Journal articles on the topic 'Cattle futures market prices'
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Koontz, Stephen R., Michael A. Hudson, and Matthew W. Hughes. "Livestock Futures Markets And Rational Price Formation: Evidence For live Cattle And Live Hogs." Journal of Agricultural and Applied Economics 24, no. 1 (July 1992): 233–49. http://dx.doi.org/10.1017/s0081305200026157.
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AbstractThe efficiency of livestock futures markets continues to receive attention, particularly with regard to their forward pricing or forecasting ability. The purpose of this paper is to present a more general theory that encompasses the forward pricing concept. It is argued that futures contract prices for competitively produced nonstorable commodities, such as live cattle and live hogs, follow a rational formation process. Futures contract prices reflect expected market conditions when contracts are sufficiently close to the delivery month that the supply of the underlying commodity cannot be changed. However, prior to the period when future supplies are relatively fixed, futures contract prices should adjust to reflect the competitive equilibrium, where output price equals average costs of production. Presented evidence suggests that live cattle and live hog futures markets support the rational price formation hypothesis: prices for distant contracts reflect average costs of feeding. Implications for risk management strategies are considered.
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Huffaker, Ray, and Monika Hartmann. "Reconstructing dynamics of foodborne disease outbreaks in the US cattle market from monitoring data." PLOS ONE 16, no. 1 (January 27, 2021): e0245867. http://dx.doi.org/10.1371/journal.pone.0245867.
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Conventional empirical studies of foodborne-disease outbreaks (FDOs) in agricultural markets are linear-stochastic formulations hardwiring a world in which markets self-correct in response to external random shocks including FDOs. These formulations were unequipped to establish whether FDOs cause market reaction, or whether markets endogenously propagate outbreaks. We applied nonlinear time series analysis (NLTS) to reconstruct annual dynamics of FDOs in US cattle markets from CDC outbreak data, live cattle futures market prices, and USDA cattle inventories from 1967–2018, and used reconstructed dynamics to detect causality. Reconstructed deterministic nonlinear market dynamics are endogenously unstable—not self-correcting, and cattle inventories drive futures prices and FDOs attributed to beef in temporal patterns linked to a multi-decadal cattle cycle undetected in daily/weekly price movements investigated previously. Benchmarking real-world dynamics with NLTS offers more informative and credible empirical modeling at the convergence of natural and economic sciences.
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Turner, Steven C., Nancy S. Dykes, and John McKissick. "Feeder Cattle Price Differentials in Georgia Teleauctions." Journal of Agricultural and Applied Economics 23, no. 2 (December 1991): 75–84. http://dx.doi.org/10.1017/s0081305200018197.
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AbstractThree Georgia feeder cattle teleauction markets were analyzed from 1977 to 1988 to estimate the impacts of cattle characteristics and market conditions on prices. Cattle characteristic price impacts were similar to those in previous studies. The impact of feeder cattle futures price on teleauction price was positive but varied across markets. Optimal lot size ranged from 143 to 276 head. In one market, 14 lots were necessary to generate positive price impacts. Additional buyers were estimated to have a $.30/cwt per buyer impact on price.
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Lusk, Jayson L., and Ted C. Schroeder. "Effects of Meat Recalls on Futures Market Prices." Agricultural and Resource Economics Review 31, no. 1 (April 2002): 47–58. http://dx.doi.org/10.1017/s1068280500003476.
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The number of meat recalls has increased markedly in recent years. This research examines the impact of beef and pork recall announcements on nearby daily live cattle and lean hog futures market prices, respectively. Results indicate medium-sized beef recalls that are of serious health concerns have a marginally negative impact on short-term live cattle futures prices. However, results are not robust across recall size and severity. This research suggests that if there is any systematic change in cattle and hog demand due to meat recalls, it likely occurs over an extended period of time and only in certain cases does it noticeably affect daily futures prices.
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Bulama, YaAshe M., Yakubu Bila, and Catherine O. Ojo. "TEST OF PRICE VOLATILITY: A CASE OF THE NIGERIAN CATTLE MARKET." American Journal of Economics 6, no. 1 (January 4, 2022): 1–12. http://dx.doi.org/10.47672/aje.890.
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Purpose: The research investigated variation of cattle prices in Nigeria. Specifically, the research: determined the presence of volatility in cattle prices, determined the degree of volatility of the cattle prices and estimated the level of persistence of the volatility of the cattle prices.
Methodology: Multi-stage and simple random (balotting) sampling techniques were used to select two states each from five out of the six geo-political zones in Nigeria, except South-East zone which was not represented due to unavailability of data. A total of ten states were selected. Data were analysed using the Generalised Auto Regressive Conditional Heteroscedasticity (GARCH)).
Findings: Results of the GARCH model revealed that prices were highly volatile in all the selected states except Yobe, since all coefficients were close to one and ranged from 0.71 to 0.88. The sum of the α + β coefficients were all close to or greater than one and ranged from 0.98 to 1.30, which indicated volatility was persistent. It was discovered that the prices in Nigerian cattle markets were highly volatile and persistent in volatility.
Recommendations: There is need to improve on the market information system and transportation and infrastructural facilities in order to ensure a good and efficient market and pricing system in the country. Hedging via Futures through contract agreement and/or Futures trading could be solutions to price volatility.
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Bulama, YaAshe M., Yakubu Bila, and Catherine O. Ojo. "TEST OF PRICE VOLATILITY: A CASE OF THE NIGERIAN CATTLE MARKET." American Journal of Economics 6, no. 1 (January 4, 2022): 1–12. http://dx.doi.org/10.47672/aje.890.
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Purpose: The research investigated variation of cattle prices in Nigeria. Specifically, the research: determined the presence of volatility in cattle prices, determined the degree of volatility of the cattle prices and estimated the level of persistence of the volatility of the cattle prices.
Methodology: Multi-stage and simple random (balotting) sampling techniques were used to select two states each from five out of the six geo-political zones in Nigeria, except South-East zone which was not represented due to unavailability of data. A total of ten states were selected. Data were analysed using the Generalised Auto Regressive Conditional Heteroscedasticity (GARCH)).
Findings: Results of the GARCH model revealed that prices were highly volatile in all the selected states except Yobe, since all coefficients were close to one and ranged from 0.71 to 0.88. The sum of the α + β coefficients were all close to or greater than one and ranged from 0.98 to 1.30, which indicated volatility was persistent. It was discovered that the prices in Nigerian cattle markets were highly volatile and persistent in volatility.
