Fundamental economic factors — market demand and supply conditions — provide the most consistent explanation for recent trends in commodity prices. The rise and fall of commodity prices on a monthly basis since 2004 has been strongly linked to the value of the U.S. dollar and the world...

In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts. We examine contracts of wheat, corn, live cattle, soybean oil, and lean hog. Hedge funds use options and futures in terms of commodities to hedge market risk. We compare the...

This paper differentiates two types of margin requirement increase in Chinese futures market: regular margin increase and risk margin increase. We use SVAR model to study the relationship among open interests, price volatility and margin level of six kinds of futures traded on SHFE. The result...

The recent events triggered by the Global Financial Crisis (GFC) have led to calls for regulation of financial (particularly derivative) markets to prevent “destabilizing speculation”. Given that such regulation may involve opportunity costs, this paper examines whether tighter futures price...

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...

The present study examines the dynamics and regulatory regimes of commodity derivatives markets through time. The historical perspective allows to identify the reasons behind the use of derivatives and the impact of changing rules on financial systems. It further permits to highlight the...

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...