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1
Löbler, Helge, Hans Kjellberg, Kaj Storbacka, Melissa Akaka, Jennifer Chandler, John Finch, Sara Lindeman, Katy Mason, Janet McColl-Kennedy, and Suvi Nenonen. "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). A central tenet in this tradition is the idea that working markets are always in the making; that they are the continuous results of market practices. Paraphrasing Vargo and Lusch (2004): markets are not, they become. In this process of becoming, markets take on multiple forms as a result of practical efforts by many different actors to shape economic exchanges, establish rules for their performance, and represent such exchanges as markets. The observation that economic theories (including marketing) contribute to shape markets by influencing these practical efforts (Callon, 1998) introduces a complication in our study of markets and presents a reflexive challenge for marketers studying the shaping of markets.
2
Löbler, Helge, Hans Kjellberg, Kaj Storbacka, Melissa Akaka, Jennifer Chandler, John Finch, Sara Lindeman, Katy Mason, Janet McColl-Kennedy, and Suvi Nenonen. "Market futures, future markets: research directions in the study of markets." Sage, 2012. https://ul.qucosa.de/id/qucosa%3A15286.
Full textAbstract:
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). A central tenet in this tradition is the idea that working markets are always in the making; that they are the continuous results of market practices. Paraphrasing Vargo and Lusch (2004): markets are not, they become. In this process of becoming, markets take on multiple forms as a result of practical efforts by many different actors to shape economic exchanges, establish rules for their performance, and represent such exchanges as markets. The observation that economic theories (including marketing) contribute to shape markets by influencing these practical efforts (Callon, 1998) introduces a complication in our study of markets and presents a reflexive challenge for marketers studying the shaping of markets.
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 database allows for the analysis of depth along the entire limit order book rather than just at the first level.
The first essay examines the characteristics of depth within the context of the five-deep limit order book. Results show that a large amount of depth is present in the book beyond the best level. Furthermore, the findings show that the characteristics of five-deep depth between day and night trading vary and that depth is unequal across levels within the limit order book. The second essay examines the link between the five-deep market depth and the bid-ask spread. The results suggest an inverse relation between the spread and the depth after adjusting for control factors. The third essay explores transitory volatility in relation to depth in the limit order book. Evidence supports the relation between an increase in volatility and a subsequent decrease in market depth. Overall, the results of this dissertation are consistent with limit order traders actively managing depth along the limit order book in electronic U.S. futures markets.
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.
Full textAbstract:
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 of the market in one month. The poor market timing abilities and poor significance of positive feedback results suggest higher trading frequency intervals for speculators. Hedging pressures, which measure the presence of risk premium in futures markets, were insignificant mostly in agricultural markets. As a robust test of hedging pressures, price pressure tests found risk premium to be still significant for silver, crude oil and live cattle. The positive feedback behaviour and negative market timing abilities suggest hedgers in heating oil and Japanese yen destabilize futures prices, and points to a need to check CFTC’s (Commodity Futures Trading Commission) position limits regulation in these markets. In fact, large hedgers in these two markets are more likely to be leading behaviour, in that they have more absolute net positions than speculators. Alternatively stated, positive feedback hedgers in these two markets are more likely to lead institutions and investors to buy (sell) overpriced (underpriced) contracts, eventually leading to divergence of prices away from fundamentals.Atlhought hedgers in crude oil had significant positive feedback behaviour and negative market timing skills, they would not have much of a destabilizing effect over remaining players because the mean net positions of hedgers and speculators were not far apart. While the results are statistically significant, it is suggested these could be economically significant, in that there have been no regulation on position limits at all for hedgers compared to speculators who are imposed with strict limits from the CFTC. Further, mean equations were regressed against decomposed variables, to see how much of the futures returns are attributed to expected components of variables such as net positions, sentiment and information variables. While the expected components of variables are derived by ensuring there are enough ARMA (autoregressive and moving average) terms to make them statistically and economically reliable, the unexpected components of variables measure the residual on differences of the series from its mean. When decomposing net positions against returns, it was found expected net positions to be negatively related to hedgers’ returns in mostly agricultural markets. Speculators’ expected (unexpected) positions were less (more) significant in explaining actual returns, suggesting hedgers are more prone in setting an expected net position at the start of the trading month to determine actual returns rather than readjusting their net positions frequently all throughout the remaining days of the month. While it important to see how futures returns are determined by expected and unexpected values, it is also essential to see how volatility is affected as well.In an attempt to cover three broad types of volatility measures, idiosyncratic volatility, GARCH based volatility (variance based), and PARCH based volatility (standard deviation) are used. Net positions of hedgers (expected and unexpected) tend to have less effect on idiosyncratic volatility than speculators that tended to add to volatility, reinforcing that hedgers trading activity hardly affect