Dissertations / Theses on the topic 'Cattle futures market prices'
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Koontz, Stephen R. "Interaction between the cattle feeding sector and the live cattle futures market: implications to the stability of short-run cash slaughter cattle prices." Thesis, Virginia Polytechnic Institute and State University, 1985. http://hdl.handle.net/10919/50036.
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The short-run interaction between the cattle feeding sector, as represented by Cattle Fax member feedlots, and the live cattle futures market is examined. The purpose of this research is to explore the simultaneity between placement decisions made in the cattle feeding sector and the price discovery process for distant contracts within the live cattle futures market. The efficiency of these processes will have implications to variability in supplies and thus, cash market prices for fed cattle.
Input demand functions for feeder cattle were estimated as a function of numerous economic and technical factors. These modeling efforts reveal that cattle feeders consistently use distant futures prices in the formulation of expected prices when making placement decisions.
Lead/lag analyses were conducted between the Cattle Fax placement series and the live cattle futures price series. Results from Granger type models reveal the live cattle futures market efficiently gathers and incorporates information on future supply conditions in the price discovery process for distant contracts.
The recursive system created by these two models was examined and was found to be stable. The emergence of new information, pertinent to the feeding sector and the live cattle futures market, will cause orderly shifts to new equilibrium levels of placements of cattle on feed and distant live cattle futures prices.
This research supports the conclusion that, because of the nature of the interaction between the live cattle futures market and the cattle feeding sector, the existence of the live cattle futures market aids in stabilizing the flow of cattle placed on feed. The results of stable flows of cattle placed on feed should be relatively stable flows of fed cattle marketings, and relatively more stable cash slaughter cattle prices.Master of Science
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Rowsell, John. "Composition of traders in live cattle futures contracts: behavior and implications to price discovery." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/39772.
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The concepts of risk transfer and price discovery are well developed roles for futures markets. The interaction between traders in futures markets in the transferring and acceptance of price risk contributes to the discovery of price. Interaction of traders in the risk transfer and price discovery processes is examined in this dissertation. Data employed were for live cattle futures at the Chicago Mercantile Exchange developed from the confidential daily records of reporting trader positions maintained by the Commodity Futures Trading Commission. The analysis was for the period February 1983 through September 1987. The nearby futures contract price, volume, and open interest series supplement the daily trader position data base.Ph. D.
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Yun, Won-Cheol. "Tax treatment of trade in cattle futures : possible implications to market efficiency and price stability /." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-11242009-020149/.
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Murphy, Robert David. "The influence of specific trader groups on price discovery in the live cattle futures market." Diss., This resource online, 1995. http://scholar.lib.vt.edu/theses/available/etd-06062008-150905/.
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Silveira, Rodrigo Lanna Franco da. "Análise das operações de cross hedge do bezerro e do hedge do boi gordo no mercado futuro da BM&F." Universidade de São Paulo, 2002. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-09012003-082031/.
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O presente estudo visa analisar as operações de cross hedge dos preços do bezerro na Bolsa de Mercadorias & Futuros (BM&F). Para tanto, foram calculados o risco de base destas operações nas semanas de vencimento do contrato futuro de boi gordo, as razões de hedge ótimas e as respectivas efetividades, entre setembro de 1995 e fevereiro de 2001, nas principais praças de comercialização de gado bovino do País - Araçatuba (SP), Bauru/Marília (SP), São José do Rio Preto (SP), Presidente Prudente (SP), Três Lagoas (MG), Triângulo Mineiro (MG), Campo Grande (MS) e Noroeste do Paraná. Como forma de comparação, as mesmas análises foram realizadas para o hedge do boi gordo. O valor médio da base e o risco de base do hedge do boi gordo e do cross hedge do bezerro foram calculados nas semanas de vencimento dos 58 contratos futuros de boi gordo e análises econométricas foram realizadas. Nesta primeira etapa, foi possível observar os seguintes resultados: i) valor médio e variância da base do bezerro foram superiores à do boi gordo em todas as regiões; ii) o desvio padrão da base do boi gordo foi 80,67% inferior ao desvio padrão do bezerro; iii) o risco de base do boi gordo foi estatisticamente inferior nas regiões que compõem o Indicador de Preço Disponível do Boi Gordo IBG, calculado pelo CEPEA/FEALQ; iv) o risco de base do bezerro não apresentou diferenças estatisticamente significativas entre as regiões. Em uma segunda etapa, o estudo buscou analisar as razões ótimas e a efetividade do hedge do boi gordo e do cross hedge do bezerro, conforme a metodologia de Myers & Thompson (1989). Tanto no cross hedge, como também no own hedge, as razões se mostraram elevadas - no primeiro caso esteve entre 37% e 49%, já no segundo variou entre 58% a 63%. Com relação à efetividade, constatou-se que no caso do own hedge, o risco de preço pode ser reduzido em cerca de 50% com a tomada de posição em contratos futuros de boi gordo na proporção de hedge ótima. No entanto, para o cross hedge, a efetividade foi bastante baixa para todas as regiões, de aproximadamente 1,5%. Se por um lado, a proteção contra os riscos de preço do boi gordo ocorre de forma eficiente, por outro lado a proteção contra movimentos adversos nos preços do bezerro possui baixa efetividade. Conclui-se, portanto, que os pecuaristas, os quais utilizam o preço do bezerro e a relação de troca entre boi gordo e bezerro para a decisão de venda do gado, não possuem um instrumento eficiente, nos mercados futuros, de proteção dos preços de sua atividade.The aim of the present study is to analyze the cross hedge operation for calves in the BM&F future markets. The basis risk of these operations during the contract maturity weeks were calculated, as well as the optimal hedge ratios and the respective effectiveness. The period considered was September, 1995 to February, 2001, and the regions were chosen according to their importance in commercialization of bovine cattle: Araçatuba (SP), Bauru/Marília (SP), São José do Rio Preto (SP), Presidente Prudente (SP), Três Lagoas (MG), Triângulo Mineiro (MG), Campo Grande (MS) and Noroeste do Paraná. For the sake of comparisons, the same analyses were carried for the fed cattle hedge operations, in the same regions. The average value of the basis and the basis risk of fed cattle hedge and calf cross hedge was calculated for 58 future contracts, in the last week of contract life, and econometric analyses were performed. The main results arising from the preceding analyses can be pointed out: i) average basis value and basis risk of calf were higher than the values of fed cattle in all regions; ii) the basis standard deviation for fed cattle was 80,67% lower than for calf; iii) the regions comprised by IBG, calculated by the CEPEA/FEALQ, showed lower fed cattle basis risk compared to the other regions under study; iv) the calf basis risk in the regions studied did not present statistically significant differences. In a second stage, the study analyzed the optimal hedge ratio and the related effectiveness of own and cross hedge, according to the methodology proposed by Myers & Thompson (1989). The estimated hedge ratio was high in both cases, between 37% and 49% for the optimal hedge ratio and 58% to 63% for the cross hedge. The own hedge figures mean a 50% reduction in price risk when hedging at the optimal ratio, a value that drops consistently to about 1,5% for all regions when the cross hedge is considered. The main conclusion of the study is that the BM&F fed cattle future markets are quite effective as a price risk reduction strategy for the own hedge operations, but lack effectiveness in this sense for the calves cross hedge. Market agents trying to use the calf price and the exchange relation between fed cattle and calf prices for cattle selling decisions should not rely on this mechanism for price risk reductions.
