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Garcia, Philip - 2011

In a well-functioning futures market, the futures price at expiration equals the price of the underlying asset. This condition failed to hold in grain markets for most of 2005-10. During this period, futures contracts expired up to 35% above the cash grain price. We develop a rational...

Persistent link: https://www.econbiz.de/10013119102

Returns to Traders and Existences of a Risk Premium of a Risk Premium in Agricultural Futures Markets

Aulerich, Nicole - 2011

The purpose of the study is to examine the existence of a risk premium in futures markets to determine if hedgers pay speculators for protection against adverse price movements. Hartzmark (1987) addressed this same question but his time period of study from 1977 to 1981 is limited and outdated....

Persistent link: https://www.econbiz.de/10013124719

The Future of the Commodity Futures Market : How Customer Segregated Accounts Can Be Better Protected from Insolvent Futures Commission Merchants

Brumfield, Zachary - 2012

-Party Custodial Accounts and Central Customer Fund Repositories.Each of these alternatives must be examined and weighed by the CFTC … term solution would be to adopt an optional guaranty fund where customers would be able to decide the amount of protection … for their customer funds. Likewise, a Central Customer Fund Repository should be a long term consideration for the …

Persistent link: https://www.econbiz.de/10013097552

Pricing and Hedging Copper Futures on the London Metal Exchange

Boutouria, Souha - 2012

The purpose of this paper is to examine the behavior of copper spot prices in London Metal Exchange. Besides, we examine the relation between hedging effectiveness and the maturity of the contract. This research provides an empirical comparison of different econometric techniques in the context...

Persistent link: https://www.econbiz.de/10013100797

Hedging Effectiveness of Constant and Time-Varying Hedge Ratio in Indian Commodity Futures Markets : Evidence from the Multi Commodity Exchange

Palamalai, Srinivasan - 2012

The present study examines the performance of various hedge ratios estimated under different econometric models, viz., the conventional OLS model, the VECM, and the Multivariate-GARCH (M-GARCH) with error correction model, and compares them in terms of variance minimization criterion over the...

Persistent link: https://www.econbiz.de/10013104131

Performance, Risk and Persistence of the CTA Industry : Systematic vs. Discretionary CTAs

Arnold, Julia - 2012

This study investigates risk, performance and persistence of systematic and discretionary CTAs. Before analyzing the average performance this study updates previous results in the CTA literature on database biases and finds that results remain largely unaffected by the recent crisis. Controlling...

Persistent link: https://www.econbiz.de/10013105299

Investigating Price Clustering in the Oil Futures Market

Narayan, Paresh Kumar - 2012

Price clustering can be a source of market inefficiency. It follows that searching for price clustering in markets have gone beyond share prices into real estate, interest rate, and exchange rate markets. In this paper, we extend this line of research to oil futures markets. In particular, we...

Persistent link: https://www.econbiz.de/10013105382

Term Structure of Natural Gas Futures Contracts

Nuriyev, Guych - 2012

This paper constructs a term structure model for natural gas futures contracts and compares it with a similar model for oil futures. It has been found that natural gas yield curves are consistently higher that oil yield curves. This may be due to higher risk associated with hold-up potential in...

Persistent link: https://www.econbiz.de/10013106256

Overview of Futures Trading in Agricultural Commodities : A Conceptual Perspective

Singh, Krishna M. - 2012

Futures trading in agricultural commodities in India has a past spanning more than a century. Commodity Futures are traded for castor seed, hessian, sacking, turmeric pepper, gur and potato. Trading has also commenced in cotton. Conditions of supply, demand, transportation, storage, and...

Persistent link: https://www.econbiz.de/10013107876

Spot Return Volatility and Hedging with Futures Contract : Empirical Evidence from the Notional Commodity Futures Indices of India

Lagesh, M. A. - 2012

This study investigates price volatility and hedging behavior of four notional commodity futures indices which represent the relevant sectors like Agriculture (AGRI), Energy (ENER), Metal (META) and an aggregate of Agricultural, Energy and Metal commodities (COMDX), retrieved from the commodity...

Persistent link: https://www.econbiz.de/10013108295