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Dissertations / Theses on the topic 'Futures markets'

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Published: 4 June 2021
Last updated: 25 July 2025

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1

Löbler, Helge, Hans Kjellberg, Kaj Storbacka, et al. "Market futures, future markets." Universitätsbibliothek Leipzig, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-218378.

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What do marketing scholars need to know about markets? The quote above places markets at the heart of marketing theory. Yet many commentators have lamented the scant attention paid to markets in marketing and argued for the need to better understand this central facet of the subject (Araujo et al., 2008; Vargo, 2007; Venkatesh et al., 2006). We share this view and outline issues and research opportunities against the backdrop of recent contributions proposing a practice approach to markets (Araujo et al., 2010; Kjellberg and Helgesson, 2007; Storbacka and Nenonen, 2011; Vargo and Lusch, 2011).
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2

Löbler, Helge, Hans Kjellberg, Kaj Storbacka, et al. "Market futures, future markets: research directions in the study of markets." Sage, 2012. https://ul.qucosa.de/id/qucosa%3A15286.

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What do marketing scholars need to know about markets? The quote above places markets at the heart of marketing theory. Yet many commentators have lamented the scant attention paid to markets in marketing and argued for the need to better understand this central facet of the subject (Araujo et al., 2008; Vargo, 2007; Venkatesh et al., 2006). We share this view and outline issues and research opportunities against the backdrop of recent contributions proposing a practice approach to markets (Araujo et al., 2010; Kjellberg and Helgesson, 2007; Storbacka and Nenonen, 2011; Vargo and Lusch, 2011).
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3

Liu, Dongqing. "Market-making behavior in futures markets /." For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2002. http://uclibs.org/PID/11984.

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4

Aidov, Alexandre. "Three Essays on Market Depth in Futures Markets." FIU Digital Commons, 2013. http://digitalcommons.fiu.edu/etd/974.

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Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This dat
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5

Firch, Robert S. "Inverted Cotton Futures Markets." College of Agriculture, University of Arizona (Tucson, AZ), 1985. http://hdl.handle.net/10150/203915.

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6

Gurrib, Muhammad Ikhlaas. "Behaviour and performance of key market players in the US futures markets." Thesis, Curtin University, 2008. http://hdl.handle.net/20.500.11937/1287.

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This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment index, results suggest hedgers (speculators) exhibit significant positive feedback trading in 15 (7) markets. Information variables like the S&P500 index dividend yield, corporate yield spread and the three months treasury bill rate were mostly unimportant in large players’ trading decisions. Hedgers had better market timing abilities than speculators in judging the direction
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7

Jia, Haiying. "Market conditions and the functioning of metal futures markets." Thesis, City University London, 2006. http://openaccess.city.ac.uk/8467/.

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With the growth of alternative investment vehicles such as hedge funds and the resulting search for "new" asset classes, the interest in the commodity market has been growing within the financial sector. The commodity futures markets have been successfully providing a platform for investors and industrial participants as an alternative investment vehicle and a tool for risk management. The storable commodity futures markets are characterised by two distinct market conditions: backwardation and contango, which are directly linked to market fundamentals such as inventory levels and thus influenc
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8

Koettering, Andreas Hermann. "Futures trading on commodity markets." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.306271.

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9

Kellard, Neil Michael. "The econometrics of futures markets." Thesis, University of Nottingham, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324060.

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10

Antoniou, A. "Futures markets : Theory and tests." Thesis, University of York, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.377303.

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11

Newman, Susan Amy. "Futures markets and coffee prices." Thesis, SOAS, University of London, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550923.

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This thesis constitutes an empirical critique of neoclassical economic theory as applied to the study of commodity markets. It is argued that the liberalisation of coffee marketing systems in producing countries, the collapse of the International Coffee Agreements, and the consequent restructuring of international coffee markets has had profound effects on the relationship between futures and physical markets for commodities in the context of liberalised capital flows and a world economy increasingly shaped by finance. Using evidence from the New York Coffee Exchange on trading activities and
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12

Depner, P. (Petri). "Momentum in the futures markets." Master's thesis, University of Oulu, 2016. http://urn.fi/URN:NBN:fi:oulu-201611102990.

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The purpose of the master’s thesis is to compare and analyze momentum strategies using a broad selection of futures contracts from equity, bond and commodity asset classes. Momentum can be seen as a pervasive asset pricing anomaly and it is found in academic studies to exist in practically all major asset classes. Momentum challenges directly efficient-market hypothesis and currently there is no agreement as to the underlying cause of momentum. Literature in momentum divides into two approaches: cross-sectional- and time-series momentum. The former was introduced by Jegadeesh and Titman (1993
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13

Grant, James. "Trading strategies in futures markets." Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/32011.

