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Journal articles on the topic 'Commodity market'
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1
G, Santhoshkumar, Jayanthy S, and Velanganni R. "Analysis of Commodity Market." Journal of Advanced Research in Dynamical and Control Systems 11, no. 0009-SPECIAL ISSUE (September 25, 2019): 1417–20. http://dx.doi.org/10.5373/jardcs/v11/20192758.
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Yamori, Nobuyoshi. "Co-Movement between Commodity Market and Equity Market: Does Commodity Market Change?" Modern Economy 02, no. 03 (2011): 335–39. http://dx.doi.org/10.4236/me.2011.23036.
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Offutt, Susan E., and David Blandford. "Commodity market instability." Resources Policy 12, no. 1 (March 1986): 62–72. http://dx.doi.org/10.1016/0301-4207(86)90049-8.
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Złoty, Marcin. "Financialization of Commodity Market." Studia Humana 10, no. 3 (June 1, 2021): 53–60. http://dx.doi.org/10.2478/sh-2021-0018.
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Abstract The aim of the article is to present possible consequences caused by the development of commodity market financialization understood by the influence of financial investor’s speculation. Also the task of elaboration is to outline the existence of financial factors in the price creation process of commodities. The existing impact of financialization on the volatility of commodity prices significantly modifies the market. The results of the research and analyzes carried out indicate a similarity in the behavior of the markets of commodities. The situation results from the redistribution of the risk of financial investors who having a few goods in the investment portfolio, next to large transaction volumes affect the unification of price trends. Price shaping factors are being transformed. The decrease importance of supply or consumption in the context of the commodities market changes its form. The growing influence of investors who create numerous speculations transforms the market. Trade in futures contracts affects the level of commodities prices.
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Dubey, Priti, and Rishika Shankar. "Determinants of the Commodity Futures Market Performance: An Indian Perspective." South Asia Economic Journal 21, no. 2 (September 2020): 239–57. http://dx.doi.org/10.1177/1391561420970837.
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This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.
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Kunkler, Michael. "Commodity Market Heterogeneity and Cross-Market Integration." Applied Finance Letters 6, no. 01 (December 6, 2017): 16–27. http://dx.doi.org/10.24135/afl.v6i01.61.
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We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financial-crisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in commodity futures returns. The commodity-market risk factor is significantly correlated with the dominant market-wide risk factors from other asset classes: +66.7% with a market risk factor for the US equity market; -74.2% with a US dollar risk factor for the FX market; and -27.8% with an interest-rate level risk factor for the US interest rate market. Thus, a part of the systematic variation in the commodity market is integrated with other asset classes.
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Bhagwat, Shree, and Angad Singh Maravi. "THE ROLE OF FORWARD MARKETS COMMISSION IN INDIAN COMMODITY MARKETS." International Journal of Research -GRANTHAALAYAH 3, no. 11 (November 30, 2015): 87–105. http://dx.doi.org/10.29121/granthaalayah.v3.i11.2015.2919.
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This paper examines the role of Forward Markets Commission (FMC) in Indian Commodity Markets. The Results show important developments of Forward Markets Commission. Commodity futures and derivatives have a crucial role to play in the price risk management process, especially in agriculture sector. The significance of commodity derivatives has increased in the current scenario. India has long history of trade in commodity derivatives. Organized commodity derivatives in India started as early as 1875, barely about a decade after they started in Chicago. Since 2003, when commodity futures’ trading was permitted, commodity futures market in India has experienced an unprecedented boom in terms of the number of modern exchanges, number of commodities allowed for derivatives trading as well as the value of futures trading in commodities. There are 6 national and 16 regional commodity exchanges recognized and regulated by the FMC. Different types of commodities such as agricultural; bullion, plantation, energy etc. is traded on commodity exchanges in the country. So considering these points an attempt has been made to know the regulatory framework of commodity futures and derivatives market in India and various developments in Indian commodity market and commodity exchanges. This study is an attempt to investigate the performance of Forward Markets Commission in India and its role in Indian commodity market.
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Liu, Qingfu, Qian Luo, Yiuman Tse, and Yuchi Xie. "The market quality of commodity futures markets." Journal of Futures Markets 40, no. 11 (April 8, 2020): 1751–66. http://dx.doi.org/10.1002/fut.22115.
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Kumar, Brajesh, and Ajay Pandey. "Market efficiency in Indian commodity futures markets." Journal of Indian Business Research 5, no. 2 (May 31, 2013): 101–21. http://dx.doi.org/10.1108/17554191311320773.
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Tomaszewski, Jacek. "Financialization of Commodity Markets and Regulation of European Union Commodity Derivatives Market." Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia 79 (2016): 137–47. http://dx.doi.org/10.18276/frfu.2016.79-10.
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Christoffersen, Peter, Asger Lunde, and Kasper V. Olesen. "Factor Structure in Commodity Futures Return and Volatility." Journal of Financial and Quantitative Analysis 54, no. 3 (August 28, 2018): 1083–115. http://dx.doi.org/10.1017/s0022109018000765.
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We uncover stylized facts of commodity futures’ price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008–2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.
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Manelli, Alberto, and Arif Khurshed. "The Sustainable Commodity Market." RIVISTA DI STUDI SULLA SOSTENIBILITA', no. 2 (December 2015): 71–82. http://dx.doi.org/10.3280/riss2015-002007.
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Mednikov, Boris V., Vladimir I. Mednikov, and Stepan V. Mednikov. "COMMODITY MARKET MATH MODELS." Statistics and Economics, no. 2 (January 1, 2015): 194–98. http://dx.doi.org/10.21686/2500-3925-2015-2-194-198.
