Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better...

Agricultural commodity markets in developing countries are characterized by high transaction costs and risks that reduce trade flows among spatial markets. In this article, we examine whether institutionalized agricultural commodity exchange markets reduce transaction costs and hence spatial...

We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or “hazard fear” as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures...

There is a considerable urgency in addressing the impact stemming from the production of certain agricultural commodities on ecosystems and local communities. Forest-risk commodities (FRCs) such as cocoa, coffee, palm oil, rubber, soy, maize and beef generate negative impacts on deforestation,...

The commodity futures basis—the difference between the first and second futures prices—is known to forecast commodity futures returns, arguably through its relation with the convenience yield. We propose a refined measure of the basis, dubbed the relative basis, which is the difference...

We examine empirically the impact of scheduled USDA information releases on uncertainty and sentiment in grains and oil-seeds markets. We document that, for up to five trading days after the release of a scheduled USDA report (WASDE, stocks, prospective plantings, and acreage), agricultural...

Using the S&P GSCI and its five component sub-indices, we show that considering each commodity separately yields nontrivial hedging gains in and out of sample. During 1999–2019, the maximum Sharpe ratio portfolio assigns positive weights to the GSCI Energy, Industrial and Precious Metals,...

This aim of this paper is to analyse possibilities and potential effects of soft commodity derivative market on the development of risk management practice within the CEE. Agricultural producers and other participants in the soft commodity market in CEE are lacking local commodity market. As a...

Agricultural commodity markets in developing countries are characterized by high transaction costs and risks that reduce trade flows among spatial markets. We examine whether institutionalized agricultural commodity exchange markets reduce transaction costs and hence spatial price dispersion...

This paper investigates the impact of speculative trading on the commodity futures risk premium. We focus on speculators' spread positions, and study the asset pricing implications of spreading pressure on the cross-section of commodity futures returns. In an era of financialization of commodity...

Forward commodity markets allow more efficient risk-sharing and information aggregation, but there is little evidence that this reduces the cost of producing the commodity. We develop a measure of the extent to which forward and spot prices agree in commodity markets with transaction costs and...

Little is known about trading activity in commodity options market. We study the information content of commodity futures and options trading volume. Time-series tests indicate that futures contracts in a portfolio with the lowest option-to-futures volume ratio (O/F) outperform those in a...

While Keynes is known for his theory of normal backwardation in futures markets, he is less known as a trader in these markets. The question arises whether his theory acted as a guide to his trading activity or, rather, whether it was his trading activity that shaped his theory. Backwardation...

"The day-to-day world of crude oil traders is not usually open to outsiders. Few non-specialists appreciate how oil traders approach the markets, what their backgrounds are, and how they make money. This book brings the oil trading world to vivid life by introducing the reader to 40 real-life...

"Commodities are basic goods used in commerce and are most often used as inputs in the production of other semi-finished or finished materials. They are very important products in our lives today and constitute non-negligible sources of income for many countries. This book serves as a guide to...

The lack of reference price information is often regarded as one of the most pervasive aspect of incomplete commodity markets in developing countries. Previous studies on the effects of price information emphasize the market participation and performance of rural households. This paper argues...

The futures contract plays an important role in price discovery and risk management. The contracts prices have an impact on spot prices and are also used for risk management by hedging. This paper reviews the casual relationship between black pepper spot and futures prices through regression and...

This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are mainly driven by the liquidity demands of non-commercial traders, while long-term variation is primarily driven by the hedging demands...

In this article, we examine how contango and backwardation affects the performance of commodity hedge funds. Evaluation based on commodity trading advisors', CTA. CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity...

We find that commodity futures returns contain information relevant to stock market returns and macroeconomic fundamentals for a large number of countries. Commodity futures returns predict stock market returns in 59 out of 70 countries and macroeconomic fundamentals in 62 countries. This...

This paper explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September 17, 2018. The behavior of the bitcoin spot market and...

As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In order to seek the decision power of deciding the price for iron ore, China's Dalian Commodity Exchange (DCE) listed iron ore futures in October 2013,which has become the world's...

Energy futures have become important as alternative investment assets to minimize the volatility of portfolio return, owing to their low links with traditional financial markets. In order to make energy futures markets grow further, it is necessary to expand expectations of returns from trading...

The lack of reference price information is often regarded as one of the most pervasive aspect of incomplete commodity markets in developing countries. Previous studies on the effects of price information emphasize the market participation and performance of rural households. This paper argues...

This study aims at presenting the legally, technically, and economically empowered suggestion for a clear definition of a competitive market of gas fuels and electricity of a Member State in order to be utilized within trans-border trade of these utilities, as required by the European Union (EU)...

This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position changes of speculators, such as hedge...

We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced...

This paper analyzes the relation between commodity spot, forward prices, and convenience yield under incomplete markets. We model a maximization profit model of a firm that uses input commodities in order to produce output commodities while storing spot commodities and trading forward to hedge...

Exploring properties both of the EIA's natural gas and crude oil storage announcements and of analyst forecasts of the EIA storage figures, we find that analyst storage forecasts bring additional information to the market beyond seasonal patterns and past storage flows and that the market...

This article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain...

This paper studies the trading behavior of different types of traders in commodity futures and their impact on liquidity consumption/provision as well as price discovery in the market. CME classifies each trade by its Customer Type Indicator (CTI) into four groups: a local trader who trades for...

This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are mainly driven by the liquidity demands of non-commercial traders, while long-term variation is primarily driven by the hedging demands...

We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized and expected variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity variance swaps. We also document...

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads...

This paper reconsiders the process of price discovery in spot and futures markets. In our study, we examine the contribution of two derivative products of the German blue chip index DAX: Exchange traded funds and index futures. In order to eliminate noise caused by differences in the...

Using a novel comprehensive database of 230 commodity futures that traded between 1871 and 2018, we document that futures prices have on average been set at a discount to future spot prices by about 5%. The historical risk premium is robust across commodity sectors and varies with the state of...