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McKaig, Andrew J. "Are asset prices predictable? : evidence from the UK futures market." Thesis, University of Aberdeen, 1998. http://digitool.abdn.ac.uk/R?func=search-advanced-go&find_code1=WSN&request1=AAIU105678.
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The purpose of this thesis is to provide evidence on the predictability of asset prices: does it exist and what are its characteristics? Therefore processes underlying asset price behaviour are the central concern of this thesis. Utilising UK futures market data, initial time-series tests consider if, ex post, prices depart from random behaviour and if linkages exist between prices set in different markets. Results show that departures from randomness exist, namely, persistence and mean reversion, and suggest that prices in some markets may be used to forecast prices set in other markets. The thesis then investigates the mean reversion characteristics of the data by conducting 'model-based' tests on the existence and sources of mean reversion. Subject to the maintained hypothesis of the cost-of-carry model, tests reveal expected transitory components in commodity and metals prices across maturities. For financial assets, expected mean reversion is found only at the near to maturity horizons. Implied cash flow yields and interest rate movements have a role in driving the transitory process but this varies across assets and maturities. Using multivariate estimation procedures and focussing on asset bases, the thesis then explores whether predictability may be due to a common component driven by an unobservable source of risk. Movement in the price of systematic risk is proxied by ex ante variables that have been shown to have predictive power for returns from bond and stock markets. For financial assets, the evidence cannot reject common movement at short horizons but rejects common movement at longer horizons. Further tests reveal that the observed short run commonalties are dominated by systematic components associated with expected future spot rates. In contrast, tests reveal that agents' in metal and energy markets appear to price the systematic risk associated with their futures position as well that associated with spot price forecasts.
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Goetz, Cole Louis. "The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.
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This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.
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Keyser, Johannes de Kock. "The relationship between futures prices and expected future spot prices : some South African evidence." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/53155.
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Thesis (MBA)--Stellenbosch University, 2002.ENGLISH ABSTRACT: A unique data set consisting of economists' expectations on key economic indicators was examined within the context of the controversial normal backwardation theory of Keynes. The economists' expectations were regarded as the expected future spot price and the relationship between them and the corresponding futures contracts was analysed. The respective economic indicators were: i) the yield from aparastatal Bond, ii) the yield from Government Bonds, iii) the rate of the 90 day Banker's Acceptance (BA) Deposit Rate and iv) the Rand/Dollar (R/$) Exchange Rate for the past seven years, i.e. 1995 to 2001. The accuracy of the economists' predictions was tested both on a visual basis and the relationship between the expected values and the futures prices was plotted in a graphical format. A nonparametric statistical procedure was used to determine whether the economists' expectations were of any value. To put it differently, the question being posed is: do these economists, as a group, possess some superior forecasting skills? Two different conclusions were reached from the analysis: First conclusion: by accepting the normal backwardation theory, it implies that the contango theory also holds. Therefore, when analysing the data set visually - depending on which theory it supports - the futures price must trade consistently below or above the expected future spot price. For this particular analysis the yield of the bond, and not its price, was the important factor. In most cases the plotted relationships between the expected values and the futures prices were found to support the contango theory and, to a lesser extent, the normal backwardation theory. Hence, speculators were, in order to make profits, predominately sellers of futures contracts. Second conclusion: the strongest conclusion, however, follows from the statistical tests conducted on the expected values. It was found that economists do possess some superior forecasting skills and if they had used their predictions and had taken the corresponding market positions, they would have been consistent winners in the futures market. Their reward would be mainly for their ability to forecast eventual spot prices and, to a lesser extent, for their risk bearing. It was impossible to link the two conclusions to confirm the normal backwardation theory, for the particular South African data set. The evidence is thus consistent with the hypothesis that the futures price is an unbiased estimate of the expected future spot price.
AFRIKAANSE OPSOMMING: 'n Unieke datastel, bestaande uit ekonome se vooruitsigte van kern ekonomiese aanwysers, is ondersoek binne die konteks van die omstrede normale terugwaardasie-teorie (d.i. "normal backwardation theory") van Keynes. Die ekonome se vooruitsigte is aanvaar as die verwagte toekomstige kontantprys en die verhouding hiertussen en die ooreenstemmende termynpryse is ontleed. Die onderskeie ekonomiese aanwysers was: i) die opbrengs op 'n Semi-Staatseffek, ii) die opbrengs op Staatseffekte, iii) die koers van die negentig-dae-Bankaksepte (BA) Depositokoers en iv) die Rand/Dollar (R/$) Wisselkoers oor die afgelope sewe jaar, d.w.s. 1995 tot 2001. Die akkuraatheid van die ekonome se vooruitskattings is op 'n visuele basis vergelyk, en die verhouding tussen die verwagte prys en die termynpryse is in grafiese formaat gekarteer. 'n Nie-parametriese statistiese prosedure is gebruik om vas te stel of hierdie ekonome se vooruitsigte van enige waarde was. Anders gestel, die vraag is: beskik hierdie ekonome as 'n groep oor sekere superieure vooruitskattingsvaardighede? Die volgende twee afsonderlike gevolgtrekkings is geformuleer: Eerste gevolgtrekking: deur die normale terugwaardasie-teorie te aanvaar, impliseer dit dat die contango-teorie (d.i, "contango theory") ook geldig is. Dus, wanneer die datastel visueel getoets word - afhangende van watter teorie dit ondersteun - moet die termynprys konsekwent bo of onder die verwagte toekomstige kontantprys verhandel. Vir hierdie bepaalde analise was die opbrengs van die staatseffek die belangrike faktor en nié die prys daarvan nie. In die meeste gevalle het die gekarteerde verhouding tussen die verwagte prys en die termynprys getoon dat dit die contango-teorie ondersteun het en, in 'n mindere mate, die normale terugwaardasie-teorie. Derhalwe was spekulante, ten einde wins te maak, oorwegend die verkopers van termynkontrakte. Tweede gevolgtrekking: die belangrikste gevolgtrekking volg egter uit die statistiese toetse wat uitgevoer is op die verwagte pryse. Daar is bevind dat ekonome wel oor superieure vooruitskattingsvaardighede beskik en dat, indien hulle hul vooruitskattings gebruik en die ooreenstemmende markposisies ingeneem het, hulle konsekwent wenners in die termynmark sou gewees het. Hulle vergoedings sou hoofsaaklik gewees het vir hulle vermoë om uiteindelike kontantpryse te voorspel en, in 'n mindere mate, vir hulle risiko-blootstelling. Dit was onmoontlik om hierdie twee vergelykings met mekaar te verbind om sodoende die normale terugwaardasie-teorie te onderskryf vir die betrokke Suid-Afrikaanse datastel. Die bewyslewering is dus konsekwent met die hipotese dat die termynprys 'n onsydige skatting van die verwagte toekomstige kontantprys is.
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Ely, David Paul. "Futures markets and cash price stability." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272292312.
