Narrow search
Showing 1 - 10 of 119
Cover Image
The impact of the Chinese cornstarch futures on spot market and corn futures market
Agyekum, Crentsil Kofi; Haifeng, Huang; Chen, Jianshu - In: Cogent economics & finance 5 (2017) 1, pp. 1-30
This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market … price and corn futures price. The launch of cornstarch futures market can slightly reduce volatility of domestic corn …
Persistent link: https://www.econbiz.de/10011887432
Cover Image
The effect of new futures contracts on gold futures price volatility : evidence from the Thailand futures exchange
Woradee Jongadsayakul - In: Cogent economics & finance 8 (2020) 1, pp. 1-14
futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …
Persistent link: https://www.econbiz.de/10013179506
Cover Image
Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness
Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15
the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product … markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal … this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using …
Persistent link: https://www.econbiz.de/10011881040
Cover Image
Investigating the impact of geopolitical risks on the commodity futures
Mitsas, Sokratis; Golitsis, Petros; Khudoykulov, Khurshid - In: Cogent economics & finance 10 (2022) 1, pp. 1-24
on monthly returns and volatility of several American commodity futures. By modeling volatility via an Exponential … volatility. Overall, our findings provide portfolio diversification benefits by showing how the impact of global GPRs, GPAs and …
Persistent link: https://www.econbiz.de/10013461382
Cover Image
Comovement and contagion in commodity markets
Chalid, Dony Abdul; Handika, Rangga - In: Cogent economics & finance 10 (2022) 1, pp. 1-27
This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...
Persistent link: https://www.econbiz.de/10013459425
Cover Image
The hedging effectiveness of gold against US stocks in a post-financial crisis era
Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23
and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 …
Persistent link: https://www.econbiz.de/10014233046
Cover Image
Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements
Ishfaq, Muhammad; Muhammad Usman Arshad; Durrani, … - In: Cogent economics & finance 10 (2022) 1, pp. 1-28
The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables … characteristics of market participants appear to trump macroeconomic considerations. The volatility indices and bid-ask spreads were … exchange rates. The forex returns, bid-ask spread, and volatility indices demonstrated less vulnerability towards Chinese …
Persistent link: https://www.econbiz.de/10013431442
Cover Image
Linkages among commodity futures prices in the recent financial crisis : an application of cointegration tests with a structural break
Tsuchiya, Yoichi - In: Cogent economics & finance 3 (2015) 1, pp. 1-13
In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...
Persistent link: https://www.econbiz.de/10010492392
Cover Image
Subordinated affine structure models for commodity future prices
Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 6 (2018) 1, pp. 1-26
To date the existence of jumps in different sectors of the financial market is certain and the commodity market is no exception. While there are various models in literature on how to capture these jumps, we restrict ourselves to using subordinated Brownian motion by an α-stable process, α ∈...
Persistent link: https://www.econbiz.de/10012023123
Cover Image
Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets
Rosales, Enrique Benavides - In: Cogent economics & finance 5 (2017) 1, pp. 1-32
The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it’s...
Persistent link: https://www.econbiz.de/10011881559