the volatility in their returns. This suggest they are better informed by having a better control over their risk (volatility) measures. The GARCH model showed more reliance of news of volatility from previous month in speculators’ volatility. Hedgers’ and speculators’ volatility had a tendency to decay over time except for hedgers’ volatility in Treasury bonds and coffee, and gold and S&P500 for speculators’ volatility. The PARCH model exhibited more negative components in explaining current volatility. Only in crude oil, heating oil and wheat (Chicago) were idiosyncratic volatility positively related to return, reinforcing the suggestion for stringent regulation in the heating oil market. Expected idiosyncratic volatility was lower (higher) for hedgers (speculators) as expected under portfolio theory. Markets where variance or standard deviation are smaller than those of speculators support the price insurance theory where hedging enables traders to insure against the risk of price fluctuations. Where variance or standard deviation of hedgers is greater than speculators, this suggest the motivation to use futures contracts not primarily to reduce risk, but by institutional characteristics of the futures exchanges like regulation ensuring liquidity.Results were also supportive that there was higher fluctuations in currency and financial markets due to the higher number of contracts traded and players present. Further, the four models (GARCH normal, GARCH t, PARCH normal and PARCH t) showed returns were leptokurtic. The PARCH model, under normal distribution, produced the best forecast of one-month return in ten markets. Standard deviation and variance for both hedgers’ and speculators’ results were mixed, explained by a desire to reduce risk or other institutional characteristics like regulation ensuring liquidity. Moreover, idiosyncratic volatility failed to accurately forecast the risk (standard deviation or variance based) that provided a good forecast of one-month return. This supports not only the superiority of ARCH based models over models that assume equally weighted average of past squared residuals, but also the presence of time varying volatility in futures prices time series. The last section of the study involved a stability and events analysis, using recursive estimation methods. The trading determinant model, mean equation model , return and risk model, trading activity model and volatility models were all found to be stable following the effect of major global economic events of the 1990s. Models with risk being proxied as standard deviation showed more structural breaks than where variance was used. Overall, major macroeconomic events didn’t have any significant effect upon the large hedgers’ and speculators’ behaviour and performance over the last decade.
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 influence the price dynamics and functioning of the commodity futures market. While there exists a large body of research in the area of commodity derivatives, research on the linkage between market dynamics and the market conditions as determined by fundamentals is very limited. Accordingly, this thesis aims to investigate the different market dynamics of metal futures markets under these two conditions. The issues under examination include the futures price discovery function, the forecasting performance of the futures price, the long-run cost-of-carry equilibrium and short-run time-varying adjustment, and the price volatility and its relationship with inventory levels and trading volume. The empirical findings suggest, for the first time, that the price discovery function depends on the state of the storable commodity markets: futures prices are found to be upward biased predictors of the future spot prices when the market is in contango and are downward biased when the market is in backwardation. Nonparametric bootstrap simulations confirm that the forecast errors are negative in a backwardation market and are positive in a contango market, and moreover the forecast errors are larger under the former market condition than the latter. The empirical results also show that the price volatility is higher in a backwardation market than in a contango market as indicated by the negative relationship between price volatility and inventory levels. We also show that the spot volatility is generally higher than the futures price volatility and the difference is greater when the inventory level is low. Moreover, the impact of trading volume on the futures price volatility is found to be stronger when the market is in backwardation in some of the markets. In short, the empirical findings in this thesis suggest that the functioning of the metal spot and futures market is dependent on market conditions of which the inventory level is an important indictor as implied by the theory of storage. The empirical findings have strong implications for practitioners (particularly, trading houses, funds and banks) who could potentially form different trading strategies based on the distinct market behaviour under the two market conditions.
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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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 futures prices, together with a study of price formation and price risk management practices along coffee chains in Tanzania and Uganda, this thesis refutes the neoclassical assertions that futures markets facilitate efficient price discovery, that futures markets reduce price risks by providing effective hedging instruments and by stabilising prices, and that liberalisation enhances market integration and efficient price transmission along the chain. It is shown that the liberalisation of coffee markets and an emphasis on the wide spread use of hedging instruments for price risk management has facilitated their financialisation rather than enhancing their efficiency. Prices have increasingly been formed on the basis of supply and demand for coffee derivatives that has become in many ways divorced from the supply and demand for physical coffee. The ability for certain large coffee traders to derive enormous incomes from their engagement in derivatives trading to the exclusion of the majority of coffee chain actors in producing countries from engaging in such activities has serious implications in terms of the exacerbation of international inequalities along international supply chains.