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Giot, Pierre, and Sébastien Laurent. "Market risk in commodity markets: a VaR approach." Energy Economics 25, no. 5 (September 2003): 435–57. http://dx.doi.org/10.1016/s0140-9883(03)00052-5.
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Ranganathan, Thiagu, and Usha Ananthakumar. "Market efficiency in Indian soybean futures markets." International Journal of Emerging Markets 9, no. 4 (September 9, 2014): 520–34. http://dx.doi.org/10.1108/ijoem-12-2011-0106.
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Purpose – The National commodity exchanges were established in India in the year 2003-2004 to perform the functions of price discovery and price risk management in the economy. The derivatives market can perform these functions properly only if they are efficient and unbiased. So, there is a need to properly evaluate these aspects of the Indian commodity derivatives market. The purpose of this paper is to test the market efficiency and unbiasedness of the Indian soybean futures markets. Design/methodology/approach – The paper uses cointegration and a QARCH-M-ECM-based framework to test the market efficiency and unbiasedness in the soybean futures contract traded in the National Commodity Derivatives Exchange (NCDEX). The cointegration test is used to test the long-run unbiasedness and market efficiency of the contract, while the QARCH-M-ECM model is used to test the short-run market efficiency and unbiasedness of the contract by allowing for a time-varying risk premium. The price data is also tested for presence of structural breaks using a Zivot and Andrews unit root test. Findings – The soybean contract is unbiased in the long run, but there are short-run market inefficiencies and also a presence of a time-varying risk premium. Though the weak form of market efficiency is rejected in the short run, the semi-strong market efficiency is not rejected based on the forecasts. Originality/value – This is the first paper to consider time-varying risk premium while performing the tests of market efficiency and unbiasedness on Indian commodity markets.
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Lisyuk, Volodimir, and Viktor Diordiiev. "TRANSFORMATION OF MARKET LOGISTICS IN THEORETICAL REPRESENTATION AND PRACTICAL APPLICATION." Economics: time realities 3, no. 49 (June 23, 2020): 87–93. http://dx.doi.org/10.15276/etr.03.2020.11.
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The article presents an analysis of the essence of logistics as an object of scientific research and as an organizational mechanism aimed at streamlining the functioning of commodity markets. It has been determined that such an organizational essence of logistics affects the efficiency of commodity movement along the logistics chain of the market, and, on the other hand, the efficiency of the activities of the logistics entities themselves. It is shown that the process of commodity circulation in the market is based on a commodity exchange operation. Tying the theory of logistics to the theory of commodity markets, the authors consider it expedient and reasonable to introduce the concept of "market logistics" or "market logistics" into scientific and practical circulation. On this basis, an analysis of the difference in goals, functions and mechanisms of these scientific categories is presented.
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Szturo, Marek, and Bogdan Włodarczyk. "New financial markets and their impact on raw material prices." Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia 53, no. 3 (November 28, 2019): 85. http://dx.doi.org/10.17951/h.2019.53.3.85-92.
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<p>The purpose of the study was to determine the impact of the Chinese financial market, which is a new market, on the exchange rates of commodity currencies and, thus, the prices of raw materials. For this purpose, an autoregressive distributed lag model (ARDL) was used. The results indicate that the Chinese stock market and futures market for the yuan (the Chinese Yuan Non-Deliverable Forward Transactions; CNY NDF market) had a significant impact on commodity currencies before the global financial crisis in 2008/09, then the effect widened to include more commodity currencies in the post-crisis period. Further evidence suggests that the CNY NDF market had a greater impact on commodity currencies than the Chinese stock market. Despite the significant position of the Chinese economy, research also indicates that the impact of Chinese financial markets on commodity currencies (raw material prices) is weaker than the impact of the US stock market and US dollar market.</p>
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Ding, Shusheng, Zhipan Yuan, Fan Chen, Xihan Xiong, Zheng Lu, and Tianxiang Cui. "Impact persistence of stock market risks in commodity markets: Evidence from China." PLOS ONE 16, no. 11 (November 8, 2021): e0259308. http://dx.doi.org/10.1371/journal.pone.0259308.
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The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.
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Sehgal, Sanjay, Namita Rajput, and Rajeev Kumar Dua. "Price Discovery in Indian Agricultural Commodity Markets." International Journal of Accounting and Financial Reporting 2, no. 2 (August 10, 2012): 34. http://dx.doi.org/10.5296/ijafr.v2i2.2224.
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In this paper, the price discovery relationship for ten agricultural commodities has been examined. Price discovery is confirmed for all commodities except Turmeric. Price discovery results are encouraging given the nascent character of commodity market in India. However the market does not seem to be competitive. The findings have implications for policy makers, hedgers and investors and will help in deeply understanding the role of futures market in information dissemination. The commodity exchanges must strengthen their surveillance system for early detection on continuous basis of anomalous trading behaviour. These markets are becoming informationally mature and market regulators have taken adequate steps for market development. Forwards Market Commission (FMC) should be given adequate powers to regulate commodity market and penalise any insider trading and price manipulations. Well-organized spot markets must be developed, ensuring transparency and trading efficiency. Electronically traded spot exchanges must be developed and warehousing; testing labs as well as other eco-system linkages must be established to strengthen the derivative market trading mechanism for efficient price discovery mechanism.
