This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market...

The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures). The monetary policies, financial market information and economic environments are determined...

This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...

The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY)...

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and...

Most previous studies reject the basic tenet of the Masters Hypothesis that the influx of financial index investments has pressured agricultural futures prices upwards substantially. However, the impact of index investment activities may be more complicated and nuanced than can be detected by...

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its...

This paper investigates the impact of soybean and crude oil futures on palm oil indexes by utilising monthly data from three palm oil indexes listed in Bursa Malaysia, i.e., the Asian palm index, Malaysian palm index, and Plantation index, spanning from January 2010 to June 2020. The impacts...

Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short...

The COVID-19 epidemic has severely affected the world economy and energy markets. In order to alleviate the shock, stabilize the financial market, and promote economic recovery, the Fed announced an unlimited QE policy. In order to understand the impact of the policy on the energy market under...

This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...

This paper examines the effect of real-time global geopolitical risks (GPRs), acts (GPAs), and threats (GPTs) indices on monthly returns and volatility of several American commodity futures. By modeling volatility via an Exponential Generalized Autoregressive Conditional Heteroskedasticity...

This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...

The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements, energy commodities, and sustainable...

This thesis analyzes commodity futures pricing, trading activities in commodity futures contracts and their use for investment strategies. The aim of this thesis is to fill important gaps in the research field of commodity markets and to highlight special characteristics of commodity futures. It...

The current paper examines the maturity effect which states that “the futures prices volatility increases as the futures contract approaches its maturity period”. As per maturity effect theory, when a contract approaches its delivery date, the flow of information affects the prices. The...

In 1987, the Commodity Futures Trading Commission (CFTC) began analyzing whether swaps were futures under the Commodity Exchange Act (CEA). If yes, over-the-counter (OTC) swaps would violate the CEA’s exchange trading requirement. Rather than address this in a proposed rulemaking, the CFTC...

In 1987, the Commodity Futures Trading Commission (CFTC) began analyzing whether swaps were futures under the Commodity Exchange Act (CEA). If yes, over-the-counter (OTC) swaps would violate the CEA’s exchange trading requirement. Rather than address this in a proposed rulemaking, the CFTC...

We find out-of-sample predictability of commodity futures excess returns using combination forecasts of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...

In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...

Investigating crude oil price volatility is crucial, because crude oil price certainly affects the economy through many channels. This study applies a Vector Auto Regression (VAR) model to examine the impact of crude oil market on basic commodities, financial markets and industrial production....

US dairy futures markets of milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing scheme. We show dairy volatilities have a relatively low connectedness among themselves and a commodity index. Dairy futures markets respond to...

Like copper, corn, or crude oil, companies increasingly trade like commodities. Some investors — certain holders of debt, activist shareholders, and controlling shareholders, especially private equity funds — are focused solely on returns. In practice, this means that they care about the...

This paper comprehensively investigates the connection between oil futures volatility and the financial market based on a data-rich and model-rich environment, which contains traditional prediction models, machine learning models, and combination models. The results highlight the efficiency of...