Recommendations: There is need to improve on the market information system and transportation and infrastructural facilities in order to ensure a good and efficient market and pricing system in the country. Hedging via Futures through contract agreement and/or Futures trading could be solutions to price volatility.
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Lima, Alexandre Vasconcelos, Rogério Boueri Miranda, and Mathias Schneid Tessmann. "Evaluation of the Future Price of Brazilian Commodities as a Predictor of the Price of the Spot Market." International Journal of Economics and Finance 14, no. 4 (March 25, 2022): 51. http://dx.doi.org/10.5539/ijef.v14n4p51.
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The present work seeks to bring empirical evidence on the efficiency of futures prices as predictors of spot market prices. For this, future and spot prices of live cattle, coffee, corn, soybeans, ethanol, gold and dollars traded in Brazil are considered. To compare the probability of occurrence with the event that actually happened, the score proposed by Brier in 1950 is used. It was observed that the spot and future price curves have the same trajectory and, considering the same date, have similar values. Despite this behavior, when calculating the scores, we found that the lowest was found for live cattle, 0.47, the highest for the dollar, with a value close to 1, and the other assets varied between 0.6 and 0.8. Scores of 1 denote worse predictive powers, it was noted that future prices are not good predictors for the assets considered. These results contribute to filling the gap in the financial literature that seeks to assess the efficiency of futures markets by bringing empirical evidence to Brazilian commodities and using the Brier Score. The findings are also useful for financial market agents who use these assets in their portfolios, producers and principals in the supply chain and policy makers who make decisions involving these commodities.
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Panagiotou, Dimitrios, and Alkistis Tseriki. "Assessing the relationship between closing prices and trading volume in the US livestock futures markets." Studies in Economics and Finance 37, no. 3 (April 22, 2020): 413–28. http://dx.doi.org/10.1108/sef-09-2019-0352.
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Purpose The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.
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Foster, Kenneth A., and Arthur M. Havenner. "COINTEGRATION AND SETTLEMENT OF COMMODITY FUTURES CONTRACTS." Macroeconomic Dynamics 3, no. 2 (June 1999): 226–42. http://dx.doi.org/10.1017/s1365100599011050.
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Weekly live cattle prices in various markets would be expected to share common trends, i.e., they cannot be driven by separate nonstationarities because at some point the prices will diverge sufficiently for it to be economic to cross-ship the cattle, or at least the beef. This paper extends previous bivariate work to a multivariate analysis that is capable of modeling the multiple market linkages in prices for many geographical regions. The empirical estimation represents the application of an innovation on Aoki's Linear Systems State Space model that allows determination of long- and short-run dynamics common to multiple series. The common dynamics permit characterization of the multiple markets with a limited number of states (sufficient statistics for the past), resulting in dynamic arbitrage relations between the series. A nonparametric test is used to evaluate the value of expected arbitrage forecasts implied by the structure of the model. The arbitrage relationship also is employed to generate efficient discounts/premiums for either physical delivery or cash settlement of futures contracts. The proposed settlement mechanism accounts for spatial arbitrage opportunities and therefore better represents the true geographical discounts faced by traders in individual markets.
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Oellermann, Charles M., and Paul L. Farris. "Futures or Cash: Which Market Leads Live Beef Cattle Prices?" Journal of Futures Markets 5, no. 4 (1985): 529–38. http://dx.doi.org/10.1002/fut.3990050404.
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Pereira, P. R. R. X., H. Hasenack, G. R. Pereira, H. Dewes, L. C. Canellas, T. E. Oliveira, and J. O. J. Barcellos. "Climate change and beef supply chain in Southern Brazil." Journal of Agricultural Science 156, no. 6 (August 2018): 731–38. http://dx.doi.org/10.1017/s0021859618000667.
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AbstractThe current study evaluated the uncertainty of beef cattle supply for slaughter due to the variable climate of Rio Grande do Sul, Brazil. The data included the numbers of cattle slaughtered, local live cattle prices, price and amount of exported beef, and the prices of the Brazilian beef futures market. Data were collected on the beef supply from January 1997 to March 2014. Climate data included El Niño (EN), La Niña (LN), South Atlantic Sub-tropical Dipole (SASD), Negative and Positive Atlantic Dipole (−AD and +AD), Tropical South and North Atlantic indices. Statistical analysis was performed by a multivariate regression of time series. It was observed that EN and SASD climatic variables increased the numbers of beef cattle slaughtered, with a 1 and 4-month lag, respectively. On the other hand, LN and -AD decreased the number of animals slaughtered, with 4 and 0 months’ lag, respectively, meaning that there was an immediate response to −AD, while there was a 4-month delay for LN. The amount of exported beef and live beef cattle prices were explained by the number of animals slaughtered in the state. Data suggested that the beef cattle market in RS was more strongly influenced by the occurrence of climate phenomena with LN and −AD than by economic variables such as the price paid to the producer for beef and the amount exported. The climate changes evaluated in the current study affect the livestock production system and consequently the beef market industry in Southern Brazil.
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Paiva, Newton N. "The Effects of Mad Cow Disease on U.S. Live Cattle Futures Price." Journal of Agricultural and Applied Economics 35, no. 2 (August 2003): 407–13. http://dx.doi.org/10.1017/s1074070800021362.
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Due to red meat consumption, bovine spongiform encephalopathy (BSE) disease has been a major human health concern since its discovery in 1986. An event study approach was applied to determine the impact of BSE official events that occurred in the United Kingdom on U.S. live cattle futures prices. When abnormal returns were aggregated during the course of the events, the price series were adversely affected, mainly after the event day. This suggests that market reaction was dissipated quickly and that no leakage of information occurred prior to the event.
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Sun, Yan, and Ken Seng Tan. "A generalized Livestock Gross Margin insurance program for the developing countries." Journal of Agribusiness in Developing and Emerging Economies 9, no. 5 (October 14, 2019): 421–38. http://dx.doi.org/10.1108/jadee-12-2018-0190.
