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1
Fan, Hua (John). "Momentum Investing in Commodity Futures." Thesis, Griffith University, 2014. http://hdl.handle.net/10072/365723.
Повний текст джерелаАнотація:
Momentum, the tendency of recent winner stocks to continue to rise and recent loser stocks to continue to fall, is one of the most puzzling asset pricing anomalies in modern finance. The recent boom in commodity futures investments has sparked renewed interest from both academia and industry in momentum investment strategies. This thesis proposes and examines the performance of three novel momentum-based active investment strategies in commodity futures. Conventional momentum strategies rely on 12 months of past returns for the formation of investment portfolios. First, this thesis proposes a more granular strategy termed 'microscopic momentum‘, which decomposes conventional momentum into single-month momentum components. The novel decomposition reveals that a microscopic momentum strategy generates persistent economic profits even after controlling for sector-specific or month-of-year commodity seasonality effects. Furthermore, we find that all 12 months of past returns play an important role in determining the conventional momentum profits. Second, for the first time in the literature, we document a consistent reversal pattern in commodity momentum profits. Combining the observed reversal pattern with the momentum signal, the strategy in the second study significantly outperforms conventional strategies. The profitability of the proposed strategy cannot be explained by standard asset pricing risk factors, market volatility, investors‘ sentiment, data- mining or transaction costs, but appears to be related to global funding liquidity. Furthermore, the proposed investment strategy in commodity futures may be employed as a portfolio diversification tool.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
Full Text
2
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.
Повний текст джерелаАнотація:
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.
3
Tang, Weiqing. "Global commodity futures market modelling and statistical inference." Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/8661/.
Повний текст джерелаАнотація:
This thesis first investigates the asset pricing ability of a new risk factor, namely Risk-Neutral Skewness (estimated based on option data) in the global commodity futures market. Skewness trading behaviour in the option market is attributed to heterogeneous belief and selective hedging concern. The negative (positive) the Risk-Neutral Skewness is accompanied with excess trading on put (call) option contracts, which leads to underlings' over-pricing (under-pricing). Above results are robust to time-series and cross-sectional test and other alternatives. Secondly, a new functional mean change detection procedure is proposed via the Kolmogorov-Smirnov functional form. Simulations indicate decent testing power under the alternative. An empirical test procedure is deployed for crude oil and gold futures price term structure, showing real market data change. The multivariate forecasting regression analysis uncovers trading behaviours behind the real-world change occurrence. Lastly, the futures basis term structure is forecasted under the framework of the functional autoregressive predictive factor model with lag 1. By comparison, the new method outperforms other functional and non-functional methods, with maturities less than 10 months. The Model Confidence Set method statistically validate this result. A new variance minimization trading strategy is proposed and tested when the future futures basis is forecast and known.
4
Wang, Ying. "Essays on Risk Management for Agricultural Commodity Futures Market." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461192690.
Повний текст джерела
5
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.
Повний текст джерелаАнотація:
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.
6
Howell, James Andreas. "An analysis of speculator behavior and the dynamics of price in a futures market." Diss., Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/24847.
Повний текст джерела
7
Dai, Jingyu. "Testing Overreaction and Under-reaction in the Commodity Futures Market." Thesis, Singapore Management University (Singapore), 2013. http://pqdtopen.proquest.com/#viewpdf?dispub=1548068.
Повний текст джерелаАнотація:
Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among investors.
8
Kim, Sang Hyo. "Analysis of Agricultural Commodity Storage Using Futures and Options Market." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436958589.
Повний текст джерела
9
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.
Повний текст джерела
10
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.
Повний текст джерелаАнотація:
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.
11
Zhou, Feng. "Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061.
Повний текст джерела
12
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.
Повний текст джерелаАнотація:
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.
13
Ely, David Paul. "Futures markets and cash price stability." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272292312.
Повний текст джерела
14
Mao, Yixiao. "On aspects of inflation in the context of commodity and futures market." Thesis, University of Glasgow, 2018. http://theses.gla.ac.uk/30878/.
Повний текст джерелаАнотація:
This thesis has developed alternative approaches for inflation forecasting and analysed the inflation risk premium in the context of commodity futures and options markets. Chapter 1 proposes an approach to tackle the non-availability of exchange-traded inflation futures price data. The composition of the consumer price index enables us to recognise the commodities which correspond to the consumption goods in the CPI. By averaging the commodity futures prices in the same way as the CPI is composed, we construct a synthetic futures contract written on the consumer price index, i.e. a futures on the CPI proxy, based on which we derive a ‘point’ forecast of inflation rate. Chapter 2 analyses the term structures of futures on the CPI proxy using the Schwartz (1997) method. Inspired by the Schwartz (1997)’s framework, we develop a two-factor valuation model filtering the spot consumer price index and the instantaneous real interest rate. The Kalman filter is applied to estimate the two-factor valuation model parameters. The filtered spot consumer price index may help alleviate the publication lag in the U.S. CPI-U index. What’s more, the two-factor valuation model is capable of forecasting the downward trend in the U.S. CPI inflation rate during May 2014 to December 2014. Chapter 3 forecasts the inflation rate from the perspective of commodity futures option market. We construct a synthetic option contract written on the futures on the CPI proxy. Based on a synthetic option implied volatility surface, we derive an interval estimate for the one-year ahead expected inflation rate. Moreover, the fact that commodity futures option market data is high-frequency enables our method of inflation forecasting to theoretically capture the market expectation of price level evolution in the real time. Chapter 4 estimates the inflation risk premium using commodity market data. We derive a link between the inflation risk premium and the risk premium associated with the futures on the CPI proxy. The negative inflation risk premium estimates in our result are consistent with the recent inflation risk premium estimates in the macroeconomic inflation risk premium literature.