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LISYUK, V. M., I. A. TOPALOVA, and ANICA HUNJET. "AN IDEOLOGICAL PRINCIPLE FORMING THE MARKET LOGISTICS THEORY." Economic innovations 20, no. 2(67) (June 20, 2018): 119–29. http://dx.doi.org/10.31520/ei.2018.20.2(67).119-129.
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Topicality. In the conditions of a developed market economy and the deepening of the specialization of business entities, the theory of logistics is more oriented towards enterprises, and not to markets, and needs some market reorientation. Under the pressure of market processes, scientists are trying to generalize the market logistics processes of goods through the introduction of such concepts as: "logistics system", transport, marketing logistics. Further analysis of the theory of logistics requires attention to the main element of the market - the product, given that all economic actors in a market economy operate in a market environment, that is within the relevant commodity markets. That is, any business entity belongs to a certain commodity market ie it operates within a defined commodity market. Note that the product is precisely the element that determines the market - the commodity market. Consequently, the realization of the functions of the commodity movement combines the respective economic entities among themselves into the logistic chain of the commodity market. The logistic chain is a clearly defined route of a commodity wheel with logistic transitions, in which there are changes in the nature of the flow of goods, as well as changes in ownership. Aim and tasks. The purpose of this article is to develop approaches to the formation of the theory of market logistics on the reproductive principle. Research results. Development of proposals for the formation of the theory of market logistics on the reproductive principle. The definition of the category "market logistics" is given, the principles on which effective logistic chains of commodity markets should be organized and their reproductive processes must be formed. Conclusions. Construction of an effective reproduction market logistics is also provided by the minimum costs associated with the flow of material flow from the supplier to the consumer at the minimum possible date. However, the real process of movement of goods in the market is associated with the appearance on its way of some obstacles (barriers), or points of logistical gaps, which, on the one hand, leads to increased opium and increased costs for overcoming it, and on the other hand, to forced warehousing (delay) when there is a lack of bandwidth of the market chain links. Therefore, the task of the next research of market logistics is to determine ways to overcome these obstacles or gap, which impair the ideal conditions for the movement of material flows, channels of commodity movement as a deviation from a single straight line.
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LISYUK, V. M. "THEORY OF MARKET LOGISTICS DEVELOPMENT IN SPATIAL AND TIMELINE DIMENSION." Economic innovations 21, no. 4(73) (December 20, 2019): 113–24. http://dx.doi.org/10.31520/ei.2019.21.4(73).113-124.
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Topicality. The relevance of this study is to determine the factors that accelerate the process of development of the national economy based on the development of real sector markets. Current theory draws attention to the need to significantly reduce logistics costs in these markets. The latter include the full range of costs incurred in moving a product or service from the place of production to the end consumer. Today, in the world due to high production levels, the economic focus is on meeting the needs of consumer markets, and the expansion of geographic boundaries of markets due to the development of global processes is forcing effective ways of supply to the farthest corners of the continent. Therefore, the most powerful manufacturers - corporations spend considerable efforts to win new consumer markets. The governments of the countries are also involved in this fight. In the process there are so-called trade wars. In our view, the most effective tool in this competition is to create effective logistics for commodity markets. Aim and tasks. The purpose of the article is to investigate the hypothesis of the need to introduce the concept of "market logistics" in the general theory of logistics and research of this category. Research results. In the course of the research the necessity of the term "market logistics" or "market logistics" was proved, its essence was revealed and definitions were given. Mechanisms that promote the promotion of goods in the market (commodity movement), which contribute not only to the commodity movement, but also to the reproduction of other resources (financial, labor, etc.) involved in the logistics chain and their classification are disclosed. The differences in the interpretation and application of the mechanisms of the category "enterprise logistics" and "market logistics" are identified. The hypothesis is developed, the essence of which is as follows: "The effectiveness of a commodity rick depends on the efficiency of construction and organization of its logistics chain, and which, in turn, depends on its spatial and temporal parameters, ie on the extension of its geographical (territorial) boundaries and the stability of time border �. Spatial parameters of logistics chains of commodity markets are revealed, their essence is presented, and also the analysis of global value chains as a methodology of analysis of spatial parameters of commodity markets is carried out. Time parameters of logistics chains of commodity markets are defined and analyzed and mechanisms of their regulation are defined. A new view of logistics, which, unlike others, provides for taking into account the interests of the state, the participation of certain bodies in market processes, which will allow to involve management tools more widely and substantively in the development of markets. Conclusions. The overall conclusion of the research findings outlined in the scientific report is as follows. Organization of market logistics, which is built into the theory of organization of commodity markets should be based on the following principles: maximum coverage of all market entities by the organized (ordered) logistics of the relevant product market; the maximum share of value added generated in the relevant market that remains in the country (within geographic market parameters) with its corresponding return to the reproduction process of the given market; effective organization of commodity exchange operations at the points of logistic crossings (crossroads), by applying modern integration and differential economic mechanisms and technologies of logistics services (operations) execution; maximum integration of commodity markets into the national economy, by reducing the time of commodity movement through the market from producer to consumer based on the elimination of logistical gaps in logistics chains; optimization of spatial parameters of domestic commodity markets, by extension of their geographical (territorial) borders, including foreign states, provided that the added value is returned to the national economy and state support.
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Kapil, Sheeba, and Kanwal Nayan Kapil. "Commodity trading advisors (CTAs) for the Indian commodity market." International Journal of Emerging Markets 5, no. 2 (April 13, 2010): 124–37. http://dx.doi.org/10.1108/17468801011031784.