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) and the latter by Moskowitz, Ooi and Pedersen (2012). Momentum can be applied in several different forms and whereas most studies in momentum applies only one of the two approaches, this study examines both by examining the most conventional strategies from the cross-sectional- and time-series momentum literature. Also volatility weighed and linearized versions of momentum are examined.
We analyze the performance of momentum strategies by summary statistics and also through risk adjusted performance. Strategy returns are regressed against conventional factor models, which include momentum factors. Volatility weighted versions of momentum strategies are more capable of producing better risk adjusted returns than regular or linearized versions. From strategy specifications, generally the 12-month lookback and 1-month holding strategy brings higher returns that 6-month lookback and 6-month holding alternative. These results are also presented on asset class level and it can be seen that momentum strategies are more successful when aggregated on all assets.
The study also examines market conditional performance during different economic cycles. No statistically significant difference can be seen for momentum returns during different economic cycles. Also momentum performance in comparison to market return is analyzed and we a see peculiar momentum “smirk” for regular strategies and more typical momentum “smile” for volatility weighted strategies. Momentum strategies returns cannot be seen as compensation for crash risk.
A decomposition of momentum returns shows that the sources of the returns are different for each of the approaches. However, cross-sectional and time-series momentum share also similarities — they have similar exposures against conventional momentum factors as well to one another and cross-sectional asset-class specific momentum strategy returns can explain the returns of corresponding asset-class specific returns from time-series momentum.
This study provides information on how asset managers use momentum and what are the practical implications of applying these strategies on futures contracts. The strategies presented apply to other asset classes as well. Compared to traditional 60/40 portfolio, addition of momentum can improve expected returns and risk/return tradeoff. Also as individual investing strategy, momentum is viable option to enhance the performance assets and portfolios.
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 returns disappear after adjusting for lagged macroeconomic variables, suggesting performance is related to business cycle risk. Expected momentum returns are only weakly related to macroeconomic variables, but co-vary significantly with hedge fund capital flow - indicating returns are related to limits to arbitrage constraints of hedge funds. The second chapter establishes the economic significance of carry and momentum trading signals. We use a model incorporating a time varying investment opportunity set into a parametric portfolio framework and derive optimal portfolio parameters. Without any ex-ante imposed relation, in-sample portfolio parameters are found to be consistent with the results of the first chapter. Furthermore, out-of-sample returns are found to be highly significant, robust to transaction costs and not compensation for traditional risk exposure, time-varying risk due to macroeconomic cycles, or funding liquidity. Out-of-sample returns are significantly related to pro-cyclical hedge fund capital flows, suggesting expected returns decrease with speculative capital. The third chapter applies our parametric portfolio framework to assess the economic significance of predictors important in commodity markets since 2001. The studied predictors are widened to include hedging pressure and three market wide predictors found in the literature to forecast returns. In contrast to our results for the whole futures market, we find little evidence for economically significant commodity strategy returns for either individual or combined predictors.
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.
Full textAbstract:
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 of the market in one month. The poor market timing abilities and poor significance of positive feedback results suggest higher trading frequency intervals for speculators. Hedging pressures, which measure the presence of risk premium in futures markets, were insignificant mostly in agricultural markets. As a robust test of hedging pressures, price pressure tests found risk premium to be still significant for silver, crude oil and live cattle. The positive feedback behaviour and negative market timing abilities suggest hedgers in heating oil and Japanese yen destabilize futures prices, and points to a need to check CFTC’s (Commodity Futures Trading Commission) position limits regulation in these markets. In fact, large hedgers in these two markets are more likely to be leading behaviour, in that they have more absolute net positions than speculators. Alternatively stated, positive feedback hedgers in these two markets are more likely to lead institutions and investors to buy (sell) overpriced (underpriced) contracts, eventually leading to divergence of prices away from fundamentals.Atlhought hedgers in crude oil had significant positive feedback behaviour and negative market timing skills, they would not have much of a destabilizing effect over remaining players because the mean net positions of hedgers and speculators were not far apart. While the results are statistically significant, it is suggested these could be economically significant, in that there have been no regulation on position limits at all for hedgers compared to speculators who are imposed with strict limits from the CFTC. Further, mean equations were regressed against decomposed variables, to see how much of the futures returns are attributed to expected components of variables such as net positions, sentiment and information variables. While the expected components of variables are derived by ensuring there are enough ARMA (autoregressive and moving average) terms to make them statistically and economically reliable, the unexpected components of variables measure the residual on differences of the series from its mean. When decomposing net positions against returns, it was found expected net positions to be negatively related to hedgers’ returns in mostly agricultural markets. Speculators’ expected (unexpected) positions were less (more) significant in explaining actual returns, suggesting hedgers are more prone in setting an expected net position at the start of the trading month to determine actual returns rather than readjusting their net positions frequently all throughout the remaining days of the month. While it important to see how futures returns are determined by expected and unexpected values, it is also essential to see how volatility is affected as well.