15
Zhou, Haijiang. "Essays on theoretical and empirical studies of commodity futures markets." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1110165219.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains xi, 114 p.; also includes graphics (some col.) Includes bibliographical references (p. 108-114). Available online via OhioLINK's ETD Center
16
Borg, Elin, and Ilya Kits. "Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach." Thesis, Linköpings universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940.
Повний текст джерелаАнотація:
This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. We employ the cross-quantilogram approach developed by Han et al. (2016) to examine dependence structures in the full quantile range, which represents different market states. Furthermore, we control for different lag structures, uncertainties and time-varying dependence structures. From our results we conclude the following: 1) There are time-varying asymmetric and symmetric dependencies in different commodity markets. There is asymmetric dependence between commodity futures and producer indices in the precious metals, gold and agricultural markets. In the oil market, the relationship is symmetrical. No relationship is found in the natural gas market. 2) Heterogenous dependence structures are identified in the gold, precious metals and agricultural commodity markets. The oil market uncovers homogenous dependence structures. 3) The observed spillover in all markets occur in the very short run, at one day, and dissipates after a week and additionally after a month. Our results provide new information regarding commodity diversification attributes which can be useful to investors. Our results also provide important policy implications: Since volatility spillovers between commodity futures and producer indices may deter investors from including commodities in their portfolios, as they might lose their diversifier qualities, it is important to enforce policies that will prevent the spillovers between the assets. Further, regulations of the commodity futures markets could be an alternative to reduce the spillovers.
17
Yun, Won-Cheol. "Tax treatment of trade in cattle futures : possible implications to market efficiency and price stability /." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-11242009-020149/.
Повний текст джерела
18
Borocco, Etienne. "The heterogeneity of information and beliefs among operators in the commodity markets." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED072.
Повний текст джерелаАнотація:
Le projet de thèse consiste à étudier l’hétérogénéité de l’information et des croyances parmi les opérateurs sur les marchés de matières premières pour s’attaquer aux puzzles de la volatilité et de la prime de risque sur ces marchés. La première étape a été d’introduire l’asymétrie d’information dans un modèle de stockage. Il en est ressorti que le marché est efficient et que l’on peut distinguer un effet informationnel aléatoire d’un effet physique déterministe. La deuxième étape est d’estimer empiriquement les paramètres d’une version modifiée du modèle théorique évoqué plus haut. L’hypothèse de rationalité économique est relâchée. Sont introduit des "chartistes" qui suivent les cours. Le but de ce papier est d’estimer leur influence sur la formation des prix. Le marché choisi pour l’étude empirique est le marché du gaz naturel américain Henry hub. La troisième étape est un modèle où agents rationnels et agents à rationalité limitée cohabitent dans un marché de matières premières. Ce dernier chapitre montre comment des traders suivant la tendance sur le marché à terme peuvent déstabiliser le marché physiqueThis Ph.D. project aims to study the heterogeneity of information and beliefs among speculators on commodity markets to tackle the issues of the risk premium and volatility puzzles. The first step was to introduce information asymmetry in a storage model. The output is an efficient market where it is possible to distinguish a random informational effect from a deterministic physical effect. The second step is to estimate empirically the parameters of a modified version of the theoretical model above. The rationality hypothesis is relaxed."Chartists," who are trend-followers, are introduced. The goal of this paper is to estimate their influence on asset pricing. The chosen market for the empirical study is the Henry Hub natural gas market. The third step is a model where rational agents and bounded-rational agents interact together in a commodity market. This last chapter shows how trend-followers in the futures market can destabilize the spot market
19
El-Moussawi, Chadi. "Vliv spekulantů na komoditních trzích." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-136242.
Повний текст джерелаАнотація:
In the recent years, there has been growing talk of investing in commodities in the financial markets. In the past, the commodity markets served for purposes of the producers and the end-users of commodities. With gradual innovation of the financial markets in the 19th and 20th century the modern commodity markets evolved and became more standardized. This process was accompanied by the increasing interest of financial speculators. In contrast with the commercial participants, the goal of these new investors in the commodity markets is not to hedge against adverse changes in commodity prices but to profit on the price movements of commodities. The inflow of this group was intensified by the development of new financial instruments enabling these investors to enter the commodity markets. It is undisputable that speculators have positive effect on the markets, by providing liquidity and lowering transaction costs. What remains to be answered is the real effect which the speculators have on the commodity prices, and if their action does not create distortion in the commodity prices. The price development on the commodity markets during the recent financial crisis gives strong arguments in the hands of those accusing the speculators of the negative impact on the commodity prices, which sometimes lead to creation of price bubbles. The goal of this thesis will be the analysis of the effect of speculators on the commodity markets, and if this prejudice is justified.