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Ding, Shusheng, Tianxiang Cui, Dandan Zheng, and Min Du. "The effects of commodity financialization on commodity market volatility." Resources Policy 73 (October 2021): 102220. http://dx.doi.org/10.1016/j.resourpol.2021.102220.
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Shen, Jiancheng, Mohammad Najand, Feng Dong, and Wu He. "News and social media emotions in the commodity market." Review of Behavioral Finance 9, no. 2 (July 10, 2017): 148–68. http://dx.doi.org/10.1108/rbf-09-2016-0060.
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Purpose Emotion plays a significant role in both institutional and individual investors’ decision-making process. Emotions affect the perception of risk and the assessment of monetary value. However, there is a lack of empirical evidence available that addresses how investors’ emotions affect commodity market returns. The purpose of this paper is to investigate whether media-based emotions can be used to predict future commodity returns. Design/methodology/approach The authors examine the short-term predictive power of media-based emotion indices on the following five days’ commodity returns. The research adopts a proprietary data set of commodity-specific market emotions, which is computed based on a comprehensive textual analysis of sources from newswires, internet news sources and social media. Time series econometrics models (threshold generalized autoregressive conditional heteroskedasticity and vector autoregressive) are employed to analyze 14 years (January 1998-December 2011) of daily observations of the CRB commodity market index, crude oil and gold returns, and the market-level sentiments and emotions (optimism, fear and joy). Findings The empirical results suggest that the commodity-specific emotions (optimism, fear and joy) have significant influence on individual commodity returns, but not on commodity market index returns. Additionally, the research findings support the short-term predictability of the commodity-specific emotions on the following five days’ individual commodity returns. Compared to the previous studies of news sentiment on commodity returns (Borovkova, 2011; Borovkova and Mahakena, 2015; Smales, 2014), this research provides further evidence of the effects of news and social media-based emotions (optimism, fear and joy) in the commodity market. Additionally, this work proposes that market emotion incorporates both a sentimental effect and appraisal effect on commodity returns. Empirical results are shown to support both the sentimental effect and appraisal effect when market sentiment is controlled in crude oil and gold spot markets. Originality/value This paper adopts the valence-arousal approach and cognitive appraisal approach to explain financial anomalies caused by investors’ emotions. Additionally, this is the first paper to explore the predictive power of investors’ emotions (optimism, fear and joy) on commodity returns.
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NASTASI, EMANUELE, ANDREA PALLAVICINI, and GIULIO SARTORELLI. "SMILE MODELING IN COMMODITY MARKETS." International Journal of Theoretical and Applied Finance 23, no. 03 (May 2020): 2050019. http://dx.doi.org/10.1142/s0219024920500193.
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We present a stochastic local volatility model for derivative contracts on commodity futures able to describe forward curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market. Cleared commodity markets for futures and options are analyzed to include in the pricing framework-specific trading clauses and margining procedures. Numerical examples for calibration and pricing are provided for different commodity products.
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Kumar Mahalik, Mantu, Debashis Acharya, and M. Suresh Babu. "Price discovery and volatility spillovers in futures and spot commodity markets." Journal of Advances in Management Research 11, no. 2 (July 29, 2014): 211–26. http://dx.doi.org/10.1108/jamr-09-2012-0039.
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Purpose – The purpose of this paper is to investigate empirically the price discovery and volatility spillovers in Indian spot-futures commodity markets. Design/methodology/approach – The study has used four futures and spot indices of Multi-Commodity Exchange, Mumbai. The study also employs vector error correction model (VECM) and bivariate exponential Garch model (EGARCH) to analyze the price discovery and volatility spillovers in Indian spot-futures commodity market. Findings – The VECM shows that agriculture future price index (LAGRIFP), energy future price index (LENERGYFP) and aggregate commodity index (LCOMDEXFP) effectively serve the price discovery function in the spot market implying that there is a flow of information from future to spot commodity markets but the reverse causality does not exist. There is no cointegrating relationship between metal future price index (LMETALFP) and metal spot price index (LMETALSP). Besides the bivariate EGARCH model indicates that although the innovations in one market can predict the volatility in another market, the volatility spillovers from future to the spot market are dominant in the case of LENERGY and LCOMDEX index while LAGRISP acts as a source of volatility toward the agri-futures market. Research limitations/implications – The results are aggregate in nature. Further study at disaggregated level will provide further insights on behavior of specific commodity prices and the price discovery process. Originality/value – The paper provides useful information about the evolution and structures of futures commodity trading in India, related literature and relevant methodology concerning the hypotheses.
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Trabelsi, Jamel, Mohamed Mehdi Jelassi, and Gaye Del Lo. "A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets." Applied Economics and Finance 4, no. 2 (January 23, 2017): 129. http://dx.doi.org/10.11114/aef.v4i2.2086.
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The purpose of this study is to provide insights on volatility features of major agricultural commodity global markets. In order to achieve this, we estimate the volatility in the global markets of crude oil and four main agricultural commodities, namely rice, wheat, cotton and coffee over the period 1980:2014. We also investigate the nexus between the volatilities in these global markets. More precisely, we first model the volatility of agricultural commodity and crude oil markets based on the GARCH methodology. Second, we assess the risk in these global markets by the Value-at-Risk technique. Finally, we evaluate the co-movements between returns in agricultural commodity and crude oil markets by the copula methodology. Our empirical findings reveal that, unlike in the financial market, upside shocks in the agricultural market tend to increase volatility more than downside shocks do. In addition to that, risk in global agricultural commodity markets turned out to be high and little evidence in favor of interdependence between these markets is found. Moreover, the co-movement between agricultural commodity market risk and oil prices is detected for recent years only and little evidence is found for the whole sample period.