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Nilsson, Mattias. "Is The Oil Market Efficient? : A Cointegration Study of Spot and Futures Prices." Thesis, Mid Sweden University, Department of Social Sciences, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-527.
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The oil market is arguably the most influential commodity market in the world, in that it has an effect on all economic variables in one way or another. Due to oil’s central role in the world economy, it is of the utmost importance that all parts of society strive to increase the understanding of how the market works. This study has analysed the efficiency of the oil market in the period 1986 to 2008, with the efficient market hypothesis as the theoretical framework. Data on the prices of spot and futures contracts on crude and heating oil has been collected from the New York Mercantile Exchange, and tested for cointegration, with the underlying assumption being that cointegration is a sign of weak form efficiency. The results implies that the spot and futures prices have not been cointegrated during the studied period, and thus we conclude that the oil market has not behaved in accordance with the weak form of the efficient market hypothesis.
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Buchanan, William K. "Market Timing, Forecast Ability and Information Flow in Petroleum Futures Markets." Thesis, University of North Texas, 1997. https://digital.library.unt.edu/ark:/67531/metadc278807/.
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Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and
shed light on issues of market efficiency.
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Gavriilidis, Nikolaos. "Time series analysis of the lead-lag relationship of freight futures and spot market prices." Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/46067.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2008."September 2008."
Includes bibliographical references (p. 96).
This thesis analyzes the relationship between the physical and paper shipping markets. The main objective is to find if one market leads the other by a specific time period so that market players can take advantage from that. Three different methods were used to analyze this relationship. The first is a rolling average technique to smooth the strong fluctuations of the market and plot the relevant graphs. From there we can have a first look on whether there is a lead-lag relationship between the two markets. The second method was the cross-correlation function which allows us to time shift back and forth the two time series in order to compare the relevant correlation coefficients. In the third method, a Vector Error Correction model was created for each pair of time series in order to test the influence of the one series to the other. Finally, we present a brief comparison between the volatility of the freight rates and the trading value of freight futures so we can judge if the spot market became more volatile with the growth of trading of freight futures.
by Nikolaos Gavriilidis.
S.M.
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Fazzio, Thomas J. (Thomas Joseph). "A statistical analysis of the natural gas futures market : the interplay of sentiment, volatility and prices." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/59118.
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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2010.Vita. Cataloged from PDF version of thesis.
Includes bibliographical references (p. 70-71).
This paper attempts to understand the price dynamics of the North American natural gas market through a statistical survey that includes an analysis of the variables influencing the price and volatility of this energy market. The analysis develops a theoretical model for the conditional reactions to weekly natural gas inventory reports, and develops an extended theory of errors in natural gas inventory estimates. The central objective of this thesis is to answer the fundamental question of whether the volatility of natural gas futures are conditional on the season or the level of the natural gas in inventory and how accurate are analysts at forecasting the inventory level. Commodity prices are volatile, and volatility itself varies over time. I examine the role of volatility in shortrun natural gas market dynamics and the determinants of error in inventory estimates leading to this variance. I develop a structural model that equates the conditional volatility response to the error made in analyst forecasts, inherently relating analyst sentiment to volatility and price discovery. I find that in the extremes of the inventory cycle (i.e., near peak injection/withdraw) that variance is particularly strong, and significantly higher than non-announcement days. The high announcement day volatility reflects larger price changes. With statistical significance, we can conclude that when the natural gas market is under-supplied, the near-term Henry Hub Natural Gas futures contract becomes nearly twice as volatile than in an oversupplied market. Furthemore, analysts are more prone to make errors in their estimates of weekly inventory levels around these same time periods. Natural gas is an essential natural resource and is used in myriad aspects of the global economy and society. As we look to develop more sustainable energy policies, North America's abundant clean-burning natural gas will hold an essential role in helping us to secure our future energy independence. An ability to understand the factors influencing it is supply and demand, and thus price, are and will continue to be essential.
by Thomas J. Fazzio.
M.B.A.
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Faciane, Kirby. "Empirical market microstructure of the FTSEurofirst index futures." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1975.
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This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.
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Er, Hakan. "Cross market arbitrage and option pricing with long memory in volatility : theory and evidence from LIFFE FTSE-100 index futures and options." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.391536.
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Chan, Chun Keung. "A study of index-futures arbitrage and the intraday behavior of the mispricings." HKBU Institutional Repository, 2003. http://repository.hkbu.edu.hk/etd_ra/510.
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Tayal, Jitendra. "Three Essays on Market Efficiency and Limits to Arbitrage." Diss., Virginia Tech, 2016. http://hdl.handle.net/10919/64985.
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This dissertation consists of three essays. The first essay focuses on idiosyncratic volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks. We examine whether these market inefficiencies can be explained by arbitrage limitations, especially firms' idiosyncratic risk. Consistent with limits to arbitrage hypothesis, we document an abnormal return of -1.74% per month for high RSI stocks (>=95th percentile) with high idiosyncratic volatility. However, for similar level of high RSI, abnormal returns are economically and statistically insignificant for stocks with low idiosyncratic volatility. For stocks with low RSI, the returns are positively related to idiosyncratic volatility. These results imply that idiosyncratic risk is a potential reason for the inability of arbitrageurs to extract returns from high and low RSI portfolios.
The second essay investigates market efficiency in the absence of limits to arbitrage on short selling. Theoretical predictions and empirical results are ambiguous about the effect of short sale constraints on security prices. Since these constraints cannot be eliminated in equity markets, we use trades from futures markets where there is no distinction between short and long positions. With no external constraints on short positions, we document a weekend effect in futures markets which is a result of asymmetric risk between long and short positions around weekends. The premium is higher in periods of high volatility when short sellers are unwilling to accept higher levels of risk. On the other hand, riskiness of long positions does not seem to have a similar impact on prices.
The third essay studies investor behaviors that generate mispricing by examining relationship between stock price and future returns. Based on traditional finance theory, valuation should not depend on nominal stock prices. However, recent literature documents that preference of retail investors for low price stocks results in their overvaluation. Motivated by this preference, we re-examine the relationship between stock price and expected return for the entire U.S. stock market. We find that stock price and expected returns are positively related if price is not confounded with size. Results in this paper show that, controlled for size, high price stocks significantly outperform low price stocks by an abnormal 0.40% per month. This return premium is attributed to individual investors' preference for low price stocks. Consistent with costly arbitrage, the return differential between high and low price stocks is highest for the stocks which are difficulty to arbitrage. The results are robust to price cut-off of $5, and in different sub-periods.Ph. D.
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ANTUNES, JOAO PAULO DE CASTRO. "THE BRAZILIAN CATTLE FUTURES MARKET: A STUDY OF A PROXY FOR THE CONVENIENCE YIELD USING A FACTOR MODEL." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21312@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
FUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO
PROGRAMA DE EXCELENCIA ACADEMICA
O mercado internacional tem sido o foco principal do estudo do convenience yield dos contratos de commodities agrícolas. Em geral, abordagens por meio de modelos de equilíbrio vêm sendo utilizadas para modelar o convenience yield. Esta dissertação propõe de forma pioneira, utilizar modelos de fatores, originalmente propostos por Nelson e Siegel (1987) para a taxa de juros, com o intuito de modelar uma proxy do convenience yield dos contratos futuros de boi gordo negociados na BMEF-Bovespa. Este trabalho também apresenta uma síntese dos modelos propostos na literatura para ativos financeiros e agropecuários bem como a estrutura de negociação dos contratos futuros de commodities agrícolas na BMEF.