20
Koettering, Andreas Hermann. "Futures trading on commodity markets." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.306271.
Повний текст джерела
21
Lundström, Christian. "On the returns of trend-following trading strategies." Licentiate thesis, Umeå universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-132914.
Повний текст джерелаАнотація:
Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of low, high, open and close over a given time horizon. Paper [II] measures the returns of a popular day trading strategy, the Opening Range Breakout strategy (ORB), across volatility states. We calculate the average daily returns of the ORB strategy for each volatility state of the underlying asset when applied on long time series of crude oil and S&P 500 futures contracts. We find an average difference in returns between the highest and the lowest volatility state of around 200 basis points per day for crude oil, and of around 150 basis points per day for the S&P 500. This finding suggests that the success in day trading can depend to a large extent on the volatility of the underlying asset. Paper [III] performs empirical analysis on short-term and long-term Commodity Trading Advisor (CTA) strategies regarding their exposures to unanticipated risk shocks. Previous research documents that CTA strategies offer diversification opportunities during equity market crisis situations when evaluated as a group, but do not separate between short-term and long-term CTA strategies. When separating between short-term and long-term CTA strategies, this paper finds that only short-term CTA strategies provide a significant, and consistent, exposure to unanticipated risk shocks while long-term CTA strategies do not. For the purpose of diversifying a portfolio during equity market crisis situations, this result suggests that an investor should allocate to short-term CTA strategies rather than to long-term CTA strategies.
22
Momoli, Tommaso. "Financialization of the commodity future markets: a SVAR model approach." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18105.
Повний текст джерелаАнотація:
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This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others.
Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.
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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.
Повний текст джерелаАнотація:
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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Volf, Petr. "Využití umělé inteligence na komoditních trzích." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224867.
Повний текст джерелаАнотація:
Tato diplomová práce se zabývá problematikou obchodování na komoditních trzích. Řešení problematiky spočívá ve využití umělé inteligence, konkrétně neuronových sítí, k technické analýze vývoje ceny vybrané komodity a snaze o co nejpřesnější predikci budoucího vývoje ceny pro podporu investičního rozhodování. Model neuronové sítě je vytvořen a použit pro predikci v programu MATLAB.
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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.
Повний текст джерелаАнотація:
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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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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Mo, Di. "Globalization and Financialization of Emerging Commodity Futures." Thesis, Griffith University, 2017. http://hdl.handle.net/10072/370990.
Повний текст джерелаАнотація:
The dramatic increase in commodity prices in recent years has raised concerns for scholars, practitioners and policy makers. The significant inflows of investment to commodity futures markets in recent decades have generated much debate as to whether the financialization process has an impact on commodity prices. Further debate questions whether the process of financialization may have been influenced by globalization. These two seem independent phenomena in the global markets but they are inter-related because of the increased capital mobility around the world, and may have affected commodity prices in two ways. First, commodity prices may be determined in the context of investible assets and not purely as consumables. Second, commodity prices may be determined in the global context rather than purely in the domestic markets.
Inspired by these phenomena, this research aims to explore the impact of the globalization and financialization of commodity markets, especially from an emerging market perspective. Using Chinese and Indian markets as representative samples of emerging commodity markets, this research seeks the answer to the primary question: What are the impacts of globalization and financialization of commodity futures in the emerging markets? To address this question, this research poses three sub-questions that inter alia answer its primary research question.
The first sub-question, regarding the information transmission among futures/spot markets, is addressed in the first study (Chapter 4): Does information spill over among agricultural commodity spot/futures markets in China and the futures market in the US? This study helps to understand both the pricing mechanism of commodities across three markets (futures/spot in China and futures in the US) and the integration of Chinese commodity markets in particular with the global commodity markets. The findings show a bi-directional relationship between futures and spot prices in China and between futures prices in China and the US. The results indicate that the information contained in commodity futures in emerging markets, such as the Chinese commodity futures market, starts to play an important price discovery role in developed commodity futures markets.
The second sub-question, addressed in the second study (Chapter 5), regarding the volatility determinants of commodity futures, asks: What are the impacts of macroeconomic variables on the volatility of commodity futures? It examines the macroeconomic determinants of the volatility of commodity futures, with a focus on two emerging commodity markets, China and India. Further, this study employs both domestic and international macroeconomic variables and examines their impact on the volatility of commodity futures. The analysis shows that the commodity futures in emerging markets are determined by both domestic and international macroeconomic information.
The third sub-question, which is addressed in the third study (Chapter 6), relates to the portfolio diversifications of using commodity futures in emerging markets: Are emerging commodity futures an effective investment vehicle for US investors to obtain diversification benefits? It examines the international diversification benefits that commodity futures in emerging markets can provide to the US portfolio investors. The evidence suggests that the commodity futures in emerging markets outperform the commodity futures in the US and are able to provide incremental portfolio benefits to US investors.
The findings of these studies contribute to theory, practice and policy. Firstly, from a theoretical standpoint, there is a clear understanding that the pricing mechanisms have changed from purely domestic factors to international factors thanks to globalization and financialization. This research also contributes to the Modern Portfolio Theory by providing evidence that the financialization has caused the commodity futures in emerging markets to have a heterogeneous risk–return profile towards other asset classes. Furthermore, this research separates the information contained in the high-frequency daily prices and low-frequency macroeconomic conditions. This is critical for scholars who seek to investigate the influence of economic changes in volatilities of financial assets in the market.