In an attempt to cover three broad types of volatility measures, idiosyncratic volatility, GARCH based volatility (variance based), and PARCH based volatility (standard deviation) are used. Net positions of hedgers (expected and unexpected) tend to have less effect on idiosyncratic volatility than speculators that tended to add to volatility, reinforcing that hedgers trading activity hardly affect the volatility in their returns. This suggest they are better informed by having a better control over their risk (volatility) measures. The GARCH model showed more reliance of news of volatility from previous month in speculators’ volatility. Hedgers’ and speculators’ volatility had a tendency to decay over time except for hedgers’ volatility in Treasury bonds and coffee, and gold and S&P500 for speculators’ volatility. The PARCH model exhibited more negative components in explaining current volatility. Only in crude oil, heating oil and wheat (Chicago) were idiosyncratic volatility positively related to return, reinforcing the suggestion for stringent regulation in the heating oil market. Expected idiosyncratic volatility was lower (higher) for hedgers (speculators) as expected under portfolio theory. Markets where variance or standard deviation are smaller than those of speculators support the price insurance theory where hedging enables traders to insure against the risk of price fluctuations. Where variance or standard deviation of hedgers is greater than speculators, this suggest the motivation to use futures contracts not primarily to reduce risk, but by institutional characteristics of the futures exchanges like regulation ensuring liquidity.
Results were also supportive that there was higher fluctuations in currency and financial markets due to the higher number of contracts traded and players present. Further, the four models (GARCH normal, GARCH t, PARCH normal and PARCH t) showed returns were leptokurtic. The PARCH model, under normal distribution, produced the best forecast of one-month return in ten markets. Standard deviation and variance for both hedgers’ and speculators’ results were mixed, explained by a desire to reduce risk or other institutional characteristics like regulation ensuring liquidity. Moreover, idiosyncratic volatility failed to accurately forecast the risk (standard deviation or variance based) that provided a good forecast of one-month return. This supports not only the superiority of ARCH based models over models that assume equally weighted average of past squared residuals, but also the presence of time varying volatility in futures prices time series. The last section of the study involved a stability and events analysis, using recursive estimation methods. The trading determinant model, mean equation model , return and risk model, trading activity model and volatility models were all found to be stable following the effect of major global economic events of the 1990s. Models with risk being proxied as standard deviation showed more structural breaks than where variance was used. Overall, major macroeconomic events didn’t have any significant effect upon the large hedgers’ and speculators’ behaviour and performance over the last decade.
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.
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 Liquidity Characteristics for U.S. Electronic Futures and ETF Markets” explores the price discovery process in U.S. futures and ETF markets. Hasbrouck’s information share method is applied to futures and ETF instruments. The information share results show that futures markets dominate the price discovery process. The results on the factors that affect the price discovery process show that when volatility increases, the price leadership of futures markets declines. Furthermore, when the relative size of bid-ask spread in one market increases, its information share decreases.
The second essay, entitled “The Resiliency of Large Trades for U.S. Electronic Futures Markets,“ examines the effects of large trades in futures markets. How quickly prices and liquidity recovers after large trades is an important characteristic of financial markets. The price effects of large trades are greater during the crisis period compared to the pre-crisis period. Furthermore, relative to the pre-crisis period, during the crisis period it takes more trades until liquidity returns to the pre-block trade levels.
The third essay, entitled “Components of Quoted Bid-Ask Spreads in U.S. Electronic Futures Markets,” investigates the bid-ask spread components in futures market. The components of bid-ask spreads is one of the most important subjects of microstructure studies. Utilizing Huang and Stoll’s (1997) method the third essay of this dissertation provides the first analysis of the components of quoted bid-ask spreads in U.S. electronic futures markets. The results show that order processing cost is the largest component of bid-ask spreads, followed by inventory holding costs. During the crisis period market makers increase bid-ask spreads due to increasing inventory holding and adverse selection risks.