International Market has been the principal focus on the convenience yield study of the agricultural commodities contracts. In general, approaches using equilibrium models have been used to model the convenience yield. This paper proposes, for the first, using factor models, originally proposed by Nelson and Siegel (1987) for the in- terest rate, in order to model the a proxy of convenience yield of live cattle futures contracts traded on the Bovespa-BMEF. This work also presents a summary of the models proposed in the literature for financial assets and commodities as well as the structure of futures trading in agricultural commodities for BMEF.
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Mazzotta, Stefano. "Three essays on volatility." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.
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This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets.The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of domestic and international asset returns. It then specifically proposes several areas for investigation related to international finance topics. The first essay investigates the importance of asymmetric volatility when computing the risk premium of international assets. The results indicate that conditional second moment asymmetry is significant and time-varying. They also show that, if the price of risk is time-varying, the world market and foreign exchange risk premia estimated without allowing for time-varying asymmetry are less consistent with the data. Furthermore, they imply that asymmetry is more pronounced when the business condition is such that investors require higher compensation to bear risk.
In the second essay we start from the consideration that financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this essay is then to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the implied volatilities explain a large share of the variation in realized volatility. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified.
In the third essay we examine whether the information contained in various measures of correlation among exchange rates can be used to assess future currency co-movement. We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2's, explaining up to 42 per cent of the realized correlations.
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Yun, Won-Cheol. "Tax treatment of trade in live cattle futures using a mean variance approach : implications to market efficiency and welfare changes /." Diss., This resource online, 1995. http://scholar.lib.vt.edu/theses/available/etd-10022007-145111/.
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Shi, Qi, and 施琦. "A study of the implied volatility function: evidence from Hang Seng Index options market in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31601984.
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Machado, Tomás da Cruz. "Utilização de contratos futuros e forwards como estratégia de cobertura de risco no mercado europeu de bovinos de carne." Master's thesis, Universidade de Lisboa, Faculdade de Medicina Veterinária. Instituto Superior de Agronomia, 2022. http://hdl.handle.net/10400.5/24128.
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Dissertação de Mestrado em Engenharia Zootécnica/Produção AnimalO risco associado à produção de carne de bovino, está sempre dependente de cenários não passíveis de controlo humano, como é o exemplo das alterações climáticas que causam fenómenos cada vez mais drásticos e imprevisíveis. Para além destes fenómenos climáticos, os produtores estão, nalguns casos, mal preparados para lidar com a gestão do risco e são muitas vezes afetados por variáveis financeiras e económicas que tornam as explorações inviáveis. Para reverter esta realidade, de forma a auxiliar os produtores, pretendeu-se neste trabalho avaliar o interesse que os produtores demonstram relativamente à utilização de contratos futuros e contratos forward como estratégias de cobertura de risco no mercado bovino europeu, e ainda determinar os fatores que influenciam este interesse. De forma a responder a esta questão de investigação, caracterizou-se o setor bovino europeu e português para identificação dos principiais condicionalismos que têm impacto negativo nas explorações, em especial na resiliência socioeconómica das explorações. Além disto, uma análise orientada para esta estratégia de cobertura de risco e a sua aplicação em países terceiros (Austrália, Brasil, Chile e EUA), foi elaborada de forma a caracterizar o funcionamento de mercados futuros de bovinos nestes países, bem como os benefícios e as desvantagens decorrentes da sua aplicação para os seus produtores. Foram inquiridos 101 produtores de bovinos de carne de diferentes países com o objetivo de perceber as principais diferenças associadas à relação entre as características produtivas e a gestão do risco existente nas explorações de bovinos de carne. O nível de recetividade para a utilização destes contratos também foi objeto de estudo. Foi possível classificar os produtores em dois grupos diferentes, os produtores Gestores Qualificados e os produtores Gestores Desinteressados. Concluiu-se ainda que existem diferenças entre produtores portugueses e de outros países europeus, no âmbito da produção de bovinos de carne e na utilização de mecanismos de gestão de risco. Não foi possível concluir que fatores determinam o interesse dos produtores europeus pela utilização de contratos futuros e forward.
ABSTRACT - Futures and forwards contracts as a hedging strategy in the European Beef Cattle market - Risk associated with beef production always depends on circumstances that lack human control, such as climate change that causes increasingly drastic and unpredictable occurrences. In addition to these climatic events, producers are in some cases poorly prepared to deal with risk management and are often affected by financial and economic variables that make farms unviable. To reverse this reality, in order to help producers, this paper aimed to analyse the interest that producers have regarding the use of futures and forward contracts as hedging strategies in the European beef market, and also to determine the factors that influence this interest. In order to answer this research question, the European and Portuguese bovine sector was characterized to identify the main constraints that have a negative impact on farms, especially on the socio-economic resilience of farms. Furthermore, an analysis oriented towards this hedging strategy and its application in third countries (Australia, Brazil, Chile and USA), was elaborated in order to characterize the functioning of bovine futures markets in these countries, as well as the benefits and disadvantages arising from its application for their producers. A total of 101 beef cattle producers from different countries were surveyed with the purpose of understanding the main differences associated with the relationship between production characteristics and risk management on beef cattle farms. The receptiveness level for the use of these contracts was also studied. It was possible to classify producers into two different groups, the Qualified Manager producers and the Uninterested Manager producers. It was also concluded that there are differences between Portuguese producers and those from other European countries, in the scope of beef cattle production and in the use of risk management mechanisms. It was not possible to conclude what factors determine the interest of European producers in the use of futures and forward contracts.
N/A
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Oliveira, Neto Odilon José de. "Efetividade do cross hedging dos novilhos argentinos e uruguaios no mercado futuro do boi gordo brasileiro." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11184.
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Several attempts of negotiation of future contracts and price indexes of beef cattle in Argentina and in Uruguay were frustrated along the years. The derivatives issued failed in a short period of time due to lack of liquidity. That scenery and other particularities of the live cattle spot market turned the administration of risk of prices into a problem for the economical agents of the meat chain. In this context, the following question emerged: the cross hedging with future contracts of Brazilian live cattle in the Brazilian Securities, Commodities and Futures Exchange (BM&FBovespa) is effective for the administration of risk of prices of beef steers in the Argentinian and Uruguayan spot market? In an effort to answer this question, it was proposed to verify if it is possible to mitigate the risk of the price volatility of the spot market of Argentinian and Uruguayan beef steers through of cross hedging in the futures market for Brazilian live cattle in the BM&FBovespa. For this, it was used static and dynamic models to estimate of the optimal cross hedge ratio and effectiveness of risk mitigation. The results of the hypothesis test of risk mitigating allow to assure that there are strong empirical evidences of effectiveness of the futures market of Brazilian live cattle in protection against the prices risk of the spot market of Argentinian and Uruguayan steers. Complementarily, it was analyzed the hypothesis of the futures market efficiency. The results present empirical evidence of a stochastic relationship common in long-term between spot and futures prices, and efficiency in predicting short-term price, which suggest that the future contracts of Brazilian live cattle in the BM&FBovespa allow adequate hedge of price for the Argentinian and Uruguayan steers in spot market.