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Purpose The purpose of this paper is to propose a new margin protection (MP) scheme for the producers of hog, cattle and dairy in the developing countries. Design/methodology/approach The proposed MP scheme is inspired by the Livestock Gross Margin (LGM) program that has been successfully implemented in US directly implementing the LGM program in developing countries can be difficult due to the rudimentary of the futures market with limited futures listing. To address this issue, the authors proxy the futures prices by relating to some relevant spot prices via an econometric model. The proxied futures prices, in turn, enable the implementation of a generalized LGM, which the authors denote as the MP scheme. Findings As China is the world’s largest consumption and production of pork, the authors describe the proposed MP scheme by demonstrating how a generalized LGM can be constructed for the Chinese hog producers. By empirically comparing to the pilot hog price index insurance for the Beijing’s hog producers, the authors find that the proposed MP scheme is more effective in providing MP for the producers. Research limitations/implications The proposed MP scheme still requires the availability of some relevant spot prices in order to use an econometric model to proxy the missing futures prices. Originality/value The value of this research stems from demonstrating how an MP scheme can be constructed for developing countries that have rudimentary futures markets.
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Beard, KT. "Efficiency of index selection for dairy cattle using economic weights for major milk constituents." Australian Journal of Agricultural Research 39, no. 2 (1988): 273. http://dx.doi.org/10.1071/ar9880273.
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A breeding objective (aggregate genotype) for dairy cattle based on returns, net of feed costs, from yield of fat, protein and carrier (the non-fat, non-protein component of the milk) was developed. Returns were estimated using a forecast of the future Australian dairy market structure, and feed costs were estimated from the metabolizable energy required to produce each of three milk components.The effects of erors in forecasting future conditions on economic weights and efficiency of index selection of sires were examined.Economic weights varied widely when subject to errors in the price of milk components within markets, errors in the export price for milk and errors in feed cost.Selection based on an optimal index of sire expected breeding values for fat, protein and milk was sensitive to low export market prices, high feed costs, high protein price and high carrier price. This index was quite insensitive to variation in prices and costs opposite in sign to those above, to variation in milk prices on the domestic markets, and to variation in the size of quotas on domestic markets.
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Crespi, John M., and Tian Xia. "A Note on First-Price Sealed-Bid Cattle Auctions in the Presence of Captive Supplies." Agricultural and Resource Economics Review 44, no. 3 (December 2015): 340–45. http://dx.doi.org/10.1017/s1068280500005098.
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The authors present an analytical model of a first-price sealed-bid cattle auction in which a spot and coordinated markets are interconnected. The model reveals that the conventional wisdom that market coordination negatively affects the bid price in the spot market is an oversimplification. The relationships between key market variables impact bids and bid shading in complex ways. While captive supplies can lead to lower spot prices, the price reductions do not necessarily stem from an increase in market power due to contracting. The model emphasizes the importance of several variables for future empirical studies.
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Volkenand, Steffen, Guenther Filler, and Martin Odening. "The impact of order imbalance on returns, liquidity, and volatility in agricultural commodity markets." Agricultural Finance Review 78, no. 5 (October 1, 2018): 571–91. http://dx.doi.org/10.1108/afr-10-2017-0099.
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PurposeThe purpose of this paper is to investigate and compare the impact of order imbalance on returns, liquidity and price volatility in agricultural futures markets on an intraday basis. The authors examine whether order imbalance is more powerful to explain variations in asset prices compared to other indicators of trading activity, particularly trading volume.Design/methodology/approachUsing Chicago Mercantile Exchange best bid best offer data, the impact of order imbalance is analyzed via regression analyses. The analyses are carried out for corn, wheat, soy, live cattle and lean hogs in March 2008 and March 2016.FindingsResults confirm the positive relation between order imbalance and returns as well as between order imbalance and price volatility as suggested by market microstructure models. Order imbalance, however, does not generally outperform trading volume as an explanatory variable.Practical implicationsFor some contracts, returns can be predicted using lagged order imbalance. This offers the opportunity to derive profitable trading strategies.Originality/valueThis paper is one of the first attempts to explore the relationship between order imbalance and returns, liquidity and volatility for agricultural commodity futures on an intraday basis, accounting for the increased trading volume and for the high speed at which new information enters the market in an electronic trading environment.
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Brorsen, B. Wade, Charles M. Oellermann, and Paul L. Farris. "The live cattle futures market and daily cash price movements." Journal of Futures Markets 9, no. 4 (August 1989): 273–82. http://dx.doi.org/10.1002/fut.3990090402.
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Moreira Campos da Cunha Amarante, Janaina Gabrielle, Tatiana Marceda Bach, Wesley Vieira da Silva, Daniela Matiollo, Alceu Souza, Claudimar Pereira da Veiga, and David McMillan. "Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil." Cogent Business & Management 5, no. 1 (January 1, 2018): 1457861. http://dx.doi.org/10.1080/23311975.2018.1457861.
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Kopytets, N., S. Pashko, and V. Voloshyn. "Current trends in meat price formation." Ekonomìka ta upravlìnnâ APK, no. 2(159) (November 24, 2020): 55–63. http://dx.doi.org/10.33245/2310-9262-2020-159-2-55-63.
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The article examines the main trends in meat price formation.It is determined that the methodology and tradition of price functioning have evolved historically in terms of understanding the nature and characteristics of the price. The level of product price contains the conflicting interests of different parts (producer and consumer). It is generalized that the formation of livestock products prices is influenced by supply and demand.It is confirmed that price is a factor that creates demand in case of the low consumers’ purchasing power. The process of prices forming on livestock products is based on the general principles of pricing. However, there are certain features of pricing stipulated from the specifics of production and processing of livestock products.Among the main factors influencing the prices formation on livestock products should be noted the following: natural and climatic conditions, price disparity in agriculture, the presence of a large number of households which deal with raising cattle and poultry,high level of production costs, the presence of multiple links in the production chain, a short period of product storage, a large proportion of low-income population.It is proved that the livestock product prices in market conditions must respond quickly to any changes in the production chain. The analysis of the price situation on the meat market was carried out.It was found that in Ukraine during the study period there is a tendency of increasing purchasing, wholesale and consumer prices.In the first half-year of 2020, there were significant changes in the price situation.The results confirm the trends at the world meat market.It is proved that the situation at the domestic meat market depends on the state of the global market. It is noted that in the future the price situation at the meat market will depend on the purchasing power of the population, the proposal of main meat types, the exchange rate of the national currency, production and export volumes. Keywords: price, demand, supply, meat market, purchase prices, wholesale prices, consumer prices, beef, pork, poultry meat.
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Grymak, A. "Characteristics of the meat stockbreeding market performance." Ekonomìka ta upravlìnnâ APK, no. 2(159) (November 24, 2020): 31–40. http://dx.doi.org/10.33245/2310-9262-2020-159-2-31-40.