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 markets. The study examines 14 stock index futures contracts in 11 different international markets and finds that on balance, part of the initial price movement associated with a block trade is temporary. This suggests block trades in futures markets incur a liquidity premium. The study also finds strong evidence that large buyer- and seller-initiated trades have permanent effects on prices, implying they convey information. The study concludes, similar to research based on equity markets, that traders in futures markets are informed. The second issue examined is an inconsistency in the literature regarding institutional transactions in futures markets. One strand of the literature documents that single trades in futures markets contain information, while another strand finds trade packages in futures markets do not contain information. The second study in this dissertation controls for methodological and sample differences in examining the price impact of individual trades and trade packages, and finds little evidence that transactions in futures markets contain information. The third issue examined in this dissertation is the anomalous negative relation between execution costs and trade size in opaque markets. Prior literature attributes this relation to information asymmetry and broker-client relationships; however, previous empirical studies are unable to analyse these contributing factors individually. The study addresses this issue by empirically examining the effect of each factor on execution costs in Australian money markets. Results imply that a trader’s ex ante price information and the relationship a trader has with their broker are both significant determinants of a trader’s execution costs in an opaque market; however, traders who establish a strong relationship with their broker will achieve a greater reduction in execution costs than traders with ex ante price information. The study also finds evidence that trade size has little explanatory power after controlling for a trader’s ex ante price information and broker-client relationships. There is a scarcity of empirical research examining the carbon market – a new and rapidly growing financial market developed to support the trading of carbon emissions. The fourth issue examined in this dissertation is the cost of trading in the largest and most liquid carbon market: the European carbon futures market. Results from prior studies of transaction costs are not necessarily applicable to carbon futures, given the unique features of carbon futures contracts and the immaturity of the carbon market. This study is of interest as it represents the first empirical analysis of liquidity and transaction costs in the carbon futures market. Results from the study imply a substantial increase in liquidity and subsequent reduction in transaction costs as carbon markets mature through time. Unlike traditional futures contracts, where liquidity clusters in quarterly expiry month contracts (March, June, September, December), liquidity in the carbon futures market is concentrated in December expiry month contracts to coincide with annual emissions audits. Further, the study also provides evidence of information asymmetry in carbon futures markets and a permanent price adjustment following medium and large trades.
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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)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 markets. The study examines 14 stock index futures contracts in 11 different international markets and finds that on balance, part of the initial price movement associated with a block trade is temporary. This suggests block trades in futures markets incur a liquidity premium. The study also finds strong evidence that large buyer- and seller-initiated trades have permanent effects on prices, implying they convey information. The study concludes, similar to research based on equity markets, that traders in futures markets are informed. The second issue examined is an inconsistency in the literature regarding institutional transactions in futures markets. One strand of the literature documents that single trades in futures markets contain information, while another strand finds trade packages in futures markets do not contain information. The second study in this dissertation controls for methodological and sample differences in examining the price impact of individual trades and trade packages, and finds little evidence that transactions in futures markets contain information. The third issue examined in this dissertation is the anomalous negative relation between execution costs and trade size in opaque markets. Prior literature attributes this relation to information asymmetry and broker-client relationships; however, previous empirical studies are unable to analyse these contributing factors individually. The study addresses this issue by empirically examining the effect of each factor on execution costs in Australian money markets. Results imply that a trader’s ex ante price information and the relationship a trader has with their broker are both significant determinants of a trader’s execution costs in an opaque market; however, traders who establish a strong relationship with their broker will achieve a greater reduction in execution costs than traders with ex ante price information. The study also finds evidence that trade size has little explanatory power after controlling for a trader’s ex ante price information and broker-client relationships. There is a scarcity of empirical research examining the carbon market – a new and rapidly growing financial market developed to support the trading of carbon emissions. The fourth issue examined in this dissertation is the cost of trading in the largest and most liquid carbon market: the European carbon futures market. Results from prior studies of transaction costs are not necessarily applicable to carbon futures, given the unique features of carbon futures contracts and the immaturity of the carbon market. This study is of interest as it represents the first empirical analysis of liquidity and transaction costs in the carbon futures market. Results from the study imply a substantial increase in liquidity and subsequent reduction in transaction costs as carbon markets mature through time. Unlike traditional futures contracts, where liquidity clusters in quarterly expiry month contracts (March, June, September, December), liquidity in the carbon futures market is concentrated in December expiry month contracts to coincide with annual emissions audits. Further, the study also provides evidence of information asymmetry in carbon futures markets and a permanent price adjustment following medium and large trades.