Na Argentina e no Uruguai, diversas tentativas de negociação de contratos futuros e de índice de preços de carne bovina foram frustradas ao longo dos anos, tendo os derivativos lançados fracassado, em um curto espaço de tempo, por falta de liquidez. Esse cenário, somado a outras particularidades do mercado físico da carne bovina, torna o gerenciamento de risco de preços um problema para os agentes econômicos que atuam nessa cadeia produtiva. Nesse contexto, emergiu a seguinte questão: a proteção cruzada com contratos futuros de boi gordo brasileiro da Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa) é efetiva para a administração do risco de preços dos novilhos de corte no mercado a vista argentino e uruguaio? Com a finalidade de responder a essa questão, propôs-se a verificar se é possível mitigar o risco da volatilidade de preços no mercado a vista dos novilhos de corte argentinos e uruguaios por meio do cross hedging no mercado futuro do boi gordo brasileiro na BM&FBovespa. Para tanto, foram utilizados modelos estáticos e dinâmicos de estimação da razão de cross hedge ótima e efetividade em mitigação do risco. Os resultados do teste de hipóteses de mitigação do risco permitiram assegurar que são fortes as evidências de efetividade do mercado futuro do boi gordo brasileiro na proteção contra o risco de preços do mercado a vista dos novilhos argentinos e uruguaios. Complementarmente, verificou-se a hipótese de eficiência do mercado futuro. Os resultados apresentaram evidências de um relacionamento estocástico comum no longo prazo entre os preços a vista e futuros, e de eficiência na predição dos preços no curto prazo, o que sugere que os contratos futuros de boi gordo brasileiro da BM&FBovespa permitem uma trava adequada de cotação-preço para os novilhos argentinos e uruguaios no mercado a vista.
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Ben, Kebaier Sana. "Essais sur les prix des matières premières et les marchés de l'énergie." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED033.
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Il est important d'analyser la spécification de l'efficience des marchés des matières premières et l'impact du comportement des investisseurs sur leurs prix pour optimiser les stratégies de négociation et de gestion des risques. De plus, étant donné le nombre élevé de changements extrêmes sur les marchés, il est important d’analyser les prix dans une perspective temps-fréquentielle et de prendre en compte toutes les conditions du marché. Cette thèse couvre les nouvelles caractéristiques des marchés des matières premières en utilisant des méthodes empiriques récentes et en intégrant les derniers développements en matière d'économie des produits de base et d'économétrie financière. Dans cette thèse, nous prouvons que l'efficience des marchés des matières premières est sensible aux différentes conditions du marché et aux différentes fréquences temporelles. Les résultats dépendent de la nature du produit, de son processus de stockage, de sa dynamique et de ses volatilités. Le premier chapitre porte sur la dépendance entre le prix au comptant et les prix à terme pendant les périodes de volatilités extrêmes positives et négatives. Le deuxième chapitre sensibilise la théorie de finance comportementale et porte sur l’impact des indices de sentiment des marchés et des investisseurs sur les prix à terme de l’énergie, en prenant en compte le court, le moyen et le long terme. Le troisième chapitre est une étude comparative entre les marchés américains et européens du gaz naturel ; Nous explorons l'efficacité de la tarification et de l'information dans un domaine temps-fréquentiel. Nous confirmons les différentes réactions des produits aux conditions du marché et concluons que les métaux précieux sont les plus efficaces, alors que le marché du gaz naturel est le plus sensible. Nous confirmons également les liens de causalité bidirectionnels et unidirectionnels entre le prix à terme des énergies et plusieurs indicateurs de sentiment, confirmant la présence des aspects comportementaux les marchés boursiers des énergies. Enfin, nous concluons que le marché américain du gaz naturel est plus efficace que le marché européen du gaz naturelThe specification of commodity market efficiency and the impact of investors behavior on commodity prices are important to analyze in terms of profit-making, trading strategies, and risk management. Moreover, given the high occurrence of market extreme changes, it is important to analyze commodity prices in a time- frequency perspective and to consider all market conditions. This thesis attempt to cover recent features in commodity markets efficiency using recent empirical methods and including the latest developments in commodity economics and financial econometrics. In this thesis, we prove that commodity market efficiency is sensitive to different market conditions and to different time-frequencies. The results depend on the nature of the commodity, its storage process, its dynamics, and volatilities. The first chapter the dependence between commodity spot and futures prices during positive and negative extreme periods. The second chapter explicit the behavioral finance theory in commodity markets and focus on the impact of market and investor sentiment on energy futures prices, taking into consideration the short, medium, and long-term. The third chapter is a comparative study between the American and the European natural gas markets; We explore the pricing and informational efficiencies in a time-frequency domain. We confirm the different reactions of commodities to market conditions and we conclude that precious metals are the most efficient, whereas the natural gas market is the most sensitive. We also confirm the bidirectional and unidirectional causalities between the energy futures process and several sentiment proxies. Finally, we conclude that the American natural gas market is more efficient compared to the European natural gas market
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Lin, Chih-Wei, and 林志偉. "The Predictability of Large Investors’ Trading on Futures Prices in the Taiwan Futures Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/74145763844809050680.
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碩士國立臺灣師範大學
管理研究所
105
Futures and options with TAIEX as underlying asset is the products with the largest trading volume in TAIEX futures market. This study selects TAIEX Futures, Mini-TAIEX Futures and TAIEX Options as the objects and investigates into predictive power of the large investors’ position toward the futures market price. By analyzing investors who trade in only futures market, those who trade in only options market or those who trade in both futures and options markets, this study conducts further investigation into whether there is any difference in predictive power on futures price because of their different trading behaviors and the different information they hold. The prices of futures and options include a lot of market information. This study combines the investors’ positions of futures and options. The result shows that large investors have significant predictive power on the futures market price. No matter whether investors trade in only futures market, only in options market or in both futures and options market, their positions all have significantly positive correlation with the futures return on the next day; compared with large investors, other investors’ positions all have significantly negative correlation with the futures return on the next day. If we only consider the comparatively informative open part, the result shows that the positions of the large investors who trade only in futures market and those who trade in both markets have more significant predictive power on futures return compared with the context of open and close positions simultaneously. The results also show that investors who trade in both markets have better predictive power on the change of futures price and their positions have comparatively higher correlation with the futures return on the next day.
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Painter, Jared, and 潘查德. "To Forecast Gold Prices based on Historical Prices and Volumes of the Gold Futures Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/82253805396389678179.