This research contributes to practice in three forms. First, the findings contribute to investment practice by explaining the risk-return characteristics of commodity futures in emerging markets. Second, understanding the macroeconomic determinants of the volatility of commodity futures is of value to portfolio managers, who aim to predict future movements of commodity prices. Third, finding conclusive evidence that the information flow is bi-directional rather than unidirectional from the US market to emerging markets is of significant importance for fund managers and investors.
From a policy perspective, the findings of this research clearly show that the direct control of spot prices in commodity markets may not be a workable policy option as it may cause mispricing in the spot market in a long-run. Thus, policy makers may consider policies that aim to influence supply and/or demand side of the commodities rather than the direct price control. Policy makers who seek to design policies that provide attractive investment environment for investors, should also consider commodity futures in emerging markets.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
Full Text
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Bozovic, Milos. "Risks in Commodity and Currency Markets." Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7388.
Повний текст джерелаАнотація:
This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by the investors. The first chapter develops a simple two-factor jump-diffusion model for valuation of contingent claims on commodities in order to investigate the pricing implications of shocks that are exogenous to this market. The second chapter analyzes the nature and pricing implications of the abrupt changes in exchange rates, as well as the ability of these changes to explain the shapes of option-implied volatility "smiles". Finally, the third chapter employs the notion that key results of the univariate extreme value theory can be applied separately to the principal components of ARMA-GARCH residuals of a multivariate return series. The proposed approach yields more precise Value at Risk forecasts than conventional multivariate methods, while maintaining the same efficiency.El objetivo de esta tesis es analizar los factores del riesgo del mercado de las materias primas y las divisas. Está centrada en el impacto de los eventos extremos tanto en los precios de los productos financieros como en el riesgo total de mercado al cual se enfrentan los inversores. En el primer capítulo se introduce un modelo simple de difusión y saltos (jump-diffusion) con dos factores para la valuación de activos contingentes sobre las materias primas, con el objetivo de investigar las implicaciones de shocks en los precios que son exógenos a este mercado. En el segundo capítulo se analiza la naturaleza e implicaciones para la valuación de los saltos en los tipos de cambio, así como la capacidad de éstos para explicar las formas de sonrisa en la volatilidad implicada. Por último, en el tercer capítulo se utiliza la idea de que los resultados principales de la Teoria de Valores Extremos univariada se pueden aplicar por separado a los componentes principales de los residuos de un modelo ARMA-GARCH de series multivariadas de retorno. El enfoque propuesto produce pronósticos de Value at Risk más precisos que los convencionales métodos multivariados, manteniendo la misma eficiencia.
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Momoli, Tommaso. "Financialization of the commodity future markets: a SVAR model approach." Master's thesis, reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10362/26207.
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This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others.
Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.
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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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Nurmos, Ville, and Mattias Andersson. "Nordic electricity hedging : A comparison with other commodity market structures." Thesis, KTH, Tillämpad termodynamik och kylteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129188.
Повний текст джерелаАнотація:
This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. The report consists of a literature review with a theoretical background, CATWOE and a case analysis of each commodity market. The markets are thereafter analysed, compared and discussed regarding the research questions. It is concluded that the Nordic electricity market is in many ways comparable to other commodities, although it has some special characteristics. Key factors determining market success have been identified as (1) correlation between perceived risk and derivative risk, (2) trust for and experience of trading institutions and trading environment and (3) expectations. Based on the findings a new conceptual measure for market liquidity, Relative Market Liquidity, is introduced and discussed. The comparison in this thesis is based on the Nordic electricity market, but much of the results are applicable to other commodity markets. The thesis has been written during spring 2013 at the Royal Institute of Technology Department of Energy Technology in co-operation with Vattenfall AB.
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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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Watugala, Sumudu Weerakoon. "Essays on interconnected markets." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:50c12fb0-a354-40bb-9d07-9174ad1f594a.
Повний текст джерелаАнотація:
This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.
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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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Siu, Lucia Leung-Sea. "Cadres, gangs and prophets : the commodity futures markets of China." Thesis, University of Edinburgh, 2008. http://hdl.handle.net/1842/25191.
Повний текст джерелаАнотація:
In China’s market reforms, the emergence of commodity futures markets marked the way in which the country took up more sophisticated components of capitalist markets. Based on seven months of ethnographic fieldwork in 2005, this thesis is the first ethnography conducted in the commodity futures markets of China. It provides field records of the relationship between state structures, quasi-public organisations and the private sector in a post-Communist market. It shows how social groups align to form capital factions, and how these factions attempt to calculate the actions of each other. It also provides an account of how knowledge is circulated, and how reputation, authority and expertise are developed within the markets. The author argues that the notion of “performativity” can be applied to the case of Chinese futures markets. The consensus held by market actors and their subsequent actions are a major contribution to market reality. In the context of Chinese markets, political power plays a particularly crucial role – it links up a politicised feedback loop between perception, action and reality. The thesis applies the concept of technology transfer to assess whether futures markets have an inherent “script” that unfolds and is implemented under different social, cultural and political contexts. Relaxing assumptions held by neoclassical economists (such as individualised rationality), the author believes that the feedback loop of knowledge, action and reality is the “vanilla core” of markets. One of the key factors in success in market construction is the successful implementation of such feedback loops.
