This paper analyzes the impact of USDA and IBGE crop forecast announcements in the Brazilian corn and soybean futures market. Futures prices were obtained from BM&FBOVESPA from 2009 to 2014 and announcements days were collected from IBGE and USDA historical reports. Expected value of absolute...

Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanation for all three types of implied volatility smiles based on the idea that a commodity call option is valued in analogy with...

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...

This paper contributes to the debate on commodity financialization by extending tests of herd behavior to the commodity futures markets. Utilizing a regime-switching model, we test the presence of herd behavior in a number of commodity sectors; including energy, metals, grains, and livestock;...

Agriculture is an important component of the Indian Economy. It contributes to about 21% of India's Gross Domestic Product (GDP), 11% of total exports and provides employment to around 60% of the work force and is directly related to self-reliance, meeting the food and nutritional security of...

This paper tests the impact of the commodity transaction tax (CTT) introduced in Indian commodity market since July 2013, particularly on market liquidity and volatility aspects. We rely on a distinctive design of the tax, which is imposed only on non agri-commodities. Here, we considered Gold...

We explore effects of simultaneous price changes for the demand of a group of goods, which we refer to as a compound commodity. Specifically, we consider unit and proportional cost components (e. g., taxes, transportation costs, etc.) imposed on the compound commodity. We find that there is a...

The authors demonstrate and break down the recent developments at commodity trading entities and how this ties into the global commodity supply chain. Commodity prepay arrangements exemplify the new role that commodity traders play in financial intermediation. Specifically, the authors cover...

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...

This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in developing markets who are newly embracing market solutions to financial uncertainty. The paper specifically covers the following topics: (1) the beginning, transformation, and...