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碩士國立成功大學
國際管理碩士在職專班
97
Gold has been a popular investment for people throughout history and today, it has been used as currency and a hedge against inflation. It has been recommended that investors hold between 10% and 25% of their investments in gold depending on the outlook of the economy. An economical method of investing in gold is to access the gold futures market. Henceforth this study has attempted to forecast gold prices based on historical prices and volumes in the gold futures market. As yet quantitative research has proved inadequate in providing a model to successfully trade or invest in the gold futures market. An alternative method of approaching this gap in the research has been provided by this qualitative study. A comprehensive literature review was conducted that highlighted important previous research on the gold futures market. This provided the study with a base to build on. In-depth interviews with experts in the gold futures industry were than used to provide insight into macroeconomic factors and technical analysis techniques to help forecast price and volume in the gold futures market. After the in-depth interviews were documented, over 32 years of price and volume gold futures data was displayed and analyzed using quantitative methods. Quantitative analysis in this research area was once again ineffective in providing guidance to forecast the gold futures market. Technical analysis was then used to demonstrate its effectiveness in forecasting prices and volumes in the gold futures market. When used in combination with the in-depth interview findings, and III literature review, it was found that the gold futures market could be forecasted successful, as long as risk management was adopted and a trading plan existed. The implications for this study are that price and volume in the gold futures market can be forecasted interpreted using the right techniques as mentioned above. A quantitative model on its own however will not be effective in forecasting the gold futures market. Macroeconomic variables in combination with technical analysis and risk management are the most suitable method to forecast price and volume in the gold futures market. The technical analysis section of this study can also be used in an array of financial trading instruments; however fundamentals and macroeconomic factors will differ greatly from the gold futures market.
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KEVIN and 許柏澄. "The Study of overreaction of the opening prices in Taiwan Futures Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/43081634852135028523.
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碩士輔仁大學
金融研究所
96
Topic that investor's psychology has been often discussed to the scholar in recent years, the research mostly discuss whether investor's psychology will influence assets to dispose or influence the stock price remuneration, this research is trying to probe into the relation between investor's psychological mood and stock price remuneration, remuneration fluctuation.
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Lin, Chuan-Chi, and 林傳吉. "The Relationship between Spot and Futures Prices: Evidence in the Gold Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/44054314244780056386.
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碩士大葉大學
管理學院碩士在職專班
99
This study, applying a threshold vector error correction (TVECM) model, examines whether gold spot and futures prices are cointegrated relationships. By using this methodology we are able to evaluate the degree and dynamics of transaction costs resulting from various market imperfections. Traction costs may lead to the existence of neutral band for futures market speculation in which profitable trading opportunities are impossible. We use data set that comprises daily data of spot and futures prices for gold market. The principal source is DataStream, covering the period from 16th Oct. 2004 to 23rd Dec. 2010 that is 1622 observations in total. In the process of proving that, first we examined whether the unit root of the two variables of gold futures and spot was in the steady state. The result came like this: the both sequences over by first differenced were I(1). And then, it showed long-run equilibrium between gold futures and spot prices by Johansen Cointegration test . Furthermore, this paper employs the threshold VECM to investigate the dynamic price relationship between gold futures and spot. The results provided by the SupLM test statistics reject the null hypothesis of no threshold effect. Whereas the Wald test diagnostics, thus the null hypothesis of linearity in error correction terms is rejected. Finally, we found that gold futures and spot prices were out of long-run equilibrium whether is in symmetrical or asymmetrical model. Thus, gold spot prices will adjust the short-run price to reverse back to the long-run equilibrium.
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"A study of the performance of the Hong Kong stock index futures market." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5895771.
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Fung Wing Tsan.Thesis (M.Phil.)--Chinese University of Hong Kong, 1993.
Includes bibliographical references (leaves 130-133).
Abstract --- p.i
Acknowledgment --- p.iii
Chapter Chapter 1 --- INTRODUCTION --- p.1
Chapter Chapter 2 --- THE PRICING OF STOCK INDEX FUTURES --- p.9
Chapter I. --- The Theoretical Framework --- p.9
Chapter II. --- Evidence from the US Markets --- p.17
Chapter III. --- Evidence from Other Markets --- p.21
Chapter Chapter 3 --- THE PRICE DISCOVERY ROLE OF FUTURES MARKET --- p.24
Chapter I. --- The Potential of Lead/Lag Relationship between the Stock Index Futures Price and the Stock Index --- p.24
Chapter II. --- Empirical Evidence for the Lead/Lag Relationship --- p.27
Chapter Chapter 4 --- THE HEDGING FUNCTION OF STOCK INDEX FUTURES MARKET --- p.30
Chapter I. --- The Traditional Approach --- p.31
Chapter II. --- Working's Speculative Hedge Approach --- p.32
Chapter III. --- The Risk-Minimizing Approach --- p.33
Chapter IV. --- The Portfolio Allocation Approach --- p.40
Chapter Chapter 5 --- AN INTRODUCTION TO THE HANG SENG INDEX FUTURES MARKET --- p.44
Chapter Chapter 6 --- PRICING EFFICIENCY OF THE HANG SENG INDEX FUTURES MARKET --- p.51
Chapter I. --- Pricing Efficiency of the Hang Seng Index Futures Market with no Transaction Costs --- p.51
Chapter II. --- Pricing Efficiency of the Hang Seng Index Futures Market with Transaction Costs --- p.59
Chapter III. --- The Pattern of the Mispricing Series --- p.66
Chapter IV. --- Test of Pricing Efficiency using Intraday Prices --- p.70
Chapter Chapter 7 --- PRICE DISCOVERY ROLE OF THE HANG SENG INDEX FUTURES MARKET --- p.85
Chapter I. --- The Granger-Causality Test --- p.86
Chapter II. --- Error-Correction Model and Long-Run Relationship between the Stock Price and the Hang Seng Index Futures Price --- p.93
Chapter III. --- The Simultaneous-Equation Error-Correction Model --- p.96
Chapter Chapter 8 --- HEDGING EFFECTIVENESS OF THE HANG SENG INDEX FUTURES MARKET --- p.104
Chapter I. --- The Effectiveness of Hang Seng Index Futures in Reducing Risks Of Stock Portfolios --- p.104
Chapter II. --- The Hedged Portfolio as an Alternative to Fixed-Income Asset --- p.115
Chapter III. --- The Effectiveness of Hang Seng Index Futures in Improving Risk´ؤReturn 'Trade-Off --- p.119
Chapter Chapter 9 --- conclusion --- p.126
References --- p.130
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"Dynamic efficiency, price volatility and margin policy: evidence from Hong Kong stock market and Hang Seng Index futures market." Chinese University of Hong Kong, 1994. http://library.cuhk.edu.hk/record=b5887196.
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Wong Hau Man, Ben.Thesis (M.Phil.)--Chinese University of Hong Kong, 1994.
Includes bibliographical references (leaves 85-89).