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Ling, Julien. "An empirical analysis of systemic risk in commodity futures markets." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED022/document.
Повний текст джерелаАнотація:
Cette thèse vise à analyser le risque systémique sur les marchés futures de matières premières. En effet, plusieurs travaux de recherche mettent en évidence l'importance de ces futures dans la détermination du prix physique des matières premières. Leur incorporation dans la finance traditionnelle en tant qu'actif diversifiant a entraîné une évolution de leurs prix similaire à celles de différents actifs financiers depuis environ 2004. La question ayant motivé cette thèse a donc été de quantifier ce risque systémique (puisqu'affectant les matières premières, directement impliquées dans l'économie réelle), d'en voir précisément les moyens de transmission (quels marchés affectent quels autres marchés) et enfin de permettre d'en évaluer les conséquences, par exemple à partir de scénarii (stress tests). Elle permet donc de développer des outils de surveillance des marchés et pourrait donc contribuer à la régulation de ces marchésThis thesis aims at studying systemic risk in commodity futures markets. A whole strand of the literature is dedicated to the "financialization of commodity markets", but also to the influence of the existence of futures markets on the spot price of their underlying asset. Indeed, since these commodity futures have been largely used by in asset management as diversifying assets, their financialization has raised concerns, especially seeing the evolution of their price, which seems to be similar to that of financial assets. My interest here is thus to quantify this systemic risk, provide a toolbox to assess the consequences of various scenarios (stress tests), but also to assess which markets should be monitored more closely (because they could threaten the real economy or the whole system)
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Agostini, Filippo <1993>. "Network Structures and Dynamics in Equity and Commodity Futures Markets." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10760.
Повний текст джерелаАнотація:
Over the last decade, commodity futures have been increasingly considered as an asset class capable of providing high potential for equity risk diversification, particularly during financial crises and in presence of downturns in stock markets. Indeed, commodity futures generally offer rather high returns with relatively low volatility and, most importantly, low correlation with stocks and bonds. However, recent studies have demonstrated the arising of some linkages between commodity futures markets and equity markets, which have progressively become more interconnected to each other. The financialization of commodity markets may result in a decrease of the diversification benefits from the inclusion of commodity futures into stock portfolios.
This dissertation aims to investigate the existence and structure of these interaction between equity and the commodity futures markets. In order to do so, we will use the models and techniques developed within network theory, a field of mathematics that tries to describe the behaviour of complex systems of interactions.
The first part of this work introduces the concept of network and its most important properties, along with a general review of the existing literature on the topic of networks in finance. The second part presents the basic notions related to commodities and futures trading, introducing the phenomenon of the financialization of commodity markets. The third chapter explains which data have been collected and the methodologies used to analyse them. The fourth chapter displays the results of our core analysis and the conclusion that we can draw from them.
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Sousa, Evemilia. "Análise da volatilidade dos preços futuros do açúcar." Universidade Federal da Paraíba, 2015. http://tede.biblioteca.ufpb.br:8080/handle/tede/5427.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
This research aimed to analyze the dynamics and transmission of volatility of future sugar prices traded at the New York Stock Exchange for the Brazilian spot market between the years 2003 and 2014. The dynamics of volatility was estimated by the ARCH family models: GARCH, EGARCH and TARCH. In order to verify the transmission of the future foreign market prices to the Brazilian spot market ones, we applied Engler & Granger’s cointegration test. The results indicated: a) the existence of cointegration between the sugar prices of future foreign market and the Brazilian spot market prices, showing that future market price information is transmitted to the spot market prices in the three periods analyzed ; b) high volatility of the future sugar market, resulting from the sum of the volatility persistence coefficients; c) the presence of the asymmetric effect of volatility; d) absence of the leverage effect; e) in period 1 (05/20/2003 to 04/30/2014), the EGARCH model (2.1), presented the best fit to estimate the dynamics of the volatility of sugar future returns, considering the AIC and SBC criteria ; f) in period 2 (05/20/2003 to 06/21/2012), there was also the best fit through the EGARCH model (2.1); g) in period 3 (06/22/2012 to 04/30/2014), the GARCH model (1.1) presented the best fit in measuring the dynamics of the volatility of sugar future returns.
Esta pesquisa teve como objetivo analisar a dinâmica e transmissão da volatilidade dos preços futuros do açúcar negociados na Bolsa de Nova York para o mercado à vista brasileiro entre os anos de 2003 e 2014. A dinâmica da volatilidade foi estimada através dos modelos da família ARCH: GARCH, EGARCH e TARCH. No intuito de verificar a transmissão dos preços do mercado futuro estrangeiro para os preços do mercado à vista brasileiro, aplicou-se o teste de cointegração de Engler & Granger (1987). Os resultados indicaram: a) a existência de cointegração entre os preços do mercado futuro estrangeiro do açúcar com os preços do mercado à vista brasileiro, evidenciando que informações dos preços do mercado futuro são transmitidas para os preços do mercado à vista, nos três períodos analisados; b) acentuada volatilidade do mercado futuro do açúcar, resultante do somatório dos coeficientes de persistência da volatilidade; c) presença do efeito assimetria da volatilidade; d) ausência do efeito alavancagem; e) no período 1 (20/05/2003 a 30/04/2014), o modelo EGARCH (2,1), apresentou o melhor ajustamento na estimação da dinâmica da volatilidade dos retornos futuros do açúcar, considerando os critérios AIC e SBC; f) no período 2 (20/05/2003 a 21/06/2012), ocorreu igualmente o melhor ajustamento através do modelo EGARCH (2,1); g) no período 3 (22/06/2012 a 30/04/2014), o modelo GARCH (1,1) foi o que apresentou o melhor ajustamento na mensuração da dinâmica da volatilidade dos retornos futuros do açúcar.
