positive cumulative returns even after accounting for transaction costs. One potential reason for the observed lead-lag relationships are di.

Download or read book Lead Lag Relationship Between Spot and Futures Market of Indian Metal Commodity Market written by Velmurugan Palaniappan Shanmugam and published by . This book was released on 2017 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examined the lead-lag relationship between the futures market and spot market for the metal commodity market during the sample period January 2010 through August 2014. The econometric tools like Unit root tests, Johansen co-integration test and Pairwise Granger Causality tests were employed in the study. The Augmented Dickey Fuller tests and Phillips-Perron tests employed in the study proved that both the selected metals markets were stationary series, Johansen co-integration test proved selected metals spot and future markets are co-integrating each other and the Granger Causality test proved uni-causality relationships among these markets between spot and future market return series during the study period.

Download or read book Lead Lag Relationship and Price Discovery in Indian Commodity Derivatives and Spot Market written by Vasantha Naik 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 lead-lag relationship and price discovery process between spot and futures market of pepper in India by employing Johansen's cointegration test and the bivariate VECM-EGARCH(1, 1) models. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) tests are used to check the stationarity of the price series. The study finds that spot market absorbs the information faster than futures market, and therefore, the former plays a significant role in the price discovery process.

Download or read book Pricing Behaviour in Australian Financial Futures Markets written by Malcolm L. Edey and published by . This book was released on 1988 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.

Download or read book The Commitments of Traders Bible written by Stephen Briese and published by John Wiley & Sons. This book was released on 2008-04-04 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regardless of your trading methods, and no matter what markets you’re involved in, there is a Commitments of Traders (COT) report that you should be reviewing every week. Nobody understands this better than Stephen Briese, an industry-leading expert on COT data. And now, with The Commitments of Traders Bible, Briese reveals how to use the predictive power of COT data—and accurately interpret it—in order to analyze market movements and achieve investment success.

Download or read book Impact of U S Financial Market Deregulation on Commodity Derivatives Market written by Velmurugan Palaniappan Shanmugam and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: With due credit to the globalized interlinked economy, the international linkages, information transmission, and the spillover effect from one futures market to other markets across the world is well researched and documented. Especially several studies on equity, currency, and commodity markets have documented the dominance of U.S markets in innovation and information dissemination to the rest to the world. The information of price, market return and volatility that is prevailing in U.S market is no more a domestic issue since it gets incorporated into international commodity futures markets immediately without sparing any lead-lag relationship. As US is the birthplace of several financial market and regulatory innovations, the entire world is looking at it for taking corrective measures. To conclude, it is not the failure of the derivatives market but it is the failure of the regulatory mechanism that have created turmoil in the market. The policy makers should understand that it is in their hands to design a regulatory architecture taking into account the developments and experiences during the first few years of the market - good and bad - and literally shape the financial and commodity market system that forms the foundation for the future of futures market.

Download or read book Lead Lag Relationship and Price Behavior in Potato written by Tanushree Sharma and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study attempts to investigate lead-lag relationship between Potato spot price and future prices of India. The data for study is the daily closing prices of spot and futures of Potato. Prices that were trading around Rs 580 per quintal during December, almost doubled by mid-March and touched a high of Rs 1,211 per quintal. However, thereafter, prices have been declining continuously on the back of arrival pressure of the new crop coupled with the Forward Market Commission's intervention in the form of imposition of stock limit. The period of data is from March 2009 to 30th April 2012 . All the required data information for the study has been retrieved from the National Commodity Exchange of India (NCDEX) website. Both the data series of future and spot price of Potato are stationary after first difference. From the Johansen-Juselius test, it can be concluded that there is no cointegration between spot and futures prices. The shape of the impulse response graphs that spot market has a slightly larger response to one standard deviation shocks to the future price than the future responses to spot innovations. The results of variance decomposition indicate that only a small percentage changes in forecast error of spot market is explained by the future market, and over the period of time it remains constant.

Download or read book Relationship Between Spot and Futures Markets of Selected Agricultural Commodities written by Velmurugan Palaniappan Shanmugam and published by . This book was released on 2017 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study empirically examines the market which reacts first markets in India by assessing the relationship between the spot and future prices of agricultural commodities such as Soya bean, Chana, Maize, Jeera and Turmeric for a period from January 2010 to March 2015 traded in NCDEX, Empirical results suggest the existence of long-run equilibrium relationships between futures and spot prices for all the 5 agricultural commodities that were taken for this study. Regression model pertaining to Lead-Lag relationship between Spot and Future markets suggests that for the commodities Maize, Jeera and Turmeric, both the spot and future markets price plays the leading role in the price discovery process and said to be informationally efficient and reacts more quickly to each other.