Abstract
Acknowledgment
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Introduction to the Hang Seng Index Futures Market --- p.9
Chapter Chapter 3. --- Dynamic Efficiency --- p.17
Chapter 3.1 --- The Potential Lead/Lag Relationship between the Stock Index Futures price and the Stock Index --- p.18
Chapter 3.2 --- Empirical Evidence of the Lead/Lag Relationship -the US experience --- p.20
Chapter 3.3 --- Granger and Engle's Error-Correction Model --- p.21
Chapter 3.4 --- Error-Correction Model for the Hang Seng Index Futures Price and Hang Seng Index --- p.25
Chapter 3.5 --- Simultaneous Error-Correction Model --- p.30
Chapter Chapter 4. --- Price Volatility --- p.38
Chapter 4.1 --- Why Volatility Matters --- p.38
Chapter 4.2a --- Theoretical Foundation of the relationship between Futures Trading and Cash Market Volatility --- p.39
Chapter 4.2b --- Empirical Evidence of Futures Trading and Cash Market Volatility - the US experience --- p.40
Chapter 4.3 --- The Schwert Estimation Method --- p.42
Chapter 4.4 --- Hang Seng Index Volatility and Cash Market Trading Volume --- p.47
Chapter 4.5 --- Hang Seng Index Volatility and Futures Trading Activities --- p.48
Chapter 4.6 --- Hang Seng Index Volatility and Contract Life Cycle --- p.50
Chapter Chapter 5. --- Margin Policy --- p.56
Chapter 5.1 --- The Economic Role of Futures Margin --- p.57
Chapter 5.2a --- Theoretical Foundation of the relationship between Margin Requirement and Futures Volatility --- p.58
Chapter 5.2b --- Empirical Evidence of Margin Requirement and Price Volatility --- p.59
Chapter 5.3 --- HSI Futures Margin Requirement and Probability of Exhaustion --- p.61
Chapter 5.4 --- HSI Futures Margin Requirement and HSI Futures Volatility --- p.64
Chapter 5.4a --- Event-Study Approach --- p.64
Chapter 5.4b --- Alternative Method --- p.66
Chapter 5.5 --- HSI Futures Leverage and Price Volatility --- p.70
Chapter Chapter 6. --- Conclusions --- p.81
REFERENCES --- p.85
APPENDIX 1. - Data Description --- p.90
APPENDIX 2. - FIGURES --- p.92
Chapter - --- Figure 1. Trend of HSI from May 86 to Dec93 --- p.93
Chapter - --- Figure 2. Trend of HSI Futures Price from May 86 to Dec93 --- p.94
Chapter - --- Figure 3. Volatility of HSI from May 86 to Dec93 --- p.95
Chapter - --- Figure 4. HSI Futures Margin and Futures Volatility (Futures volatility is measured in daily change in contracts value) --- p.96
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Bizimana, Jean-Claude. "Essays on Dynamics of Cattle Prices in Three Developing Countries of Mali, Kenya, and Tanzania." Thesis, 2012. http://hdl.handle.net/1969.1/ETD-TAMU-2012-05-11218.
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One of the growing agricultural subsectors in developing countries is livestock. Livestock and livestock products account for a third of the agricultural gross output. However, the lack of viable livestock market information systems to increase efficiency of markets and support the decision making of traders, pastoralists, and policy makers are still an obstacle for a full development of this subsector. It is along these lines that the USAID, through the Global Livestock-Collaborative Research Support Program, supported the introduction of livestock market information systems in Kenya and Tanzania in 2003, and later in Mali in 2007.
The overall objective of the dissertation is to test for cattle markets integration in three African developing countries of Mali, Kenya, and Tanzania. One way of assessing the efficiency of market and the impacts of liberalization policies is to test for market integration and price transmission. We also analyzed price leadership among the markets in each of the three case studies. Autoregressive models (vector autoregressive models and error correction model) were used to determine the level of cattle market integration.
The results show a low level of cattle markets integration in Mali. The cattle markets in Mali are more-or-less independent with regard to price transmission among markets. Kenya cattle markets showed a good level of integration among the markets. Chepareria market in the Rift Valley region (west) seemed to lead other markets in price signal transmission. Tanzanian cattle markets exhibited a higher level of integration with Pugu market, in Dar es Salaam, leading other cattle markets in price signal transmission.
In conclusion, the cattle markets in Tanzania and Kenya appeared to have a relatively higher level of market integration compared to the cattle markets in Mali. There is a reasonable belief that the time the livestock market information system has been in place, in each country, played a role in the market integration process. More time and better communications seem to have allowed the market actors to learn arbitrage skills and strengthen their trade relationships that ultimately led to the market integration.
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Kao, Lien-Chih, and 高煉智. "Differences between Forward and Futures Prices in Foreign Exchange Market: A Further Investigation of the Marking-to-Market Effects." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/44162192593448698788.
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碩士國立中央大學
財務金融研究所
92
Abstract In spite of the similarity of forward and futures contracts, they are quite different in many aspects, and the most controversial issue is the marking-to-market of futures contracts. Cox, Ingersoll, and Ross (1981) incorporate the marking-to-market effect, and derive a series of propositions with respect to the relationship between forward and futures prices. This paper investigates the price differential between forward and futures contracts in Foreign exchange markets for the period January 2001-march 2004. The currencies examined include Australian dollar, British pound, Canadian dollar, Euro, Japanese Yen, and Swiss Franc. This paper test empirically (1) if there are significant differences between forward and futures prices, and (2) if the net interest payouts arising from resettlement could explain the variations of price differences for the CIR model in two different assumptions. Empirical results indicate that, in foreign exchange markets, differences between forward and futures prices are insignificant. CIR model is helpful in explaining the variations of forward-futures price differences if cashflow of the net interest payout in the future time is known. On the contrary, the model could not account for it if only using the past net interest payout.
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Li, Chen-yu, and 李鎮宇. "The Study on the Behavior of Taiwan Futures Market — The Case of Bias between the Fair and the Market Prices." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/65917954062410866270.
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碩士國立交通大學
科技管理所
88
The financial market plays a very important role in a nation’s economy. It not only helps the formation of capital, but also provides a screening mechanism between the supply and the demand for capital. A general rule in examining the health of a financial market is to test the three aspects of the market. They are the efficiency, the perfection, and the completeness. The availability of the Taiwan Stock Exchange (TSE) Indexes futures started in July 1998 is believed to have enhanced the completeness of Taiwan’s financial market. However, in observing the prices of TSE Index futures, we found a persistent gap between the theoretical (fair) and the market closing prices. This gap (bias) is large and varying. The purpose of this thesis is to investigate the behavior of the bias and determine the information content of the bias. Data on TSE Index futures during the period from July 1998 to March 2000 are examined by using ACF, cointegration, one-sample T-test, K-S test, factor analysis, and multiple regression. Results of the study suggest the following: First, Perfect market assumption can not explain the observed behavior of Taiwan’s futures market reasonably. Second, psychological factors affect the bias differently in different periods. Third, the bias returned to their normal range in the long term. And lastly, the most influential factors on the bias are the capital cost, the uncertainty, and the international stock market conduction effect.
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Cho, Shi-Da, and 卓效德. "The Impact of Investors Transaction Activity on Return and Volatility of Prices in Taiwan Futures Market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/74310790936703172293.