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Ukraine has gone through a difficult and over time long period of recognition of market relations, which was accompanied by the emergence of imbalances. This is also the independence of enterprises with administrative influence on their work; liberalization of prices; low purchasing power of the population, which leads to a decrease in demand; rise in energy prices, as well as unequal exchange between industry and agriculture. As a consequence of the influence of these factors, there are changes in the structure of the cattle herd, the interest of producers in increasing the volume of livestock products is lost, incl. and meat, even at the level of personal peasant farms. Assessment of the state of the beef cattle breeding industry indicates a reduction in the number of fattening cattle in all categories of farms. The main reason for this unsatisfactory trend is the loss of profitability of beef cattle breeding. Studies of its causes have confirmed the influence of indicators of the number of livestock, animal productivity, as well as the cost of production. In 2009-2019 alone, the number of cattle decreased by almost 30 percent. And the available livestock of productive livestock in the households of the population does not provide guarantees and rhythmic supplies of raw materials to processing enterprises. Intermediaries create their problematic influence on the formation of the market for beef cattle breeding. However, even under such conditions, the beef cattle industry confirms its self-sufficiency in the turnover of products. The experience of the developed countries of Europe and the world confirms that the functioning of economic systems, which are based on market conditions, confirms their feasibility, efficiency and viability. The preconditions for the approval of the Ukrainian beef cattle market were the privatization of land and property, restructuring, and in some places the cancellation of debts, the introduction of a fixed tax, and some additional payment for the sold cattle. Therefore, market relations already, and in the future, affect the development of agriculture and beef cattle breeding, which is a multifaceted system with a large number of subjects of production, processing and sale of the industry's products. This is confirmed by weighty factors of the objective need to form a commodity market for beef cattle breeding to meet the demand for food products through the formation of the necessary volumes of their supply. It is also important that the formation of a market for beef cattle breeding, the supply of products should be expressed through the exchange infrastructure: stock exchanges, wholesale markets, auctions, trading houses, company stores, retail trade, city markets. The foregoing confirms the objective need to form a market for beef cattle breeding, while adhering to the principle of competition, which can objectively reproduce the essence of market relations in determining prices, the volume of supply of products supplied to the market and their quality. The market must operate on the basis of the requirements of the laws of value, equilibrium of supply and demand, and fulfill its regulatory function. The advantages of the market system have been convincingly brought to light by many years of practical efficiency and it is recognized as the highest and perfect form of management. In the system of market relations, agriculture is an integral part of the national economic complex, the entire system of economic development. The article proposed by the author provides information on the situation on the market for beef cattle breeding, factors that affect its functioning, as well as the reasons that shape supply and demand. Separate inconsistencies in the activities of the subjects of the market of beef cattle breeding have been established, the elimination of which will provide an improvement in the actual state and improve its functioning. The author of the article guides the participants in the market of beef cattle breeding to take into account the peculiarities of its functioning in their activities, which will contribute to the formation of the necessary volumes of products to meet the existing demand on the market. Key words: market, meat cattle breeding, criteria, competitiveness, marketing, demand, supply, infrastructure.
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Parcell, Joe L., Ted C. Schroeder, and Kevin C. Dhuyvetter. "Factors Affecting Live Cattle Basis." Journal of Agricultural and Applied Economics 32, no. 3 (December 2000): 531–41. http://dx.doi.org/10.1017/s1074070800020629.
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AbstractCattle producers and beef packers need to understand basis determinants as they develop price expectations and make pricing, hedging, and forward contracting decisions. This study empirically estimated factors explaining variability in monthly fed cattle basis. The five main results regarding live cattle basis are 1) corn price is an important determinant, 2) a change in the value of the Choice-to-Select spread positively affects basis, 3) changes in the levels of captive supplies have no significant statistical or economic impact on basis, 4) the June 1995 live cattle futures contract did not impact basis, and 5) both market fundamentals and seasonal components are important basis determinants.
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Divisekara, Roshani W., Ruwan D. Nawarathna, and Lakshika S. Nawarathna. "Forecasting of Global Market Prices of Major Financial Instruments." Journal of Probability and Statistics 2020 (September 14, 2020): 1–11. http://dx.doi.org/10.1155/2020/1258463.
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One of the easiest and fastest ways of building a healthy financial future is investing in the global market. However, the prices of the global market are highly volatile due to the impact of economic crises. Therefore, future prediction and comparison lead traders to make the low-risk decisions with price. The present study is based on time series modelling to forecast the daily close price values of financial instruments in the global market. The forecasting models were tested with two sample sizes, namely, 5-year close price values for correlation analysis and 3-year close price values for model building from 2013 January to 2018 January. The forecasting capabilities were compared for both ARIMA and GARCH class models, namely, TGARCH, APARCH, and EGARCH. The best-fitting model was selected based on the minimum value of the Akaike information criterion (AIC) and Bayesian information criteria (BIC). Finally, the comparison was carried out between ARIMA and GARCH class models using the measurement of forecast errors, based on the Root Mean Square Deviation (RMSE), Mean Absolute Error (MAE), and Mean absolute percentage error (MAPE). The GARCH model was the best-fitted model for Australian Dollar, Feeder cattle, and Coffee. The APARCH model provides the best out-of-sample performance for Corn and Crude Oil. EGARCH and TGARCH were the better-fitted models for Gold and Treasury bond, respectively. GARCH class models were selected as the better models for forecasting than the ARIMA model for daily close price values in global financial market instruments.
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Yun, Won-Cheol, Wayne Purcell, Anya McGuirk, and David Kenyon. "Implications of trader mix to price discovery and market effectiveness in live cattle futures." Journal of Futures Markets 15, no. 4 (June 1995): 373–94. http://dx.doi.org/10.1002/fut.3990150402.
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Kirkland, R. M., T. W. J. Keady, D. C. Patterson, and R. W. J. Steen. "The effect of slaughter weight on production characteristics of Holstein-Friesian male cattle." Proceedings of the British Society of Animal Science 2005 (2005): 1. http://dx.doi.org/10.1017/s1752756200009121.
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Holstein-Friesian bull calves, although bred for dairy traits, are available at low cost as a potential resource for the beef industry. Finishing of these cattle on intensive feeding regimes has become more attractive in recent years reflecting, inter alia, the reduction in cereal prices and availability of subsidy payments. However, in the future, market-driven economy, production systems must become more efficient if they are to remain viable. The objective of the present study was to evaluate the effect of slaughter weight on production characteristics of Holstein-Friesian bulls offered cereal-based diets, whilst also evaluating the effects of sexual status on performance attributes.