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The purpose of this thesis is to investigate trading strategies based on futures contracts. The first chapter demonstrates and analyzes the exceptional performance of both carry and momentum strategies in future markets across asset classes (commodities, bonds, equities, and currencies). Individual carry and momentum returns have low correlation, generating a significant diversification benefit in the combined portfolio and a Sharpe ratio of 1.4. Individually and combined, carry and momentum strategies have significant returns not explained by the CAPM or risk factor models. However, carry ret
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14

Gurrib, Muhammad Ikhlaas. "Behaviour and performance of key market players in the US futures markets." Curtin University of Technology, School of Economics and Finance, 2008. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=117995.

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This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment index, results suggest hedgers (speculators) exhibit significant positive feedback trading in 15 (7) markets. Information variables like the S&P500 index dividend yield, corporate yield spread and the three months treasury bill rate were mostly unimportant in large players’ trading decisions. Hedgers had better market timing abilities than speculators in judging the direction
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15

Buchanan, William K. "Market Timing, Forecast Ability and Information Flow in Petroleum Futures Markets." Thesis, University of North Texas, 1997. https://digital.library.unt.edu/ark:/67531/metadc278807/.

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Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and shed light on issues of market efficiency.
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16

Oztekin, Ahmet Senol. "Microstructure Characteristics of U.S. Futures Markets." FIU Digital Commons, 2014. http://digitalcommons.fiu.edu/etd/1559.

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Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liq
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17

Kruk, Jennifer. "Execution costs in money and futures markets." Thesis, The University of Sydney, 2009. http://hdl.handle.net/2123/6076.

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This dissertation examines the implicit cost of trading in money and futures markets. The research provides empirical evidence on several issues of significance to the growing number of institutional investors in these markets. I address four unique research questions with scarce or conflicting prior research findings. The empirical evidence presented in this dissertation can be used by researchers, investors, and regulators to understand and manage the cost of trading in money and futures markets. The first issue examined in this dissertation is the price impact of block trades in futures mar
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18

Kruk, Jennifer. "Execution costs in money and futures markets." University of Sydney, 2009. http://hdl.handle.net/2123/6076.

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Doctor of Philosophy(PhD)<br>This dissertation examines the implicit cost of trading in money and futures markets. The research provides empirical evidence on several issues of significance to the growing number of institutional investors in these markets. I address four unique research questions with scarce or conflicting prior research findings. The empirical evidence presented in this dissertation can be used by researchers, investors, and regulators to understand and manage the cost of trading in money and futures markets. The first issue examined in this dissertation is the price impact o
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19

Lin, Sharon Xiaowen. "Information transmission in energy futures markets." Thesis, City University London, 2002. http://openaccess.city.ac.uk/7603/.

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Since the mid 1980s the world oil price discovery process has been dominated by two crude oil futures markets: the New York Mercantile Exchange (NYMEX) and London's International Petroleum Exchange (IPE). To date considerable work has been done to scrutinize the degree to which these two markets price efficiently, but little with regard to the way the two markets interact. It is the first attempt, to our knowledge, to investigate the interaction of the two markets. Given that participants in these markets move with relative ease from one market to the other and usually take positions in both o
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20

Abhyankar, Abhay H. "Three essays on the futures markets." Thesis, University of Strathclyde, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.669681.

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21

Adeinat, Iman. "Two Essays on Oil Futures Markets." ScholarWorks@UNO, 2011. http://scholarworks.uno.edu/td/1289.

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The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information share of these two markets. Trading characteristics examined in the study include trading volume, trade size, and trading costs. On average, CME is characterized by greater volume and trade size but also slightly greater bid-ask spread. CME leads
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22

Ely, David Paul. "Futures markets and cash price stability." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272292312.

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23

Al, Rahahleh Naseem. "Analyzing frequent acquires in emerging markets and futures markets linkage." ScholarWorks@UNO, 2009. http://scholarworks.uno.edu/td/915.

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The first chapter of this dissertation examines the returns to frequent acquirers from emerging markets and analyzes the cross-country variations in cumulative abnormal returns. The sample consists of 5,147 transactions carried out by firms from 17 common and civil-law countries during the period of January 1985 to June 2008. I find that the cumulative abnormal returns decline over the deal order and it is more pronounced in civil-law countries than in common-law countries. There is also evidence that the premiums paid by acquirers from civillaw countries with a first successful acquisit
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24

Brunetti, Celso. "Comovement and volatility in international asset markets." Thesis, Queen Mary, University of London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322235.