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碩士中原大學
會計研究所
93
During the past three years, the transaction volumes of Taiwan Stock Exchange Index Futures has been risen dramatically and the market liquidity has also been increased. Both the institutional investors and individual investors’ need for speculation and for hedging against risk was increased subsequently. The trader’s willingness to participate in the futures market was also raised. This study attempts to investigate the impact of investors’net buying or selling in Taiwan’s futures market on the rate of the return and fluctuations of the index futures. The data resources are obtained from the institutional investors and individuals’ daily volumes of net selling and buying which were provided by Taiwan Futures Exchange. The sample period starts from Jan. 1, 2002 to Dec. 31, 2004. This investigation first uses the Augmented Dickey Fuller test to examine whether there is an unit-root phenomenon in time-series data, then employs the GARCH model, co-integrity examination , Granger’s Causality test and variance decomposition test to explore whether there exists a leading and lagging correlation of the investment activities between the institutional investors and individual investors. In addition, this study investigates the impact of net buying or selling by the institutional investors on the rate of return and fluctuation of stock index futures. This works also examines the impact of institutional investors’ net buying or selling on the spot market. The experimental results are summarized as follows: (1) According to the futures’ prices and volumes data from 2002 to 2004, this study finds that Taiwanese futures market has weak efficiency and the investors are hard to obtain the excessive rate of return by predicting the prices of futures in advance based on the history of previous transaction volumes or prices； (2) The transaction information based on investment and trust company and international investment company cannot explain the prices or fluctuations of the futures. That is, it cannot provide useful information to the investors; (3) The information of transaction behaviors from security brokerage firms can help the investors to earn some profit. However, it’s hard to explain the fluctuations of futures prices. (4) According to Granger’s causality test, the findings show that international investors and investment and trust companies are mutually affected by each other. However, the impact of the transactions of the internationally institutional investors on those of the investment and trust companies is significantly higher than the transactions of investment and trust company on those of the internationally institutional investors. Moreover, the investment and trust companies led the security brokerage firms and the security brokerage firms led the internationally institutional investors. (5) This work finds that there is a significant relationship between the net buying and selling of security brokerage firms and the stock index futures. Therefore, the larger the variations of net buying and selling of the security brokerage firms are, the greater the fluctuations of the stock index futures are. Subsequently, the fluctuations of the futures market affect that of the spot market.
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"Price discovery in Hong Kong futures markets." 2005. http://library.cuhk.edu.hk/record=b5892608.
Full textAbstract:
Choy Siu Kai.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 35-37).
Abstracts in English and Chinese.
Chapter Chapter 1 --- Introduction --- p.1-2
Chapter Chapter 2 --- Literature Review --- p.3-9
Chapter Chapter 3 --- An Overview of Hong Kong Security Market and Data Description --- p.10-18
Chapter Chapter 4 --- Methodology --- p.19-24
Chapter Chapter 5 --- Futures and Mini Futures Results --- p.25-28
Chapter Chapter 6 --- Index and Futures Contracts Results --- p.29-32
Chapter Chapter 7 --- Conclusion --- p.33-34
References --- p.35-37
Appendix --- p.38-40
Tables --- p.41-52
Graphs --- p.53-57
36
"An empirical study on the effect of launching Chinese stock index futures on the volatility of the stock market." 2014. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291516.
Full textAbstract:
This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple before-and-after method to investigate how the volatility of the constituent stocks changes relative to the non-constituent stocks after the introduction of CSI300 Index Futures. Empirical results revealed that the volatility of the constituent stocks increased as compared with that of non-constituent stocks before and after the inception of the CSI300 Index Futures. The temporal-self comparison for the stocks entered or removed from the CSI300 Index List showed that that the introduction of index futures has a long-term destabilizing effect.本文研究滬深300股票指數期貨的推出對我國股票市場波動率的影響。考慮到中國股市長期波動率下降的趨勢的存在,我們用差上差的方法取代了傳統的簡單事前事後比較方法來研究成分股相對于非成分股波動率在滬深300股票指數期貨推出前後是如何變化的。實證結果顯示成分股股票相對于非成分股股票,波動率在滬深300股票指數期貨推出前後實際上是上升的。對於進入或者剔除出滬深300指數名單的股票的實證研究顯示,這種股票不同狀態的自我比較說明對於滬深300股票指數期貨的推出在長期有失穩作用。
Luo, Shengjie.
Thesis M.Phil. Chinese University of Hong Kong 2014.
Includes bibliographical references (leaves 40-42).
Abstracts also in Chinese.
Title from PDF title page (viewed on 12, October, 2016).
Detailed summary in vernacular field only.
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Wang, Yaming. "Measuring private information in the financial assets market Evidence and implications from S&P 500 futures prices /." 2006. http://proquest.umi.com/pqdweb?did=1130605041&sid=3&Fmt=2&clientId=39334&RQT=309&VName=PQD.
Full textAbstract:
Thesis (Ph.D.)--State University of New York at Buffalo, 2006.Title from PDF title page (viewed on Oct. 04, 2006) Available through UMI ProQuest Digital Dissertations. Thesis adviser: Ehrlich, Isaac. Includes bibliographical references.
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Wang, Qi. "Volatility : a market-based approach." Phd thesis, 2005. http://hdl.handle.net/1885/150234.
Full text
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Haarburger, Terri. "An analysis of the Samuelson hypothesis in South Africa." Thesis, 2016. http://hdl.handle.net/10539/22363.
Full textAbstract:
A research report submitted in partial fulfilment of the requirements for the degree
M.Com. Masters (Finance)
in the
School of Economic and Business Sciences
at the
University of the Witwatersrand, JohannesburgThis study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts.
MT2017
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Rossouw, Werner. "Contesting the efficient market hypothesis for the Chicago Board of Trade corn futures contract through the application of a derivative methodology." Thesis, 2012. http://hdl.handle.net/10500/8108.
Full textAbstract:
Corn production is scattered geographically over various continents, but most of it is grown
in the United States. As such, the world price of corn futures contracts is largely dominated
by North American corn prices as traded on the Chicago Board of Trade. In recent years,
this market has been characterised by an increase in price volatility and magnitude of price
movement as a result of decreasing stock levels. The development and implementation of
an effective and successful derivative price risk management strategy based on the
Chicago Board of Trade corn futures contract will therefore be of inestimable value to
market stakeholders worldwide.
The research focused on the efficient market hypothesis and the possibility of contesting
this phenomenon through an application of a derivative price risk management
methodology. The methodology is based on a combination of an analysis of market trends
and technical oscillators with the objective of generating returns superior to that of a
market benchmark.
The study found that market participants are currently unable to exploit price movement in
a manner which results in returns that contest the notion of efficient markets. The
methodology proposed, however, does allow the user to consistently achieve returns
superior to that of a predetermined market benchmark. The benchmark price for the
purposes of this study was the average price offered by the market over the contract
lifetime, and such, the efficient market hypothesis was successfully contested.Business Management
D. Com. (Business Management)
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Rossouw, Werner. "An analytical research into the price risk management of the soft commodities futures markets." Diss., 2007. http://hdl.handle.net/10500/1930.
Full textAbstract:
Agriculture is of inestimable value to South Africa because it is a major source of job creation and plays a key role in earning foreign exchange. The most significant contribution of agriculture, and in particular maize, is its ability to provide food for the nation. For a number of decades government legislation determined prices, and as such the trade of grains on the futures exchange requires market participants to adapt to a volatile environment.
The research focuses on the ability of market participants to effectively mitigate price volatility on the futures exchange through the use of derivative instruments, and the possibility of developing risk management strategies that will outperform the return offered by the market.
The study shows that market participants are unable to use derivative instruments in such a way that price volatility is minimised. The findings of the study also indicate that the development of derivative risk management strategies could result in better returns than those offered by the market, mainly by exploiting trends on the futures market.Financial Accounting
M. Comm. (Business Management)