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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 of them, prices of these two leading crudes are kept closely related to each other. It is of interest, therefore, to investigate the speed of information. transmission between IPE and NYMEX and, perhaps, identify which market is the true price leader. To carry out this empirical investigation, simultaneous and non-simultaneous trading sessions of IPE and NYMEX are examined separately. Interesting findingsare disclosed. Firstly, non-simultaneous trading sessions of IPE (IPE morning session) and NYMEX are analyzed with univariate and multivariate time series analysis respectively. In univariate analysis, spillover effects in mean returns are found in the IPE morning session from previous day NYMEX trading information, while no information transmission is found from IPE morning session to NYMEX same-day trading. In multivariate time series analysis with a larger data set, estimation using all data available suggests different results from that used in univariate analysis. However, closer analysis on sub-period estimation reveals consistent findings: the results from the first sub-period, which has the same observation data as in the univariate analysis, mirror those from univariate analysis; results from the second sub-period with extended data have a largely different behaviour from the first sub-period. It thus can be implied that the estimated results using all available information are averages of the behaviour of the two sub-periods. This changing behaviour from one sub-period to the next points to a possible structural break between the two sub-periods. Given that there are no significant political forces, such as "oil shocks", taking place during the period under investigation, the changing forces must be coming from the markets themselves. Secondly, the simultaneous trading session of IPE and NYMEX is examined to detect the temporal lead-lag relationship between the two futures markets using 5minute intervals. Results indicate a bi-directional relationship between the two, however the lead ofNYMEX futures is dominant within 5-minute intervals. Further analyses under major news effects both on the supply side and demand side reveal: (1) the two markets move closer when there are major US news events taking place, and IPE is more efficient in information incorporation when there are major news events both on the supply and the demand sides; (2) the lead ofNYMEX is stronger when there are major US events and that of IPE is stronger when there are major supply side events. Finally, intra-day trading activities of IPE are examined using the tick-by-tick transaction data. Empirical evidence from diurnal factor (intra-day seasonality), and from ACD model suggests that the patterns of IPE morning and afternoon durations are distinctively different from each other. These findings suggest that NYMEX has a large impact on IPE trading. Empirical findings in this thesis imply that NYMEX is a leader in the information incorporation process, but the extent of this leadership changes dynamically; under different news effects as well as different time periods. These results would impose significant challenges to regulators, in today's global market, to keep their market competitive as well as prudent. They should also benefit hedgers, who after taking into account their hedging implementation criteria such as liquidity, may be able to benefit from the faster information transmission ability of the leading market by directly taking hedging positions using the leading market contracts. The users most likely to benefit from the above findings are traders, who may be able to take arbitrage profits after taking into account trading costs, borrowing costs, etc.
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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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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 the process of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of 2008; however post-crisis period this leadership is caused by trading volume. Moreover, this study presents evidence that, in times of large uncertainty in the market, the market maker charges a greater bid-ask spread for the more informative market. The second chapter examines the influence of expected oil price volatility, the behavior of the Organization of Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures during the period from January 1986 to December 2008. The results indicate that oil futures are strongly and weakly backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC overproduction (difference between quota and the actual production), and the volatility of the US Dollar against the Japanese Yen have a positive significant effect on oil backwardation, while OPEC production quota imposed on its members has a negative significant effect on oil backwardation. However the volatility of US Dollar against the British Pound has no significant effect on oil backwardation. The regression analysis of strong backwardation produces qualitatively the same results except that volatility has no effect. In a sub-period analysis, evidence also indicates that trading volume of oil funds and backwardation are negatively related, suggesting that oil funds increase the demand of futures relative to that of spot.
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Ely, David Paul. "Futures markets and cash price stability." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272292312.
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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 acquisition are higher than those from common-law countries. These findings are consistent with agency problems and the hubris hypothesis, first introduced by Roll (1986). The second chapter examines the information links across futures markets in different nations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model. The data comprise a large set of commodity and financial futures traded in U.S., U.K., China, Japan, Canada, and Brazil during the period from August 1998 to December 2008. The primary finding is that market interactions are relatively high for commodities for which information production generally is more diverse (metal commodities), while moderate for commodities for which information is more concentrated (agricultural commodities). Furthermore, the strength and persistence of interactions among futures markets decline after excluding the most informative markets. These findings indirectly support the breadth of information being a relevant factor in the extent of information linkage. The results also indicate that the dynamic correlation in futures markets is high in most commodity and financial futures if there is a significant bi-directional return and volatility spillover. Additionally, I estimate a market’s contribution to the price discovery process. In general, the market that has a stronger price impact and a stronger volatility spillover tends to be the market that has greater contribution or leadership in price discovery.
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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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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; crude oil, corn and ethanol markets; and Indian government sugar policy and global sugar and commodity futures indices. Crude oil futures are shown to be affecting mature commodity futures markets. Recently, policies encouraging biofuel production have changed the mechanisms of influence of crude oil futures prices on several agricultural commodity markets. It has been shown that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Specifically, biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. Consequently, the impact of crude oil price movements on heterogeneous BRIC economies is analyzed. Crude oil futures prices are found to have an impact on markets in two distinct manners. The first being the traditional impact of energy, being one of the main production factors, on the economies.