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Bowe, Michael A. (Michael Anthony) Carleton University Dissertation Economics. "Essays concerning the impact of measurement costs upon commodity futures markets." Ottawa, 1988.
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Bosch, David. "Essays on pricing and speculation in commodity markets." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2016. http://dx.doi.org/10.18452/17457.
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Die erste Studie analysiert den Einfluss spekulativer Aktivität auf die Renditen und die Volatilität von Edelmetallterminpreisen. Die Ergebnisse zeigen, dass die spekulative Aktivität kurzfristig keinen Einfluss auf die Edelmetallterminpreise hat. Langfristig, auf monatlicher Basis, beeinflussen sie jedoch die Renditen der Edelmetallterminpreise. Die zweite Studie untersucht, ob Händleraktivitäten unterschiedlicher Marktteilnehmer den Beitrag des Terminmarktes zur Preisfindung und die Konvergenzgeschwindigkeit zwischen Rohstoffkassa- und Terminpreisen beeinflussen. Die Ergebnisse zeigen, dass Händleraktivitäten den Beitrag der Rohstoffterminmärkte zur Preisfindung nicht signifikant beeinflussen. Spekulanten verbessern die Konvergenzrate und Index Trader verschlechtern sie. Die dritte Studie analysiert den Einfluss der Marktstruktur auf Weizenterminpreise. Die Ergebnisse zeigen, dass sich aufgrund der Dominanz physischer Händler, in Verbindung mit einer geringen Beteiligung anderer Händler, der Terminpreis des harten Frühlingsweizens von der fundamentalen Entwicklung abgekoppelt hat. Die vierte Studie vergleicht den Einfluss von Nachrichten zum Angebot und Nachfrage mit dem Einfluss der Veröffentlichungen von Händlerpositionen auf die Getreideterminpreise. Während fundamentale Nachrichten weiterhin wichtig für die Preisbildung auf Getreideterminmärkten sind, ist die Bedeutung der Veröffentlichung von Händlerpositionen auf dem Mais- und Weizenterminmarkt verhältnismäßig gestiegen. Die fünfte Studie untersucht die Absichten unterschiedlicher Händler und inwieweit die Interaktion zwischen verschiedenen Händlern die Preisbildung an Rohstoffterminmärkten beeinflusst. Wir zeigen, dass Spekulanten Momentum-Strategien verfolgen und Hedger gegen den Markt handeln. Die Interaktions-Analyse zeigt, dass Spekulanten und Hedger die wichtigsten Händlergruppen für die Preisbildung auf Rohstoffterminmärkten sind.The first study analyzes the impact of speculative activity on precious metals’ futures returns and volatility. Our results demonstrate that speculative activity does not affect precious metals’ futures returns in the short run. However, in long-term they influence precious metals’ futures returns on a monthly base. The second study examines how trading activities of different market participants influence the contribution of the futures market to price discovery and the rate of convergence between commodity spot and futures markets. The results show that the trading activities do not significantly contribute to price discovery in commodity futures markets. Considering the rate of convergence between spot and futures prices, we find that speculators improve while index traders impair the rate of convergence. The third study analyzes the impact of the market structure on wheat futures prices. The findings reveal that the price of hard red spring futures decoupled from its fundamental development because of the dominant presence of physical traders, combined with a low participation of other traders. The fourth study analyzes the impact of fundamental news on grain futures prices compared to the impact of the publication of traders’ positions. The results show that fundamental news remain an important source for pricing in grain futures markets. Nevertheless, a shift of importance from fundamental news to the publication of traders’ positions is observed in corn and wheat futures markets. The fifth study aims to reveal the motives behind the position changes of different market participants and how the interaction between the different traders affects prices in commodity futures markets. We find that speculators are driven by momentum trading and hedgers are contrarian traders. The interaction analysis demonstrates that on average speculators and hedgers appear to be the most important traders influencing pricing in commodity markets.
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Isleimeyyeh, Mohammad. "Financialization of Commodity : the Role of Financial Investors in Commodity Markets." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED068/document.