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Charlebois, Sylvain, Maggie McCormick, and Mark Juhasz. "Meat consumption and higher prices." British Food Journal 118, no. 9 (September 5, 2016): 2251–70. http://dx.doi.org/10.1108/bfj-03-2016-0121.
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Purpose The purpose of this paper is to evaluate if sudden retail price increases for beef products have affected consumers purchasing behaviors. Little research has been conducted that integrates retail price volatility with subdued food consumption motivations. Prior research about consumers’ meat-purchasing habits and systemic concerns linked to sustainability and animal welfare is limited or de-contextualized. This study also attempts to assess if retail price increases have triggered a change in perception of the meat industry, by looking at specific values related to animal protein production and consumption. Design/methodology/approach This study is based on an inductive, quantitative analysis of primary data obtained from a survey on beef consumption. For convenience and validity, all respondents had to be living in Canada for 12 months, and were at least 18 years old. The choice of country is not trivial. First, access to data were convenient for this study. Second, and most importantly, Canada has supply managed commodities that include poultry and chicken. In effect, Canada produces the amount of chicken it needs. Beef production is vulnerable to market volatility. As a result, demand-focussed market conditions for one often influence conditions for the other. Findings Findings indicate that higher prices have compelled 37.9 percent of the sample to reduce or to stop beef consumption altogether in the last 12 months. Beyond the issue of price, sustainability, food safety and health appear to be significant factors, more so than ethics (animal welfare). Results also show that education can be considered as a determinant for sustainable aspects of beef production when prices increase. Age and gender had no statistical significance on survey results. Some limitations are presented and future research paths are suggested. Research limitations/implications Since the sample in this study was mainly composed of consumers based in Canada, the generalizations of the findings should be approached with some caution. The same research should be conducted with consumers from other parts of the Western world to verify if the results can be generalized. Practical implications This survey help the authors to understand some aspects of beef consumption at retail. Findings of this empirical study have implications for future communications to consumers, in that greater emphasis should be given to the connection consumers have with other nutritional alternatives. Since meat consumption in the Western world is intrinsically linked to culinary traditions, behaviors can be challenging to change. Social implications The economic implications of a rapid adoption of a plant-based diet for the agricultural economy would be significant. However, the reality is that according to many studies of consumer behavior, customers still place a higher value on buying and eating meat than on any other food group. Canada’s relationship with animal proteins has deep cultural roots, particularly during holidays and summertime. Originality/value The present study has given important insights into the determinants of meat consumption reduction, a behavior which could both have long-term economic implications for the cattle and beef industries. This paper provides a deeper insight into some socio-economic factors that contribute to slow erosion of meat consumption reduction, and the effects of higher prices at retail. This is, as far as the authors know, likely the first study of its kind.
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Šrédl, Karel, Marie Prášilová, Lucie Severová, Roman Svoboda, and Michal Štěbeták. "Social and Economic Aspects of Sustainable Development of Livestock Production and Meat Consumption in the Czech Republic." Agriculture 11, no. 2 (January 26, 2021): 102. http://dx.doi.org/10.3390/agriculture11020102.
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The aim of this article was to express social and economic aspects of the sustainable livestock production in relation to meat consumption in the Czech Republic and to predict the possibilities of further development of livestock production in the conditions of Czech agriculture. With the accession of Czechia to the EU (2004), the structure of Czech agriculture changed to the detriment of livestock production. The decisive sectors of livestock production are pig breeding, cattle breeding and poultry farming. This article (contribution) analyzes trends in the development of production in the basic categories of livestock, and it evaluates the degree of self-sufficiency of the economy in the given sector of agricultural production and the consumption of individual types of meat in Czechia. Using Holt’s model of statistical analysis, it then predicts the future consumption of meat and its individual types in the Czech Republic in the years 2020–2024. As research has shown, the sustainable development of livestock production and meat consumption in the Czech Republic depends not only on the mutual size of meat production and consumption or its quality, but also significantly on the market prices of meat (including world prices), as well as changes in eating habits of the population.
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Ahmadi, N. A., and M. Meshkehkar. "An abattoir-based study on the prevalence and economic losses due to cystic echinococcosis in slaughtered herbivores in Ahwaz, south-western Iran." Journal of Helminthology 85, no. 1 (April 19, 2010): 33–39. http://dx.doi.org/10.1017/s0022149x10000234.
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AbstractA 10-year (1998–2008) retrospective study was carried out to investigate the prevalence and long-term trend of hydatid disease in slaughtered herbivores in the large complex abattoir of Ahwaz (the capital of Khuzestan province, south-western Iran). A total of 3,583,417 animals including 2,815,982 sheep, 427,790 goats and 339,645 cattle were inspected macroscopically for hydatid cysts in the 10-year period, and overall 155,555 (4.24%) livers and 228,172 (6.37%) lungs were condemned. Cystic echinococcosis (CE) was responsible for 36.08% and 48.04% of total liver and lung condemnations, respectively. The prevalence of pulmonary hydatid disease in sheep, goats and cattle was 2.22, 5.43 and 6.99%, respectively; on the other hand, the prevalence of hepatic hydatid disease for those animals was 1.26, 2.57 and 2.80%, respectively. Data showed an overall downward long-term trend for CE in all livestock slaughtered during the study period (P < 0.01). Lung condemnation due to CE was significantly more common than liver condemnation for each animal separately (P < 0.001). The prevalence of liver and lung hydatidosis in sheep was significantly lower than that in other livestock (P < 0.001). The prevalence of hydatid disease recovered from the sheep, cattle and goats varied in different seasons, but there was no statistical difference between various seasons. The odds ratio of lung and liver condemnations due to hydatidosis showed a slightly different pattern in some years; however, the overall declining trend was still observed. The total annual economic loss incurred due to hydatidosis in all ruminants slaughtered at Ahwaz municipal abattoir was estimated to be US$459,659.6, based on the market prices in the year 2008. This number corresponds to a loss of US$300,620.4 for cattle, US$123,490.0 for sheep and US$35,549.2 for goats. The current results provide baseline data for the future monitoring of this potentially important disease in the region, and also suggest that a thorough investigation leading to a disease control strategy is required to reduce the economic and public health consequences of CE.
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Gupta, Shashi, Himanshu Choudhary, and D. R. Agarwal. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market." Global Business Review 19, no. 3 (February 15, 2018): 771–89. http://dx.doi.org/10.1177/0972150917713882.