In parallel, the information component of crude oil futures price fluctuations has an additional impact on the markets. In case of the complex relationships between crude oil, corn and ethanol futures markets, a strong relationship between crude oil and corn markets on one side, and crude oil and ethanol on the other has been found. In addition, corn futures market became more sensitive to volatility due to ethanol demand-sinks. Overall, the markets exhibit great dependency on information shifts. Consequent analysis of the Indian and global sugar and commodity indices futures offers additional insight on the bigger picture. The heterogeneous and complex Indian sugar policies, in combination of limited access and knowledge of futures markets, cause decoupling between the Indian sugar futures prices and the regional prices. Indian sugar futures markets are led by the information from global commodity markets. This division in price formation of Indian regional (spot) sugar markets and the futures markets indicates a distinct difference in the underlying price formation process. The main contributions of this research are:
(i) novel use of threshold cointegration techniques to model policy interventions;
(ii) inductive analytic design incorporates policy and regime changes that could affect price transmission;
(iii) policy price interventions cause impaired functioning of the futures markets, and;
(iv) agricultural commodities and commodity markets in general are more than ever responsive to information flows and experience price and volatility spillover effects among themselves.
Finally, it is hinted to reconsider futures markets theory, from the perspective that the decision-making process in futures markets is based on a priori situation or information.
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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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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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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.Cataloged from PDF version of thesis. Page 91 blank.
Includes bibliographical references (p. 87-90).
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 commodity futures prices and the mechanisms for how a price distortion may occur. This thesis advances three distinct categories of speculative activities alleged to distort commodity prices and reviews evidence for each. Those three categories are: corner and squeeze manipulations, nonfundamental futures demand, and large speculative demand. Case studies are presented for each of the three categories. In addition, the effectiveness of speculative position limits in decreasing the occurrence of each category is analyzed. A question that arises, but is left unanswered, is whether the marginal benefits outweigh the possible costs of speculation once speculation rises above certain levels required for price discovery and hedging.
by Devin B. Helfrich.
S.M.in Technology and Policy
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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 explore time-varying characteristics in this relationship, and as a test for robustness, we perform a sub-sampling analysis for the periods 1992-2006 and 2006-2014. We show that cross-market linkages grew stronger post-2005, particularly in the aftermath of the 2008 global financial crisis. The results of our econometric analysis indicate that any conclusions regarding the role of speculation in this process are highly sensitive both to the choice of market integration measure, as well as to how the extent of speculation is captured. Overall, though, there is little to indicate that speculation has played an important role in creating cross-market linkages. We do provide some evidence of market integration increasing with market size, but other factors, such as inflation and exchange rates, seem to provide better explanations of agriculture-equity-energy price dynamics. In line with previous research, we also find market interdependence to increase with stock market uncertainty, which suggests that the diversification benefits of commodity futures investments are actually reduced when needed the most. Considered together with our findings on the sizes of markets, which are increasingly made up of speculators, it appears at least possible that financialisation has made food markets more vulnerable to disturbances in financial markets.
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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 SUPERIORFUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO
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 mercado interbancário de dólar à vista entre 01/02/2006 a 31/05/2007. Mostra-se que o mercado de dólar futuro é muito mais líquido do que o mercado à vista no Brasil. Ademais, demonstra-se que a cotação da taxa de câmbio se forma primeiro no mercado futuro, sendo então transmitida por arbitragem para o mercado à vista. Por fim, utiliza-se a abordagem da microestrutura para realizar previsões intradiárias para a taxa de câmbio, obtendo resultados superiores às demais abordagens usualmente testadas na literatura, como a Paridade Descoberta da Taxa de Juros e o passeio aleatório.
This paper compares the spot and futures FX markets in Brazil, trying to identify which one leads the price determination. FX markets are analyzed at the micro level, at the level of its institutions and the asymmetries of its players, through the microstructure approach. A database that contains 100% of the bids, asks and deals of the dollar futures and interbank spot markets from 02/01/2006 to 05/31/2007 is used. It is shown that the futures market is much more liquid than the spot market in Brazil. Moreover, it is shown that the quote is determined firstly in the futures market, being transmitted through arbitrage to the spot market. The microstructure approach is also used to make intraday forecasts to the FX rate with superior results to the other approaches usually tested in the literature, like the Uncovered Interest Rate Parity and the Random Walk.