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Robiyanto, Robiyanto. "Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas." Jurnal Ekonomi dan Bisnis 18, no. 2 (June 18, 2016): 53. http://dx.doi.org/10.24914/jeb.v18i2.260.
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<em>One of prominent phenomenon in capital market is month of the year effect which is the occurence of certain monthly pattern in capital market return during trading years. There were enormous researches, which had been done to explain this phenomenon in capital market but the results always varied. Unfortunately there was a few research to explain this phenomenon in commodities market. Based on these facts, research about this seasonality still need to be done both in capital market and commodities market. Data used in this study were several South East Asia monthly closing stock market indexes and several commodity product monthly closing prices such as gold, silver, platinum, paladium and West Texas Intermediate Crude Oil during January 1999 – March 2014 period. GARCH (1,1) was employed to analyze the data. The finding shows that month of the year effect still exist in capital market in South East Asia and commodity market during research period with various occurences. Each capital market and commodity market behaves variously during trading year. This may lead to an opportunity, which can be grabbed by active market switching strategy for sophisticated investors, and investors who have multiple access to regional capital markets and commodity markets.</em>
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Zelazny, Jan. "Financialization and Commodity Market Stability." e-Finanse 12, no. 4 (June 27, 2017): 33–42. http://dx.doi.org/10.1515/fiqf-2016-0006.
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Abstract Stability in supply of commodities is essential for manufacturing and doing business. This fact is unchangeable despite the passage of time and only the ways of trading of commodities differ. Especially in recent decades, the global economy has changed significantly and one of the major factors fueling its transformation is financialization. This phenomenon, gaining importance with the beginning of the 21st century, affects all areas of the economy. Commodity markets are not free of it either. This leads to various structural changes in terms of ways of trading, price formation and volatility in commodity markets. The aim of this article is to investigate the roots of financialization of commodity markets, and to assess its influence on their stabilitythrough investigation of time series data from 1991 to 2015 and examining correlation coefficients. The results of the study conducted for the purposes of this article depict not only the volatility of commodity markets, but also a positive correlation between prices of major commodities over the examined period and a positive correlation between prices of major commodities and equity markets from 2009 up to 2012, thus the period of recovery after the subprime mortgage crisis.
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Srivastav, Dr Vinay K. "Efficiency in Indian Commodity Market." Paradigm 17, no. 1-2 (January 2013): 105–10. http://dx.doi.org/10.1177/0971890720130112.
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Kristoufek, Ladislav, and Miloslav Vosvrda. "Commodity futures and market efficiency." Energy Economics 42 (March 2014): 50–57. http://dx.doi.org/10.1016/j.eneco.2013.12.001.
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S., Kirithiga, Naresh G., and Thiyagarajan S. "Spillover between commodity and equity benchmarking indices." Benchmarking: An International Journal 25, no. 7 (October 1, 2018): 2512–30. http://dx.doi.org/10.1108/bij-06-2017-0143.
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PurposeThe commodity and equity derivatives have a close resemblance between them in trade practices and mechanisms, which makes it easy for the investors to combine these two assets classes for building up their portfolio. The diversification of investment among asset classes builds some relation between them. The integration of market within a country is necessary to bring in a smooth and balanced economic growth. Thus, the purpose of this paper is to examine the spillover between the equity and commodity futures markets which will be helpful not only for the investors but also for the policy makers, producers and the regulators.Design/methodology/approachTo examine the spillover between the equity and commodity market, the major benchmarking indices of these markets, namely COMDEX of MCX, Dhaanya of NCDEX and NIFTY 50 of NSE, were chosen. NIFTY 50 index was chosen as representative of equity market due to its composition of most active constituent stocks than any other broad market index of Indian stock market. As the commodity market indices are not been traded, their constituent commodities were taken for the study. Thus, 11 MCX-COMDEX constituents such as Gold, Silver, Copper, Zinc, Aluminum, Nickel, Lead, Crude oil, Natural gas, Kapaskhali and Mentha oil and eight NCDEX-Dhaanya constituents such as Castor seed, Chana, Cotton seed oilcake, Jeera, Mustard seed, Refined soy oil, Turmeric and Wheat futures prices were taken against the NIFTY 50 futures prices with daily trading data for ten years starting from January 1, 2006 till December 31, 2015 to analyze their spillover effect. The return series data were used to test the spillover between equity and commodity futures market as it gives the crux of investors’ diversification through the Vector Autoregression (VAR) model and verified with Impulse Response Function by testing the null hypothesis,H0, that there is no return spillover between the equity and commodity futures market.FindingsThe investors move from equity to commodity when there is a threat in equity market and vice versa, thereby diversify their risk for those commodities which are vulnerable to global and domestic pressures in the economy. Investigating the spillover between equity and commodity market gives an insight of market integration effect. A nation can achieve its economic growth easily when its markets are integrated.Research limitations/implicationsThe commodity indices are still notional indices in the market; therefore, individual constituent commodities of commodities indices were considered with the benchmarking equity futures index, which is one of the limitations of the study.Practical implicationsThe integration of market within a country is necessary to bring in a smooth and balanced economic growth.Originality/valueMost of the past studies dealt only with few commodities and equities and not with the broad-based benchmarking indices. This paves way for enquiry into the commodity and equity markets integration with the major constituent commodities traded in the economy. Hence, this paper looks into the presence of spillover between the equity and commodity markets. The VAR model is verified with the impulse response function which explains the reaction of any dynamic system in response to a pulse change in another. The impulse response function is presented graphically for easy and better understanding.