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The present article is an attempt to empirically investigate the long-term market efficiency and price discovery in Indian commodity futures market. The study has been conducted with eight commodities which include two agricultural commodities, two industrial commodities, two precious metal and two energy commodities. Sophisticated statistical methods like restricted cointegration and vector error correction model (VECM) are used to analyse the spot and futures prices time series. Restricted cointegration test shows that near-month futures prices for all the commodities are cointegrated with the spot prices but futures prices of all the commodities are inefficient to predict the future spot price. Indian commodity futures market evidenced as the thinly traded market (Kumar & Pandey, 2013, Journal of Indian Business Research, 5(2), 101–121) rejects the null hypothesis of efficiency and unbiasedness for all the eight commodities which reconfirms the result of Fortenbery and Zapata (1997, Journal of Futures Markets, 17(3), 279–301). The presence of short-term biases in the Indian futures market is evidenced in the results of VECM model which indicates the presence of informational efficiency. The statistically significant value of past prices of spot and futures confirm the short-term inefficiency and biasedness. The significant value of error correction term (ECT) of futures prices suggests that commodity futures are the most important indicator of commodity price movements. The important implication of the results is for market traders. They can use the futures prices to discover the new equilibrium and earn profits by transmitting it to the spot market. The better understanding of the interconnectedness of these market would be useful for policymakers who try to establish stability in the financial markets.
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BHANUMURTHY, N. R., PAMI DUA, and LOKENDRA KUMAWAT. "WEATHER SHOCKS AND AGRICULTURAL COMMODITY PRICES IN INDIA." Climate Change Economics 04, no. 03 (August 2013): 1350011. http://dx.doi.org/10.1142/s2010007813500115.
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We analyze the impact of weather shocks on price formation in spot and futures market for food in India where until the recent introduction of commodity futures markets in 2005, the transmission of these shocks to short-term (spot) price movements was unclear. Hitherto, the price discovery mechanism was weak and end price was expected to be different (mostly higher unless some product prices were administered) from the market-clearing price. In addition, this weak mechanism was expected to result in higher price volatility. The introduction of a futures market is expected to reduce risk, a major component in agricultural production as well as in price formation. Though the commodity futures market in India is nascent, we model transmission of weather shocks to futures and spot prices using monthly data. Based on cointegration analysis, our results suggest strong long-run co-movement between futures prices and spot prices for commodities traded in futures markets. Changes in rainfall affect both futures and spot prices with different lags. However, rainfall shocks generate larger responses from futures prices than from spot prices. Although there could be other factors that affect futures prices, after controlling for fuel prices, our results clearly show the transmission mechanism of weather shocks from futures to spot prices. We also explore the changes in responsiveness of prices of major agricultural commodities to rainfall with introduction of futures contracts to facilitate the pass-through of various types of shocks to agricultural commodity prices. Using smooth transition regression, we find that the bivariate relationships between rainfall and prices of rice, wheat and pulses show some nonlinearity with the structural change happening after the introduction of futures market. These relations are found to be much stronger in the post-structural change period that broadly coincides with the introduction of futures market.
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Wahid, Muhammad Irsan Y. Hi, Puji Handayati, and Rizky Firmansyah. "Reporting Biological Assets on SAK-ETAP Perspective (A Case Study on Dairy Cattle Farming in Dairy Farming in Oro-Oro Ombo Village, Batu City)." International Journal of Accounting & Finance in Asia Pasific 3, no. 3 (October 31, 2020): 58–68. http://dx.doi.org/10.32535/ijafap.v3i3.953.
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The purpose of this study was to determine how the accounting treatment of biological assets according to the SAK-ETAP perspective regarding recognition, measurement, reporting and disclosure of financial statements. Suggest that you record financial reports according to SAK ETAP standards so that they can be used as decision-making materials for Oro-oro Ombo's dairy farms. reporting of biological assets in accordance with standards and also in accordance with existing facts can be profitable in the dairy farming business in the future. This research is a qualitative research with a case study research type. The subjects of this study were Oro-oro Ombo's dairy farm and the research object was dairy cows. The primary data used in this study are the results of interviews with informants who are directly responsible for managing the cattle farm business. Meanwhile, secondary data is used to support the primary in the form of documents that are related to the object of research. The results showed that the recognition of biological assets in the form of cows in accounting treatment according to cattle breeding is recognized as fixed assets and the measurement of biological assets is measured at fair value or equal to market prices. The reporting carried out by the farm includes a simple report that only shows the amount of income received for a month and also records the expenses incurred by the farm. Disclosure of biological assets on farms in the form of dairy cows contains a policy that does not recognize the classification of assets based on assets based on the productive life of the assets. So that the biological assets on Oro-oro Ombo's dairy farm, starting from recognition, measurement, reporting and disclosure are not in accordance with SAK-ETAP standards.
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Yoon, Byung-Sam, and B. Wade Brorsen. "Market Inversion in Commodity Futures Prices." Journal of Agricultural and Applied Economics 34, no. 3 (December 2002): 459–76. http://dx.doi.org/10.1017/s107407080000924x.
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In an inverted market, current prices are higher than future prices and thus the price of storage is negative. Market inversions as measured with futures spreads rarely occur during early months of the crop year. However, market inversions frequently occur across crop years and near the end of the crop year. In the last half of the crop year, market inversions clearly reflect a signal to sell stocks. Too few inversions occur early in the crop year to reach a definitive conclusion for that period. Behavioral finance offers possible explanations of why producers would hold stocks in an inverted market.
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Muhammad Asif Ali, Muhammad Asif Ali, and Dr. Naveed Hussain Shah. "Relationship Between Spot Prices and Futures Prices: Evidence From Karachi Stock Exchange." Journal of Business & Tourism 5, no. 2 (November 6, 2021): 109–23. http://dx.doi.org/10.34260/jbt.v5i2.144.
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This study investigates the relationship between futures prices and their underlying spot prices of the stocks trading on Pakistan stock market. Data on the monthly closing prices of future contracts and their underlying stocks of 30 companies for the period January 2004 to June 2014 have been taken for analysis. Descriptive statistics, Augmented Dicky Fuller test for unit root testing, Johnson Co-integration test, Granger causality test and Vector Error Correction Model are used. The results confirms significant long term relationship between futures prices and the associated Spot prices in case of 26 companies. The report of Granger causality test indicates that a Bi-directional causality lack to exist in case of each security, VECM shows that Spot prices for current month are effected by previous month prices in case of 7 companies, while futures prices of current month are affected by previous month prices in case of 4 companies. VECM illustrates that the volatility shocks in spot market are less effected by futures market, however the volatility shocks in corresponding futures market were strongly and significantly affected by spot market volatility.