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25

Natanelov, Valeri. "Commodity futures markets: dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets." Thesis, Ghent University, 2014. https://eprints.qut.edu.au/129692/1/129692.pdf.

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This doctoral thesis discerns the complicated dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets. Recently, various factors have dramatically changed the economic relationships between these important markets which contributed to greater price volatility and complex price transmissions across these markets. Via the use of cointegration methodologies on stock and futures markets four price relationships have been scrutinized with respect to agricultural commodities and crude oil markets; crude oil and BRIC stock markets; cru
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26

Lam, Ka-ming. "Overreaction in Asia-Pacific index futures markets." HKBU Institutional Repository, 2009. http://repository.hkbu.edu.hk/etd_ra/1070.

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27

Wang, Dong. "Essays on the chinese commodity futures markets." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510502.

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28

Helfrich, Devin B. "Price distortions in the commodity futures markets." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/78485.

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Thesis (S.M. in Technology and Policy)--Massachusetts Institute of Technology, Engineering Systems Division, 2012.<br>Cataloged from PDF version of thesis. Page 91 blank.<br>Includes bibliographical references (p. 87-90).<br>Speculation is not monolithic; it comes in many forms. A certain level of speculation is required for commodity futures markets to function. On the other hand, certain types of trading activities by speculators may damage a market's price discovery function and in turn its hedging function. However, there is great disagreement as to which types of speculation can distort c
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29

Andreasson, Pierre, and Jonathan Siverskog. "Cross-market linkages and the role of speculation in agricultural futures markets." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120605.

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In this study we analyse the role of speculation in forging cross-market linkages between agriculture, equity and crude oil over the period 1992-2014. The market interdependence of ten U.S. traded agricultural commodities futures is measured through the spillover index of Diebold and Yilmaz (2009, 2012) and the dynamic conditional correlation framework of Engle (2002). Utilising data from the U.S. Commodity Futures Trading Commission, ve dierent measures of speculation are constructed, which are used to examine the long-run and short-run dynamics between market integration and speculation. To
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30

FERNANDES, ANDRE VENTURA. "MICROSTRUCTURE OF BRAZILIAN FX MARKET: COMPARISON OF THE SPOT AND FUTURES MARKETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11912@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>FUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO<br>O objetivo deste trabalho é comparar o mercado à vista e futuro de câmbio no Brasil, buscando identificar em qual dos mercados se dá a formação da taxa de câmbio. Analisa-se o funcionamento do mercado cambial no seu nível micro, isto é, nas suas instituições e nas assimetrias dos seus participantes, através da abordagem da microestrutura. Utiliza-se uma base de dados que contém 100% das propostas de compra, venda e dos negócios fechados dos pregões de dólar futuro e do me
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31

Evans, Pornsawan. "An investigation into aspects of market behaviour in UK financial futures markets." Thesis, Swansea University, 2003. https://cronfa.swan.ac.uk/Record/cronfa42422.

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This thesis investigates a number of features of UK financial futures markets: (i) market microstructure through the context of the volume-maturity relationship of FTSEIOO futures (stock index futures), Long Gilt (bond futures) and Short Sterling (interest rate futures), (ii) domestic market linkages through the impact of macroeconomic announcements on the lead/lag relationship between the stock index futures and its equity index, (iii) international market linkages through the transmission of arbitrage information, measured by the mispricing errors, of stock index futures across the UK, US an
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32

Moftah, Alghazali Idries Omran. "The hedging effectiveness of futures markets : evidence from commodity and stock markets." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269586.

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33

Bryant, Henry L. IV. "Essays on the workings and uses of futures markets." Texas A&M University, 2003. http://hdl.handle.net/1969.1/200.

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This dissertation investigates various issues of interest regarding the workings and uses of commodity futures markets. Chapter II evaluates the relative performances of various estimators of bid-ask spreads in futures markets using commonly available transaction data. Results indicate a wide divergence in the performance of the competing estimators. This chapter also examines the effect of automating trading on spreads in commodity futures markets. Results indicate that spreads generally widened after trading was automated on the markets considered, and the tendency for spreads to widen d
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34

Hwang, Soosung. "Essays on long memory processes and volatility." Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.286421.

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35

Huang, He. "Macroeconomic news effects in commodity futures and German stock and bond futures markets." Lohmar Eul, 2009. http://d-nb.info/1000781631/04.