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Souza, Rodrigo da Silva, and Renée Fry-McKibbin. "Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market." International Review of Economics & Finance 76 (November 2021): 781–800. http://dx.doi.org/10.1016/j.iref.2021.07.008.
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Mahanta, Dr Devajit. "Indian Commodity Derivative Market: A study of price trends in the International market." Indian Journal of Applied Research 2, no. 1 (October 1, 2011): 73–75. http://dx.doi.org/10.15373/2249555x/oct2012/25.
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Schmitz, Andrew. "Marketing Institutions in International Commodity Markets." Journal of Agricultural and Applied Economics 18, no. 1 (July 1986): 41–48. http://dx.doi.org/10.1017/s0081305200005318.
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International markets for the majority of agricultural commodities are extremely complex. They include public and private traders along with influences from domestic and international government policies. In recent years, the United States has experienced a decline in the market share in two of its major agricultural exports—rice and wheat. For example, at one time the United States had roughly 45 percent of the world wheat market; but, by the end of 1985, its share had dropped below 40 percent. Also, in terms of rice, the United States market share has dropped from 25 percent to below 20 percent.
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Tahir, Zubair, and Khalid Riaz. "Integration of Agricultural Commodity Markets in Punjab." Pakistan Development Review 36, no. 3 (September 1, 1997): 241–62. http://dx.doi.org/10.30541/v36i3pp.241-262.
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Efficiency of resource allocation in agriculture depends on the functioning of commodity markets. Although the larger markets that are better connected with the transport and communication network are expected to be well-integrated, the same cannot be said about the smaller, more remote markets. This paper tests integration of agricultural commodity markets in Southeastern Punjab. The region is located off the main trading axis of Pakistan, the Peshawar-Karachi highway, and is mostly served by relatively small markets known as mandis. This study focuses on markets for cotton, wheat, and rice in five towns in the region. Cotton and wheat are the main crops in the area while rice is mostly grown as part of crop rotation aimed at controlling salinity. The analytical framework developed by Ravallion was used to conduct tests of market integration for the three selected commodities. Within this framework, it is possible to test for short-run integration, long-run integration or complete market segmentation. The results indicate that, generally, markets are integrated only in the long run, with short-run integration limited to some special cases. Moreover, the smaller markets are more likely to be isolated as compared to the larger markets. The small markets also take longer to fully adjust to the price shock originating from a more dominant central market. Finally, in the case of rice, it is more likely that a market would be isolated if it were small. This implies that farmers’ incentives to grow rice as a means of combating salinity may be constrained by local demand conditions.
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Fortenbery, T. Randall. "Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems." Journal of Agricultural and Applied Economics 41, no. 2 (August 2009): 393–402. http://dx.doi.org/10.1017/s1074070800002868.
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This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that “protects“ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer “work.“ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading.
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MIHIR, DASH. "MARKET BEHAVIOR AND PRICE DISCOVERY IN INDIAN COMMODITY MARKETS." i-manager’s Journal on Management 11, no. 1 (2016): 12. http://dx.doi.org/10.26634/jmgt.11.1.8070.
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Gevorkyan, Aleksandr V. "Exchange market pressure and primary commodity – exporting emerging markets." Applied Economics 51, no. 22 (November 27, 2018): 2390–412. http://dx.doi.org/10.1080/00036846.2018.1545077.
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R L, Manogna, and Aswini Kumar Mishra. "Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India." Journal of Agribusiness in Developing and Emerging Economies 10, no. 4 (May 23, 2020): 447–73. http://dx.doi.org/10.1108/jadee-10-2019-0175.
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PurposePrice discovery and spillover effect are prominent indicators in the commodity futures market to protect the interest of consumers, farmers and to hedge sharp price fluctuations. The purpose of this paper is to investigate empirically the price discovery and volatility spillover in Indian agriculture spot and futures commodity markets.Design/methodology/approachThis study uses Granger causality, vector error correction model (VECM) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) to examines the price discovery and spillover effects for nine most liquid agricultural commodities in spot and futures markets traded on National Commodity and Derivatives Exchange (NCDEX).FindingsThe VECM results show that price discovery exists in all the nine commodities with futures market leading the spot in case of six commodities, namely soybean seed, coriander, turmeric, castor seed, guar seed and chana. Whereas in case of three commodities (cotton seed, rape mustard seed and jeera), price discovery takes place in the spot market. The Granger causality tests indicate that futures markets have stronger ability to predict spot prices. Supporting these, the results from EGARCH volatility test reveal that there exist mutual spillover effects on futures and spot markets. Thus, it could be inferred that futures market is more efficient in price discovery of agricultural commodities in India.Research limitations/implicationsThese results can help the market participants to benefit by hedging out the uncertainty and the policymakers to design futures contracts to improve the efficiency of the agricultural commodity derivatives market.Practical implicationsThe findings provide fresh view on lead–lag relationship between future and spot prices using the latest data confirming that futures market indeed is dominant in price discovery.Originality/valueThere are very few studies that have explored the efficiency of the agricultural commodity spot and futures markets in India using both price discovery and volatility spillover in a detailed manner, especially at the individual agriculture commodity level.
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Just, Małgorzata, and Aleksandra Łuczak. "Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods." Sustainability 12, no. 6 (March 24, 2020): 2571. http://dx.doi.org/10.3390/su12062571.