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Blank, Steven C. "Price Dependence and Futures Price Theory." Northeastern Journal of Agricultural and Resource Economics 14, no. 2 (October 1985): 169–76. http://dx.doi.org/10.1017/s0899367x00000933.
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A new interpretation of commodity futures price theory is evaluated because, currently, many products exhibit price behavior which cannot be explained with existing theory. A method for classifying products according to the particular price theory relevant to them is provided. The classification method uses the futures price dependence enforced by arbitrage opportunities in spot markets as its base. The futures markets for beef cattle and corn are used as examples.
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Holmes, Mark J., and Jesús Otero. "A tale of two coffees? Analysing interaction and futures market efficiency." Studies in Economics and Finance 37, no. 1 (January 30, 2020): 89–109. http://dx.doi.org/10.1108/sef-09-2019-0356.
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Purpose The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices. Design/methodology/approach Futures market efficiency is associated with the existence of a long-run equilibrium relationship between spot and future prices such that coffee futures prices are unbiased predictors of future spot prices. This study applies unit root testing to daily data for futures-spot price differentials. A range of maturities for futures contracts are considered, and the study also uses a recursive approach to consider time variation in futures market efficiency. Findings The other milds and Robusta futures prices tend to be unbiased predictors for their own respective spot prices. The paper further finds that other milds and Robusta futures prices are unbiased predictors of the respective Robusta and other milds spot prices. Recursive estimation suggests that the futures market efficiency associated with these cross cases has increased, though with no clear link to the implementation of the 2007 International Coffee Agreement. Originality/value The paper draws new insights into futures market efficiency by examining the two key types of coffee and analyses the potential interactions between them. Hitherto, no attention has been paid to futures contracts of the Robusta variety. The employment of unit root testing of spot futures coffee price differentials can be viewed as more stringent than an approach based on non-cointegration testing.
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Khan, Safi Ullah. "Role of the Futures Market on Volatility and Price Discovery of the Spot Market: Evidence from Pakistan’s Stock Market." LAHORE JOURNAL OF ECONOMICS 11, no. 2 (July 1, 2006): 107–21. http://dx.doi.org/10.35536/lje.2006.v11.i2.a6.
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This paper focuses on the role of the financial futures market in the volatility of Pakistan’s stock market and determines whether the stock futures price is capable of providing some relevant information for predicting the spot price. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) approach is used to measure volatility in the spot and the futures market and to analyze the relationships between spot and futures market volatility. Causality and feedback relationships between the two markets are analyzed and determined through the Vector Error Correction Model (VECM). Empirical results support the evidence that spot prices generally lead the futures prices in incorporating new information, and that volatility in the futures market does not increase volatility in the spot market. Rather the study finds more consistent support for the alternative hypothesis that volatility in the futures market may be an outgrowth of the volatile spot market.
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Brunetti, Celso, Bahattin Büyükşahin, and Jeffrey H. Harris. "Speculators, Prices, and Market Volatility." Journal of Financial and Quantitative Analysis 51, no. 5 (October 2016): 1545–74. http://dx.doi.org/10.1017/s0022109016000569.
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We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.
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Sheng, Chunguang, Guangyu Wang, Yude Geng, and Lirong Chen. "The Correlation Analysis of Futures Pricing Mechanism in China’s Carbon Financial Market." Sustainability 12, no. 18 (September 7, 2020): 7317. http://dx.doi.org/10.3390/su12187317.
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China, taking the concept of sustainable development as the premise, puts forward Intended Nationally Determined Contributions (INDC) to reduce the greenhouse gas emissions in response to climate change. In this context, with the purpose of seeking solutions to a carbon financial market pricing mechanism to build China’s carbon finance market actively and thus achieving the goal of sustainable development, this paper, based on the autoregressive integrated moving average (ARIMA) model, established a carbon price prediction model for the carbon financial market, and studied the relationship between Certified Emission Reduction (CER) futures prices and spot prices, as well as the relationship between European Union allowances (EUA) futures prices and CER futures prices in an empirical manner. In this paper, EUA and CER futures prices of the European Climate Exchange (ECX) and EUA and CER spot prices of the BlueNext Environmental Exchange were selected as research objects. Granger causality test, co-integration test, and ECM were used to form a progressive econometric analysis framework. The results show that firstly, the ARIMA model can effectively predict carbon futures prices; secondly, CER futures prices cannot guide spot price, and the futures pricing function does not play a role in this market; thirdly, EUA futures price can, in the short term, effectively guide the trend of CER futures prices, with the futures pricing function between the two markets. In the long run, however, the future pricing function of the two markets is not obvious. Therefore, great differences among maturity of the two markets, degree of policy influence, and market share lead to the failure of long-run futures pricing functions.
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Kim, Kyungsik, and Seong-Min Yoon. "Multifractal Measures for Bond Futures Prices in Futures Exchange Market." Journal of the Physical Society of Japan 73, no. 1 (January 15, 2004): 49–52. http://dx.doi.org/10.1143/jpsj.73.49.
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Venter, Pierre J., and Eben Maré. "Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing." Journal of Risk and Financial Management 14, no. 6 (June 10, 2021): 261. http://dx.doi.org/10.3390/jrfm14060261.
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In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a symmetric model is a better fit when applied to Bitcoin futures returns, and also produces more accurate option prices compared to market prices for two out of three expiry dates considered.
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Ahmed, Osama, and Fadi Abdelradi. "Understanding the Dependence Structure Between the Futures and Spot Prices of Wheat in Egypt." International Journal of Food and Beverage Manufacturing and Business Models 4, no. 1 (January 2019): 20–37. http://dx.doi.org/10.4018/ijfbmbm.2019010102.
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The aim of this article is to check the dependence structure for the futures-spot prices link of Egyptian wheat. Co-movements between prices are assessed by a GJR-GARCH model and semi-parametric copula estimation. Results suggest a positive futures-spot prices link, which becomes stronger the closer the markets are. Evidence of asymmetric behavior of the prices at times of extreme market situations is found. As a result, increases in wheat futures prices are expected to be passed to the Egyptian spot market, while the prices decline is not passed. This implies that the Egyptian wheat market cannot protect consumers against extreme international wheat price increases.
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Chang, Kai. "Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory." Discrete Dynamics in Nature and Society 2013 (2013): 1–8. http://dx.doi.org/10.1155/2013/905329.
