Recently, the Shanghai Futures Exchange (SHFE) introduced gold futures trading in China. This paper is the first to study the SHFE gold futures, and to evaluate the futures hedging effectiveness since the introduction. The results show that hedging with gold futures reduces the variance of a...

We investigate whether long-term co-movements among the prices of precious metals commodity futures contracts can be observed. The past literature on agricultural commodity futures prices obtains the mixed results. We find that there is no long-term interdependence among the prices of the four...

In this paper we investigate risk premiums in commodity convenience yields. The analysis consists of two steps. First, we use a three-factor model to extract monthly convenience yields from a broad sample of commodity futures. Second, we estimate multi-factor asset pricing models with...

Since commodity “futures” trading was permitted in 2003, the commodity derivative market in India has witnessed phenomenal growth. Though the volume of commodity futures trade increased exponentially since its launch in 2003, the functioning of the futures market came under scrutiny during...

This article examines the benefit of adding commodity futures and/or spot commodities to a portfolio of bonds and equity based on the theory of storage. We find that an investor who optimally considers the information conveyed by the whole-term structure of commodity futures greatly improves...

This paper develops a methodology to test whether recent developments on world oil markets are in line with the hypothesis of efficient markets. We treat the joint hypothesis problem as stated by Fama (1970), Fama (1991), that market efficiency can only be assessed in conjunction with a price...

The paper focuses on empirically researching the correlation between spot and future prices to ascertain the extent to which spot prices impact the prices of future contracts for select four agricultural commodities, namely, Chana, Pepper Malabar, Refined Soya Oil and Guar seed. These four...

The objective of this study was to test the market efficiency hypothesis of Colombian coffee. This is of extreme importance to Colombia because the exports of coffee from this country provides for valuable foreign exchange and provides employment for her people. Historically this country has...

This paper studies the dynamic relationships of three metal future contracts (copper, aluminum and zinc ) traded on London Metal Exchange and Shanghai Future Exchange based on Error Correction Model. The main discoveries are: 1. A cointegration relationship exists between the two markets and...

The article gives an overview of major commodity exchanges and exchanged products. Soft commodities, agriculturals, and hard commodities such as industrial and precious metals, are covered. The importance of quality and quantity standardizations is discussed, together with the differentiation...