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The dynamic development of commodity derivatives markets has been observed since the mid-2000s. It is related to the development of e-commerce, the inflow of financial investors’ capital, and the emergence of exchange-traded funds and passively managed index funds focused on commodities. These advances are accompanied by changes in dependence structure in the markets. The main purpose of this study is to assess the conditional dependence structure in various commodity futures markets (energy, metals, grains and oilseeds, soft commodities, agricultural commodities) in the period from the beginning of 2000 to the end of 2018. The specific purpose is to identify the states of the market corresponding to typical patterns of the conditional dependency structure, and to determine the time of transition from one state to another. The copula-based Multivariate Generalized Autoregressive Conditional Heteroskedasticity models were used to describe the dynamics of dependencies between the rates of return on prices of commodity futures, while the dynamic Kendall’s tau correlation coefficients were applied to measure the strength of dependencies. The daily changes in the conditional dependence structure in the markets (changes in states of the markets) were identified with the fuzzy c-means clustering method. In 2000–2018, the conditional dependence structure in commodity futures markets was not stable, as evidenced by the different states of markets identified (two states in the grains and oilseeds market, the agricultural market, the soft commodities market and the metals market, and three states in the energy market).
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Dr. G. SELVALAKSHMI, Dr G. SELVALAKSHMI, and Dr A. ARUMUGAM Dr.A.ARUMUGAM. "Impact of Price Level Changes in Indian Commodity Market." Global Journal For Research Analysis 3, no. 4 (June 15, 2012): 124–27. http://dx.doi.org/10.15373/22778160/apr2014/42.
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Riley, John M. "Extension's Role in Commodity Marketing Education: Past, Present, and Future." Journal of Agricultural and Applied Economics 45, no. 3 (August 2013): 537–55. http://dx.doi.org/10.1017/s1074070800005058.
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Historically, market situation and outlook has often included some form of price forecast. Recent volatility in agricultural commodity markets is making price forecasts challenging and at times less reliable. In addressing this price volatility, changes in agricultural markets are highlighted along with price forecasts: pre- and postincreased market volatility. Given these recent challenges, the future of Extension agricultural commodity marketing is discussed.
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Aziz, Tariq, Ranjeeta Sadhwani, Ume Habibah, and Mazin A. M. Al Janabi. "Volatility Spillover Among Equity and Commodity Markets." SAGE Open 10, no. 2 (April 2020): 215824402092441. http://dx.doi.org/10.1177/2158244020924418.
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This study aims to examine volatility spillover among equity and commodity markets of the United States. The analysis focuses on crude oil (Brent and WTI [West Texas Intermediate]), rice, and gasoline. For the analysis, generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) model is applied on monthly data for the period of February 2005 to December 2016. Results show that there is no volatility spillover from commodity market (gold, oil, gas, and rice) to equity market, whereas it only exists in few commodity markets, from oil to rice and gas. The study also finds that there is neither mean spillover nor volatility spillover among gold and equity market; therefore, investor can invest in equity and gold to diversify risk of portfolio.
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Valluri, Subhakara. "Examining market concentration levels of available global financial commodity products." Research Papers in Economics and Finance 4, no. 2 (2020): 53–63. http://dx.doi.org/10.18559/ref.2020.2.5.
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The primary objective of this study is to find disparities in the commodity product offerings in various financial markets across the world along with their market concentration levels. Identifying the product gaps in commodity-based financial products offered by the worldwide financial exchanges can assist the decision-makers to fill the existing gaps and strategi-cally attain the worldwide competitive market of commodity exchanges for all nations. The Herfindahl-Hirschman Index, HHI, is used to measure market concentration grouped by geographical regions or exchanges. Our study is conducted for the time period between 2012 and 2016. The disparity analysis indicates a disparity between the various types of com-modity products traded in several exchanges across different geographical regions. Our HHI values reflect a high level of commodity market volume concentration in region-wise analysis and a moderate level of market volume concentration in the exchange-wise analysis.
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Eremic, Milan. "Razvijeni oblik trgovine na robnim berzama - trziste robnih fjucersa -." Ekonomski anali 44, no. 158 (2003): 7–43. http://dx.doi.org/10.2298/eka0358007e.
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At the very beginning of this paper, we stress the fact that capitalism, during a very long period of its emergence and development, was based on simple forms of commodity trading. It is true that capital left its mark on these simple forms. However, it did not change its simple character. Several centuries were to pass in for capital to build its own autochthonous forms of commodity exchange, the forms inherent in capitalism. The early forms of commodity futures, as the basic instrument of this developed commodity exchange, are thought to have been introduced on the Chicago Board of Trade - CBOT in 1985. The introduction of commodity futures contracts into commodity exchange enabled commodity markets to be divided into physical commodity markets and contract markets. This was the beginning of a complex system of commodity trade, the emergence of new economic entities in commodity markets and the development of a very complex system of trading, settlement and trade clearing through commodity futures contracts. The construction of this new system of commodity trade has lasted more than a century and during its gradual development a tremendous construct has been created, a market structure of extraordinary internal complexity and a solid logical design. The process of creating commodity futures market in the USA was outlined only in the early 1970s. We can say that it is an almost perfectly developed system, being today a dominant system in the world. Almost 100 percent of all commodity futures markets in the world are based on the commodity futures markets in the USA. The only exception is the London Metal Exchange, which is, although not being any less perfect, essentially different from the American exchanges.