Повний текст джерелаАнотація:
Cette thèse étudie le rôle joué par les investisseurs financiers sur les marchés des matières premières, connu sous le nom de financiarisation des matières premières. Elle est constituée d’une partie théorique et d’une autre empirique. Les recherches menées visent à étudier la participation des investisseurs, détenant des portefeuilles d’actions, aux marchés à terme de matières premières, pour des raisons de diversification. De plus, cette diversification peut être obtenue en investissant dans un panier de produits de base. Le premier chapitre analyse théoriquement l’interaction entre le marché des matières premières et celui des actions. Le deuxième chapitre étudie empiriquement l’impact du choix des investisseurs financiers sur la prime de risque des contrats à terme sur les matières premières. Il s’intéresse principalement à trois produits de base : pétrole brut (WTI), fioul pour chauffage et gaz naturel. Le troisième chapitre étudie théoriquement l’intégration de deux marchés de matières premières. Nous clarifions certaines considérations concernant l’effet de la financiarisation sur lesquelles la littérature existante reste hésitante. Nous démontrons le pouvoir d’influence qu’exercent les investisseurs sur le marché des matières premières. Toutefois, ceci dépend de la nature de la position de l’investisseur sur le marché à terme. De manière générale, la financiarisation entraîne la hausse des prix spot, des prix des contrats à terme et des niveaux des stocks. Nous montrons aussi que les investisseurs représentent un canal de transmission entre les marchés de matières premières. Leurs effets étendus se limitent à la corrélation croisée des marchés de matières premières. Enfin, nous montrons que les rendements des marchés d’actions sont devenus un déterminant de la prime de risque des contrats à terme après la crise financière de 2008. Cet effet des rendements des actions est indifférent entre les maturités courtes et longuesThis dissertation studies the role of financial investors on commodity markets, which is referred as financialization of commodity. The content of the dissertation splits to theoretical and empirical work. The implemented researches are motivated by the participation of investors, who own stock portfolios, in commodity futures markets for diversification reasons. Furthermore, that diversification is likely achieved by investing in a basket of commodities. The first chapter investigates, theoretically, the interaction between commodity and stock markets. The second chapter studies, empirically, the impact of financial investors on the commodities futures risk premium. It focuses on studying three commodities: crude oil (WTI), heating oil and natural gas. The third chapter examines, theoretically, the integration between two commodity markets. We clarify the hesitating of the previous literature in finding evidences of the impact of financialization. We confirm the influential power of investment in commodity market. However, that depends on the financial investors positions taken in the futures market. Generally, financialization increases the spot prices, the futures prices and inventory levels. We find, also, that investors are a transmission channel between commodity markets. Their effects spread out restricted to the cross commodity markets correlation. Finally, stock market returns became effective determinant of the futures risk premium after 2008 financial crisis. Also, the effect of the stock returns indifferent between short and long maturities
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Meyer, Thomas O. "Effects of speculation and hedging in several commodity and financial futures markets /." Connect to resource, 1990. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265633828.
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Meyer, Thomas Otto. "Effects of speculation and hedging in several commodity and financial futures markets." The Ohio State University, 1990. http://rave.ohiolink.edu/etdc/view?acc_num=osu1265633828.
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Ahmerkamp, Jan. "Return predictability and optimal portfolio choice : evidence from commodity and global futures markets." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/24770.
Повний текст джерелаАнотація:
Time variation in expected returns is understood to be a common feature across aggregate asset classes as diverse as equities, currencies and bonds. Less is known on aggregate commodity return predictability. Findings of this thesis provide evidence of time variation of commodity returns and assesses its economic value within portfolio allocation strategies. Further findings demonstrate the effect aggregate hedge fund capital has on the profitability of carry and momentum strategies across global futures markets. Besides the financial implications, the findings of this thesis also affect policies with respect to international macroeconomics, poverty alleviation, energy and climate policy, and commodity market regulation. First, I study variation of expected commodity return portfolios. I run regressions of 1 to 9 months portfolio holding returns on lagged average futures discounts (AFD). I find that the AFD predicts commodity portfolio returns with 9 months $R^2$ values of 10 percent. Most predictable variation is a result of spot premia variation, while term premia are only significantly time-varying on short term horizons. Variation in the AFD is procyclically related to macroeconomic conditions. The procyclical relation leads to strong return predictability: the AFD and US industrial production growth rates forecast up to 16 percent of the commodity portfolio holding return variation at the 9 months horizon. Second, I study the statistical and economic value of macroeconomic, financial and commodity market specific variables in predicting commodity returns. I estimate the models within a data-rich Bayesian model averaging (BMA) framework. I find that commodity portfolio returns and volatility are predictable across commodity sectors. Posterior model probabilities reveal that most of the predictable variation in commodity returns is due to macroeconomic variables of industrial production growth and the variation of the aggregate commodity basis. Portfolio volatility is related to lagged dividend yield, default spread, and inflation growth. I further find that an investor will pay a high performance fee to switch from a dynamic portfolio strategy based on a simple autoregressive benchmark models to a BMA model. In contrast a conditional volatility strategy does not generate significant economic gains. Third, in collaboration with James B. Grant, we provide evidence that hedge funds capital is a key determinant for the profitability of carry and momentum strategies in futures markets across asset classes. We parameterize carry and momentum portfolios from the perspective of a utility maximizing risk averse investor. We find that the returns to optimal carry and momentum strategies yield high Sharpe ratios (above 1.2), which are not a compensation for traditional risk exposure or time-varying risk due to macroeconomic cycles or funding liquidity, however they are related to pro-cyclical hedge fund capital flows. Larger capital flows lead to higher carry and momentum returns, implying that expected returns decrease with the total amount of assets under management by hedge funds. We argue that these findings are consistent with the notion of limits to arbitrage.