Download or read book Effect of Futures Trading on Spot Market Volatility written by Brajesh Kumar and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.

Download or read book The Lead Lag Relationship Between Spot and Futures Markets In the Energy Sector written by and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures written by Martin T. Bohl and published by . This book was released on 2018 with total page 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 Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

Download or read book The Relationship Between Futures Market Speculation and Spot Market Volatility written by Xuemei Xiao and published by . This book was released on 2018 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the relationship between speculation in futures markets and expected and unexpected volatility in the spot markets for 21 different commodities. I use the index of adequate speculation, INDADSP, and the index of excess speculation, INDEXSP, developed and estimated by Shanker (2017), to capture the degree of speculation required to meet hedging demand, and the degree of speculation in excess of hedging demand, respectively. For comparison, I also use Working's (1960) speculative index T, as a measure of speculation. I estimate the expected volatility (EV) and unexpected volatility (UEV) of the spot market using a GARCH model. The empirical results indicate that the GJR-GARCH model with a Student's t distribution for the error term is the most appropriate model, among the GARCH-family of models, to capture the volatility of 17 of the 21 spot commodity returns. However, the results of feeder cattle indicate the exists of serial correlation of the residuals for all three GARCH model I used, so I drop it and do the further analysis for the rest of 20 commodities and financial contracts. For each commodity, I create time series of matched weekly indices of speculation, expected volatility and unexpected volatility. Next, I investigate the long-run and short-run relationships between volatilities and speculation using an autoregressive distributed lag model. The results indicate that there is a long term relationship between expected and unexpected volatility and the speculative indices, for all commodities, except the Euro, Eurodollar, and U.S. T-bond, and a short term relationship between volatilities and speculation for all commodities. Finally, I apply the Toda-Yamamoto test to investigate the causal relationship between speculation in futures markets and volatility in spot markets. I find that speculation tends to lead expected volatility more than unexpected volatility for the majority of commodities/financial assets. Expected volatility, rather than unexpected volatility, tends to lead speculation for a majority of commodities/financial assets. There is a bidirectional causality between expected volatility and INDADSP, INDEXSP, and T and between unexpected volatility and INDEXSP for several different commodities and financial assets. However, there is no bidirectional causality between unexpected volatility and the speculative indices INDADSP and T for all 20 commodities/financial assets.

Download or read book COMMODITY AND FINANCIAL DERIVATIVES THIRD EDITION written by KEVIN, S. and published by PHI Learning Pvt. Ltd.. This book was released on 2024-05-06 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book, in its third edition has been thoroughly updated where necessary. It is a comprehensive textbook covering all aspects of derivatives. It contains a description of the four derivative instruments, namely, forwards, futures, options and swaps; the different types of derivative products such as currency forwards, currency futures, commodity futures, stock futures, index futures, interest rate futures, stock options, currency options, currency swaps and interest rate swaps; the pricing of forwards, futures and options; the process of risk management using derivatives. Beginning with an overview of derivatives and explaining the basic concepts of the four derivative instruments, it describes the features and trading processes of the different types of derivative products used for risk management. The Indian context and environment are highlighted in the explanation of the trading processes in order to familiarize the reader with the Indian derivatives market. The mathematical models used for pricing of futures and options are illustrated with examples. The contents of the text are supported with illustrative examples, diagrams, tables and review questions to reinforce the understanding of the subject matter. NEW TO THE THIRD EDITION • Introduces a new chapter on 'Risk Management with Derivatives' to explain different types of risks and how different types of derivatives are used for hedging the different types of risks. • Updates all examples with current values. TARGET AUDIENCE • MBA Finance • M.Com • Finance Professionals

Download or read book Advances in Manufacturing and Industrial Engineering written by Ranganath M. Singari and published by Springer Nature. This book was released on 2021-01-13 with total page 1180 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents selected peer reviewed papers from the International Conference on Advanced Production and Industrial Engineering (ICAPIE 2019). It covers a wide range of topics and latest research in mechanical systems engineering, materials engineering, micro-machining, renewable energy, industrial and production engineering, and additive manufacturing. Given the range of topics discussed, this book will be useful for students and researchers primarily working in mechanical and industrial engineering, and energy technologies.