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Zhang, Xi-Xi, Lu Liu, Chi-Wei Su, Ran Tao, Oana-Ramona Lobonţ, and Nicoleta-Claudia Moldovan. "Bubbles in Agricultural Commodity Markets of China." Complexity 2019 (December 11, 2019): 1–7. http://dx.doi.org/10.1155/2019/2896479.
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We employ the generalized supremum augmented Dickey–Fuller test to examine whether there are multiple bubbles in Chinese agricultural commodities. The proposed approach is suitable for time series data and identifies the origination and termination of multiple bubbles. The results indicate the existence of bubbles for some agricultural commodity prices, such as garlic, ginger, corn, and wheat prices, that deviate from their intrinsic values upon market fundamentals. The bubbles in the garlic and ginger market are related to speculative activities. The other bubbles, in the corn and wheat market, are associated with the rising oil price, international market, and the negative effect of stockpiling policy. The authorities should recognize bubbles and observe their evolutions, leading to Chinese agricultural commodity price stabilization. These findings suggest corresponding measures to be implemented. China should establish a unified market information release platform to avoid speculative activities and formulate a market-oriented agricultural policy to enhance competitiveness among the international markets.
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LISYUK, V. M., and T. P. LOZOVA. "PROBLEMS AND PRINCIPLES OF MARKET LOGISTICS MANAGEMENT." Economic innovations 20, no. 2(67) (June 20, 2018): 111–18. http://dx.doi.org/10.31520/ei.2018.20.2(67).111-118.
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Topicality. The most uncertain and perhaps the main among others, both in theory and in logistics, is the problem of logistics management. Especially this problem becomes relevant and important in the formulation of the theoretical and practical presentation of logistics, as the form of organization of the market system, or rather, the logistics chain of the commodity market. It has come to the point that domestic producers lose in the competition to importers due to inefficient logistics, which is better organized by foreign operators. The main reason for this is that the state has out of sight the problem of managing logistics processes, giving its solution to the salary of the relevant business structures, both internal and external. First of all, for analysis of the management system, all the constituent elements of the system should be defined, namely: the purpose, tasks, objects, objects and subjects of management, the nature and nature of management measures, etc. Aim and tasks. The purpose of the article is to study the management of the logistics of the commodity market and the problems of defining the principles of building a management system. The most effective commodity markets are those that operate in expanded reproduction mode, the quantitative criteria of which are the value added (DF) that are generated on the market. It is on this that the theory of market efficiency is also being built. Thus, the purpose of managing the market logistics is to build (to create) such logistics that would satisfy this requirement. Research results. The principles, subjects and mechanisms of market logistics management are defined. The structural model of the market logistics management system is constructed. In the structural model, in addition to the basic conditions, which determine the management system itself, management entities whose activity is subordinated to these basic conditions, on the other hand, and, on the other hand, when certain market mechanisms are used, certain (indicated by arrows) are possible managerial influences on corresponding managing parameters of the logistic chains of commodity markets. Conclusions. Consequently, in the course of the study, we have identified the factors that determine the conditions for the functioning of commodity markets, as well as the construction of their logistic chains. Thus, the above and above principles, concepts and categories, we combined in our constructed model of management of the logistics chains of commodity markets, which we can recommend for introduction in order to accelerate their development.
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Kumar, Brajesh, and Ajay Pandey. "Price Discovery in Emerging Commodity Markets: Spot and Futures Relationship in Indian Commodity Futures Market." Bogazici Journal 25, no. 1 (January 1, 2011): 79–121. http://dx.doi.org/10.21773/boun.25.1.4.
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BLAHODATNYI, Andrii. "COMMODITY EXCHANGE AS AN INNOVATION-INSTITUTIONAL ELEMENT OF THE DEVELOPMENT OF INTERNATIONAL COMMODITY MARKETS." Ukrainian Journal of Applied Economics 4, no. 4 (October 30, 2019): 52–59. http://dx.doi.org/10.36887/2415-8453-2019-4-6.
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The article examines the role of the commodity exchange as an innovative and institutional element in the development of international commodity markets. The current trends in the development of the international commodity stock market have been determined, compared to the volumes of world futures and options for 2018-2019, the number of outstanding contracts and their changes have been investigated. The transformation processes inherent in the international commodity exchange are considered and characterized. The structure of the international stock market by geographical regions is reflected. Trading volumes in different regions of 2019 are compared to 2018. Analysis of futures, options index of the capital index, interest rate trading, energy futures, options trading and precious metals trade have been done. The results of the world's largest stock exchanges by volume of trading in 2018-2019 are presented. One of the criteria examined is the volume of trading on the Intercontinental Exchange, which is due to the lower level of activity on all its subsidiaries in Europe, North America and the Asia-Pacific region. The current state of stock exchange trade in Ukraine is analysed, examples of obstacles for the effective functioning of stock exchanges of Ukraine are given. The development of commodity exchanges in Ukraine over recent years is considered, with an indication of the tendency of their development. Examples of commodities are indicated that will be used for the development of the commodity stock market of Ukraine. The statistical information on the number and structure of exchanges by specialization, their characteristics and role are investigated. The conclusions on the stock role market in an economy have been formed. The international experience of trading on the exchanges is generalized. The evolution of the stock market from the fair to the modern electronic stock market with its advantages and convenience is noted. The conclusions of the development of stock exchange trade in Ukraine are summarized: namely obstacles to its development and misunderstanding of advantages. Suggestions for successful development of stock exchange trading are given in accordance with world experience and national peculiarities. Key words: commodity exchange, futures, option, stock trading, international commodity exchanges, agricultural products, market infrastructure, stock exchange.