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36

Weselake, J. Jonathan. "Technical system trading returns from commodity futures markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0009/MQ41648.pdf.

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37

Yoon, Youngjun. "Essays on the UK stock and futures markets." Thesis, University of Cambridge, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.363215.

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38

Wang, Yuanfang. "Alternative measures of volatility in agricultural futures markets." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1111610770.

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Thesis (Ph. D.)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formatted into pages; contains ix, 121 p.; also includes graphics (some col.) Includes bibliographical references (p. 114-121). Available online via OhioLINK's ETD Center
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39

Nishi, Hirofumi. "Market Efficiency, Arbitrage and the NYMEX Crude Oil Futures Market." Thesis, University of North Texas, 2016. https://digital.library.unt.edu/ark:/67531/metadc862846/.

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Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It
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40

Kobold, Klaus. "Interest rate futures markets and capital market theory : theorical concepts and empirical evidence /." Berlin ; New York : W. de Gruyter, 1986. http://catalogue.bnf.fr/ark:/12148/cb37354747f.

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41

Goetz, Cole Louis. "The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.

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This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. F
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Białkowski, Jȩdrzej. "International stock markets linkages and arbitrage and arbitrage between futures and spot markets." [S.l. : s.n.], 2005. http://deposit.ddb.de/cgi-bin/dokserv?idn=975615882.

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43

VIEIRA, LUIS FERNANDO TEIXEIRA HORTA. "AGRICULTURAL FUTURES MARKETS IN BRAZIL: ANALYSIS OF THE CONTRACTS AND OF THE FUTURES PRICING." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12230@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Esta dissertação documenta o volume negociado dos contratos futuros sobre nove commodities agropecuárias negociadas na Bolsa de Mercadorias e Futuros (BM&F), entre dezembro de 1999 e dezembro de 2003. A análise identifica as commodities mais negociadas e, a partir daí, estuda a formação dos preços futuros do boi gordo e do milho. O trabalho mostra como usar a crise brasileira de 2002 para identificar o impacto de custos de transação e expectativas de crise sobre os preços futuros do boi gordo e do milho.<br>This work docu
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44

Alampieski, Kiril. "The impact of a tick size reduction in Futures Markets: evidence from the Sydney Futures Exchange." Thesis, Finance, 2008. http://hdl.handle.net/2123/2212.

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This dissertation examines the impact of a reduction in the minimum price increment on market quality and price impact in the 3 Year Commonwealth Treasury Bond Futures contract. Prior to the tick size reduction, the minimum tick was one basis point. However, as of December 15, 2006, the minimum price increment was reduced to half a basis point. Using two data sets, the first provided by SIRCA and the second a proprietary data set provided by the Sydney Futures Exchange, this study is the first to examine how a reduction in minimum tick affects both market quality and price impact in a futures
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45

Bascou, Pierre Hughes Marie. "The impact of agricultural policies on the performance of futures markets : an empirical investigation of the London wheat futures market." Thesis, Imperial College London, 1991. http://hdl.handle.net/10044/1/46666.

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46

Zebedee, Allan A. "The flow of information in financial markets : a market microstructure examination /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026388.

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47

Zghidi, Samia. "Index participation units and the performance of index futures markets and index options markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape16/PQDD_0006/MQ40206.pdf.

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48

Jackson, Dennis. "Long-term mean reversion returns in commodity futures markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0003/MQ41719.pdf.

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49

Floros, C. "Essays on the quantitative analysis of Greek futures markets." Thesis, Swansea University, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.636982.

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This thesis examines the behaviour of Greek stock index futures market. We focus on various techniques to test several hypotheses. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), we employ a variety of econometric models from simple OLS to Bivariate Generalised Autoregressive Conditional Heteroscedasticity (GARCH) as well as VAR models and cointegration method. The first part of this thesis, chapter 3, deals with the volatility modelling of futures prices and their asset prices. Then, we move to the quantitative analysis of market characteristics. Ch
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50

Foster, Andrew J. "Information, volatility and price discovery in oil futures markets." Thesis, Brunel University, 1994. http://bura.brunel.ac.uk/handle/2438/5871.

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This thesis presents four related empirical essays which investigate the role of information in crude oil futures markets. The first line of investigation examines the impact of futures trading on spot price volatility and finds that the nature of spot price volatility is affected by derivative trading and the improvements in information discovery which such trading brings. Second, the efficiency of futures markets is examined with respect to their ability to provide unbiased estimates of future spot prices. Here it is concluded that while unbiased estimates are generally provided in the long-
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