Using ABA research design and daily indices from South Africa, Eurozone, Japan and the United States of America, this study evaluates the interaction between equity index futures and spot markets before; during and after the COVID-19 pandemic. The results show evidence of cointegration between...

Soybeans, a vital source of protein for animal feed and an essential industrial raw material, are the most traded agricultural commodity worldwide. Accurate price forecasting is crucial for maintaining a resilient global food supply chain and has significant implications for agricultural...

Background: One of several logistics contexts in which pricing decisions are made involves truckload carriers using reverse auctions to bid for prices they want for their transportation services while operating under uncertainty about factors such as their (i) operations costs and (ii) rivals'...

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand...

In many capital-intensive markets, sellers sign long-term contracts with buyers before committing to sunk cost investments. Ex-ante contracts mitigate the risk of under-investment arising from ex-post bargaining. However, contractual rigidities reduce the ability of firms to respond flexibly to...

Previous studies on commodity price bubbles mainly focused on futures markets and ignored the performance of spot markets. Using the price data for corn and soybeans in China, this study identifies the exact bubble dates for the futures and spot markets, and finds asynchronous price bubbles...

Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...

The outbreak of the Covid-19 pandemic has led to a slowdown in the world’s energy trade and changes in the use of energy resources. Meanwhile, global conditions are confused and can affect fossil energy spot markets, including crude oil, gasoline, heating oil, and natural gas. In this paper,...

This study considers a supply chain consisting of a commodity supplier and a final product manufacturer with uncertain demand. In addition to purchasing from the supplier through a forward contract, the manufacturer can adjust their inventory by trading the commodity in an online spot market...

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes...

Emerging Indian stock market volatility pattern tested for an event of the introduction of weekly option on 19th February 2019.Primary investigation confirms that the need of GARCH models for further investigation. The TGARCH methodology has been adopted. The ARCH and GARCH parameters confirm...

This paper examines the impact of futures introduction on Bitcoin price crash risk. Using the difference-in-difference (DID) approach, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down-to-up volatility (DUVOL) of the five-minute intra-daily...

We extend beyond conventional mean-to-mean effects to examine how fundamental variables impact the entire distribution of electricity spot prices in the Australian National Electricity Market. Employing quantile regression models, we demonstrate that variable renewable energy (VRE) generation...

This paper examines volatility transmission between the spot and futures bitcoin markets. We use daily series over a sampling period that spans from December 2017 to September 2022. We examine several events that spread severe risk in cryptomarkets, such as the COVID-19 pandemic in 2020,...

We investigate the effect of funding constraints and the financial crisis on the pricing dynamics between the spot and futures markets. Tighter funding constraints and the presence of a financial crisis deter informed investors from utilizing their informational advantage in the futures market,...

This working paper was written by Ka-Fai L (Hong Kong Monetary Authority), Cho-Hoi Hui (Hong Kong Monetary Authority) and Tsz-Kin Chung (Hong Kong Monetary Authority).Price disparities between the renminbi onshore deliverable forward and offshore non-deliverable forward exchange rates is an...

This paper investigates the potentially time-varying importance of spot and futures markets in the price discovery process of financial assets. For this purpose, we generalize the concept of component shares and information shares to allow for state-dependent relevance of different markets over...

This work is an endeavor to explore the relationship of Lag between future & underlying market, ie. Spot in foreign exchange market of India. Only the USD/INR exchange rate is considered for the study for the presented work. This study is comprised of both analytical and empirical. The daily...

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for the Ho Chi Minh Stock Exchange (HOSE). The data utilized in this study are the daily VN30-Index futures contract trading volume starting at the inception date for the VN30-Index...

The article appraises the role of spot market auction data in the discovery process of the price of whole milk powder, whose futures contracts are cash-settled to Global Dairy Trade (GDT) auction prices. We find that price discovery in the whole milk powder market primarily takes place in the...

Motivated by the relatively infrequent but very large price spikes in the day-ahead and real-time energy markets operated by the Electric Reliability Council of Texas, this paper proposes an insurance that a retail electric provider (REP) may buy to mitigate financial insolvency caused by...

Cryptocurrencies provide a unique opportunity to identify how derivatives impact spot markets. They are fully fungible, trade across multiple spot exchanges at different prices, and futures contracts were selectively introduced on bitcoin (BTC) exchange rates against the USD in December 2017....

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

It has been almost a decade since the introduction of derivatives instruments in Indian bourses like Options and Futures trading replacing thereby age old Badla transactions and almost two decades since the introduction and implementation of liberalization, privatization and globalization...

It has been almost a decade since the introduction derivatives instruments like Options and Futures trading in Indian bourses and almost two decades since the introduction and implementation of liberalization, privatization and globalization policies in Indian economy. This has resulted in...

Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables for the daily BIST 30 index and BIST 30 index...

A concept of relevance to spot markets for truck-based freight transportation services is the price of anarchy (PoA), which defines the performance inferiority of decentralized market mechanisms for consummating transactions (vis-à-vis centralized mechanisms). To examine this concept in the...

Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways. First, it uses the PSO algorithm to overcome the shortcomings of...