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Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCH model. Our empirical results show that conditional variance, conditional covariance, and their correlation between between spot and futures prices exhibit time-varying trends. Conditional volatility of spot prices, conditional volatility disturbed from futures market, and conditional correlation of market noises implied from spot and futures markets have significant effects on time-varying hedge ratios and hedging effectiveness. In the immature emissions allowances market, market participants optimize portfolio sizes between spot and futures assets using historical market information and then achieve higher risk reduction of assets portfolio revenues; accordingly, we can obtain better hedging effectiveness through time-varying hedge ratios with departures from the cost-of-carry theory.
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Shuldiner, Alec, and Gregory X. Norkus. ""Buying Prices on the Commodity Futures Market." Cornell Hotel and Restaurant Administration Quarterly 37, no. 3 (June 1996): 30–35. http://dx.doi.org/10.1177/001088049603700316.
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SHULDINER, A. "?Buying prices? on the commodity futures market." Cornell Hotel and Restaurant Administration Quarterly 37, no. 3 (June 1996): 5. http://dx.doi.org/10.1016/0010-8804(96)86811-x.
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GULCAN, Nazligul, Samet GURSOY, and Ismail CELIK. "Return Volatility Spread in Commodity Volatility Indices: Spot and Future Market Research." Economics and Finance Letters 9, no. 2 (July 21, 2022): 157–69. http://dx.doi.org/10.18488/29.v9i2.3071.
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Volatility Indices are an important indicator for investors to accurately predict returns and risks in case of uncertainty in the markets. In this study, the effects of the gold, silver, and oil volatility indices (GVI, SVI and OVI) on the returns and volatility of both spot and futures assets were investigated using the VAR-EGARCH procedure. The findings of the study reveal that both the GVI and gold futures prices have a positive effect on gold spot prices. At the same time, it has been determined that gold futures prices are obtained from the GVI and gold spot prices. On the other hand, although SVI and future prices were effective on silver spot prices, only SVI lagged prices were effective on silver futures. Finally, OVI and oil future returns were ineffective on oil spot prices, and only OVI returns were effective on oil future prices.
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Özdemir, Letife. "Causality Relationship between Spot and Futures Bitcoin Prices in CME." Journal of corporate governance, insurance and risk management 8, no. 2 (May 15, 2021): 158–69. http://dx.doi.org/10.51410/jcgirm.8.2.11.
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To protect against risks arising from fluctuations in spot prices and better manage risk, investors might evaluate futures markets. The role of price discovery in the futures markets and the possibility of reducing certain risks increase the importance of researching the relationship between spot and futures prices. This study aims to determine whether there is a relationship between the Bitcoin spot prices and the Bitcoin futures prices. To this end, the relationship between the two markets is analyzed using Johansen Cointegration analysis and Vector Error Correction Model (VECM) using the daily data of the period 02.23.2017 – 08.31.2021. Unit root tests show that each series are not stationary at the level values and that the first differences of the series are stationary. The results of the cointegration analysis show that there is a long-term equilibrium relationship between the bitcoin spot market and the bitcoin futures market, and it is a single cointegration vector. The Granger causality test based on the vector error correction model was used to determine the causality relationship between the series. It has been determined that there is a unidirectional causality relationship from the Bitcoin spot market to the Bitcoin futures market. Bitcoin is a new financial tool that attracts the attention of investors. Investors make transactions on Bitcoin for speculative purposes. Therefore, unlike other investment instruments, spot prices in the bitcoin market affect futures prices.
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OUD, MOHAMMED A. ABA, and JOANNA GOARD. "VALUATION OF OPTIONS ON OIL FUTURES UNDER THE 3/4 OIL PRICE MODEL." International Journal of Theoretical and Applied Finance 18, no. 08 (December 2015): 1550050. http://dx.doi.org/10.1142/s0219024915500508.
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Recently, an empirically-validated one-factor model with a 3/4-power diffusion term was introduced in the literature to model oil prices and value futures contracts on oil. In this paper, we provide an exact and analytic approximation for European call option prices on futures under a 3/4-power futures model. The analytic approximation, valid for short times to expiry is then calibrated to market prices. Results from the calibration show that the analytic approximation formula outperforms current popular options on futures formulae in capturing market prices.
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Kang, Seok Kyu. "The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market." Journal of Derivatives and Quantitative Studies 15, no. 1 (May 31, 2007): 73–100. http://dx.doi.org/10.1108/jdqs-01-2007-b0003.
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This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005. The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Third. for shorter maturity. the futures price appears to be the best forecaster of spot price. Forth, bivariate GARCH hedging effectiveness outperforms the naive and OLS hedging effectiveness. The implications of these findings show that KOSPI200 futures market behaves as unbiased predictor of future spot price and risk management instrument of KOSPI200 spot portfolio.
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Koy, Ayben. "Modelling Nonlinear Dynamics of Oil Futures Market." Econometric Research in Finance 2, no. 1 (April 1, 2017): 23–42. http://dx.doi.org/10.33119/erfin.2017.2.1.2.
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Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study findings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.
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Čermák, Michal, and Marie Ligocká. "Could Exist a Causality Between the Most Traded Commodities and Futures Commodity Prices in the Agricultural Market?" Agris on-line Papers in Economics and Informatics 14, no. 4 (December 30, 2022): 11–25. http://dx.doi.org/10.7160/aol.2022.140402.
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Nowadays, many financial and academic practitioners explore the area of high-frequency forecasting in new dimensions. Research on agricultural commodities is an important issue for food policy and security. This paper is focused on the causality between the spot prices and futures prices of the main traded agricultural commodities. Thus, the Granger causality was used to identify the relationship between spot and futures prices of commodities. Our results show the Granger causality between cash prices and futures prices of wheat and cocoa. However, there is also causality in the opposite direction in the case of wheat. Causality could be related, among other things, to a specific market position of the commodity, food policy, historical aspects, the sensitivity of the market, speculation activity, tax policy, and particular interconnection of the market with the energy commodities market. In the price process of cash and futures wheat prices, inventories and storage play an important role.
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Herbert, John H. "Do Changes in Natural Gas Futures Prices Influence Changes in Natural Gas Spot Prices?" Energy Exploration & Exploitation 11, no. 5 (October 1993): 467–72. http://dx.doi.org/10.1177/014459879301100506.
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Data on natural gas futures and spot markets are examined to determine if variability in price on futures markets influences variability in price on spot markets. Using econometric techniques, it is found that changes in futures contract prices do not precede changes in spot market prices.