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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 and Australian market, and (iv) the market efficiency of the three UK financial futures contracts, including the impact of the introduction of an electronic trading on the efficiency. We found an inverse relationship between the maturity and traded volume of these futures contracts. However, observation of the relationship for various maturity horizons (the near, middle and far contract) reveals that the inverse relationship is contributed mainly by the middle contract trading. The study of the lead/lag relationship reveals a futures lead over the cash market of 50 minutes for the FTSEIOO. UK macroeconomic announcements are found to strengthen the futures lead by up to 5 minutes. The impact from bad news created by the announcements appears to strengthen the futures lead whereas good news causes a price lead from the cash market to the futures market instead. The study of the international market linkages reveals the existence of bi-directional transmission of mispricing errors of stock index futures across the countries under investigation. We found a spillover from the US market to the Australian market, but not to the UK market, and from the Australian market to the US market. Finally, the study of market efficiency indicates that all three UK futures markets under investigation are weak-form efficient.
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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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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 during periods of high volatility increased. These results are in contrast to those found in higher volume financial futures markets.
Chapter III investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. I find no evidence supporting the generalized version of Keynes's theory of normal backwardation. I find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. My evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation.
Chapter IV examines partial equilibrium and statistical approaches to hedging. Different types of hedgers have traditionally used each of two approaches: derivatives dealers and market makers have typically used the former approach to hedge their portfolios, while commodity producers and consumers more commonly use the latter. This research provides the first known comparison of the out-of-sample hedging performance of the two approaches. Results indicate that for a simple derivative with a linear payoff function (a futures contract), the statistical models significantly outperform the partial equilibrium models considered here.
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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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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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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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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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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.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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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 is demonstrated that the primary cause of the "cointegration paradox" is the model misspecifications resulting in omitted variable bias.
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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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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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Goetz, Cole Louis. "The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.
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This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.
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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 TECNOLÓGICOEsta 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.
This work documents the trade volume of nine agricultural futures contracts negotiated on the Bolsa de Mercadorias e Futuros (BM&F), between December of 1999 and December of 2003. The analysis identifies the most traded commodities and, then, studies the formation of futures prices of live cattle and corn. The work shows how to use the Brazilian currency crisis of 2002 to identify the impact of storage costs and crisis expectations on the futures prices of live cattle and corn.
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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 market setting. This thesis contributes to, and extends, the literature on minimum tick size reductions in several ways. First, this thesis extends the tick size literature into futures markets. Second, the proprietary data set allows an analysis of how the reduction in tick size affects the price impact of institutional trade packages. Finally, this dissertation is the first tick size study to consider both the seasonality in bond futures trading as well as the virtual round-the-clock trading of futures. Results indicate that bid-ask spreads and quoted depth are significantly reduced after the tick reduction. While the price impact of small trades is insignificantly different from zero in all periods examined, after the tick size reduction, large trade packages experience reductions in price impact. These findings suggest that overall market quality has improved after the reduction in minimum tick. The improvements in market quality are isolated to the 3 year bond futures contract, with minimal variations in control contracts. Robustness tests isolate market quality improvements to the 3 year bond futures and attribute the improvement to the reduction in minimum tick.Finance
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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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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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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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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. Chapter 4 analyses the effect of futures trading on stock market volatility, the Samuelson’s hypothesis and the relationship between returns, volatility and trading volume. Furthermore in Chapter 5 we examine the efficiency of futures markets in Greece. We analyse the relationship between stock index futures prices and spot prices in terms of causality and price discovery. In addition we consider cointegration techniques to test the long-run relationship (co movement) between futures prices and trading volumes. Finally, chapter 6 explores the derivation of hedge ratios and hedging effectiveness. Using several quantitative methods, we further analyse the stock index futures contracts of the ADEX in terms of risk management. Chapter 7 concludes this thesis and proposes future research.
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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-term, they tend to be largely biased over the short-term. The third area of investigation looks at the relative ability of contemporaneous spot and futures prices to discover information, where it is found that futures generally exhibit price discovery over spot markets but that the relationship can vary considerably over time and in relation to market conditions. In addition, the investigation suggests that previous studies into such relationships have failed to account for all routes through which information passes between spot and futures markets. Finally the thesis probes the question of the relationship within futures markets between volume, volatility and information. The finding is' that futures markets' prices and trading volume exhibit a positive relation and are jointly driven by the rate of information arrival. The results further suggest that the widely held expectation that volume statistics can improve forecasts of future price change does not hold in the case of oil futures. The overall finding of the thesis is that oil futures markets are well-functioning and in general are of benefit to the underlying spot market.
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Luo, Wu-chang. "The predictability of stock index futures markets in Taiwan." Thesis, University of Southampton, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.423215.
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