In this paper, we examine the role that the Dalian Commodity Exchange (DCE) plays in the global price discovery of soybean futures. We employ Structural Vector Autoregressive (SVAR) and Vector Error Correction (VEC) models on the returns of the DCE and the Chicago Board of Trade (CBOT) soybean...

We compare the volatility and efficiency of roll methods of 5 index providers across 15 individual commodity indexes to naïve rolling (rolling from nearest futures contract on its expiration date to the second nearest – “continuous futures series”). For all series and all providers, the...

In light of the recently passed 2010 Dodd–Frank Act, we assess the effect of margin changes on prices/returns, the risk-sharing between speculators and hedgers, and the price stability of a large number of commodity futures markets. We find that margin increases decrease the rate at which...

The concept of commodity futures is not new in India. However commodity futures trading in India remained in a state of hibernation for four decades, which was market by suspicion on the benefits of futures trading. This is now replaced by policy, institutional and market activism in the last...

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

Our study contributes to the literature in two directions. First, we investigate the behaviour of futures prices returns for different energy and agricultural commodities, over the period 1986-2010. Second, we measure the market vulnerability to financial speculation for energy commodities over...

The present study investigates the linear and nonlinear causality between spot and future returns of four notional indices maintained by Multi Commodity Exchange of India (MCX). The data covers two periods June 2005 – June 2008 and July 2008 - November 2011. Apart from the conventional linear...

The changes in commodity prices and exchange rates leave the representative ASEAN-5-based international commodity traders exposed with multiple risks. Foreign exchange hedging ratios are simultaneously estimated alongside commodity ratios in a time-varying portfolio framework. The comparisons of...

We find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments, whereas before they gained commodity exposure mainly via...

In this paper, we investigate jump spillover effects between five energy (petroleum) futures. In order to identify the latent historical jumps of each energy futures, we use a Bayesian MCMC approach to estimate a jump-diffusion model on each energy futures. We examine the simultaneous jump...