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Islyaev, Suren. "Stochastic models with random parameters for financial markets." Thesis, Brunel University, 2014. http://bura.brunel.ac.uk/handle/2438/10344.
Повний текст джерелаАнотація:
The aim of this thesis is a development of a new class of financial models with random parameters, which are computationally efficient and have the same level of performance as existing ones. In particular, this research is threefold. I have studied the evolution of storable commodity and commodity futures prices in time using a new random parameter model coupled with a Kalman filter. Such a combination allows one to forecast arbitrage-free futures prices and commodity spot prices one step ahead. Another direction of my research is a new volatility model, where the volatility is a random variable. The main advantage of this model is high calibration speed compared to the existing stochastic volatility models such as the Bates model or the Heston model. However, the performance of the new model is comparable to the latter. Comprehensive numerical studies demonstrate that the new model is a very competitive alternative to the Heston or the Bates model in terms of accuracy of matching option prices or computing hedging parameters. Finally, a new futures pricing model for electricity futures prices was developed. The new model has a random volatility parameter in its underlying process. The new model has less parameters, as compared to two-factor models for electricity commodity pricing with and without jumps. Numerical experiments with real data illustrate that it is quite competitive with the existing two-factor models in terms of pricing one step ahead futures prices, while being far simpler to calibrate. Further, a new heuristic for calibrating two-factor models was proposed. The new calibration procedure has two stages, offline and online. The offline stage calibrates parameters under a physical measure, while the online stage is used to calibrate the risk-neutrality parameters on each iteration of the particle filter. A particle filter was used to estimate the values of the underlying stochastic processes and to forecast futures prices one step ahead. The contributory material from two chapters of this thesis have been submitted to peer reviewed journals in terms of two papers: • Chapter 4: “A fast calibrating volatility model” has been submitted to the European Journal of Operational Research. • Chapter 5: “Electricity futures price models : calibration and forecasting” has been submitted to the European Journal of Operational Research.
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Wadud, Sania. "Interconnectedness between Commodity Futures and Equity Markets during the Pre-and Post-Financialisation Eras." Thesis, Curtin University, 2022. http://hdl.handle.net/20.500.11937/89370.
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Ben, Kebaier Sana. "Essais sur les prix des matières premières et les marchés de l'énergie." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED033.
Повний текст джерелаАнотація:
Il est important d'analyser la spécification de l'efficience des marchés des matières premières et l'impact du comportement des investisseurs sur leurs prix pour optimiser les stratégies de négociation et de gestion des risques. De plus, étant donné le nombre élevé de changements extrêmes sur les marchés, il est important d’analyser les prix dans une perspective temps-fréquentielle et de prendre en compte toutes les conditions du marché. Cette thèse couvre les nouvelles caractéristiques des marchés des matières premières en utilisant des méthodes empiriques récentes et en intégrant les derniers développements en matière d'économie des produits de base et d'économétrie financière. Dans cette thèse, nous prouvons que l'efficience des marchés des matières premières est sensible aux différentes conditions du marché et aux différentes fréquences temporelles. Les résultats dépendent de la nature du produit, de son processus de stockage, de sa dynamique et de ses volatilités. Le premier chapitre porte sur la dépendance entre le prix au comptant et les prix à terme pendant les périodes de volatilités extrêmes positives et négatives. Le deuxième chapitre sensibilise la théorie de finance comportementale et porte sur l’impact des indices de sentiment des marchés et des investisseurs sur les prix à terme de l’énergie, en prenant en compte le court, le moyen et le long terme. Le troisième chapitre est une étude comparative entre les marchés américains et européens du gaz naturel ; Nous explorons l'efficacité de la tarification et de l'information dans un domaine temps-fréquentiel. Nous confirmons les différentes réactions des produits aux conditions du marché et concluons que les métaux précieux sont les plus efficaces, alors que le marché du gaz naturel est le plus sensible. Nous confirmons également les liens de causalité bidirectionnels et unidirectionnels entre le prix à terme des énergies et plusieurs indicateurs de sentiment, confirmant la présence des aspects comportementaux les marchés boursiers des énergies. Enfin, nous concluons que le marché américain du gaz naturel est plus efficace que le marché européen du gaz naturelThe specification of commodity market efficiency and the impact of investors behavior on commodity prices are important to analyze in terms of profit-making, trading strategies, and risk management. Moreover, given the high occurrence of market extreme changes, it is important to analyze commodity prices in a time- frequency perspective and to consider all market conditions. This thesis attempt to cover recent features in commodity markets efficiency using recent empirical methods and including the latest developments in commodity economics and financial econometrics. In this thesis, we prove that commodity market efficiency is sensitive to different market conditions and to different time-frequencies. The results depend on the nature of the commodity, its storage process, its dynamics, and volatilities. The first chapter the dependence between commodity spot and futures prices during positive and negative extreme periods. The second chapter explicit the behavioral finance theory in commodity markets and focus on the impact of market and investor sentiment on energy futures prices, taking into consideration the short, medium, and long-term. The third chapter is a comparative study between the American and the European natural gas markets; We explore the pricing and informational efficiencies in a time-frequency domain. We confirm the different reactions of commodities to market conditions and we conclude that precious metals are the most efficient, whereas the natural gas market is the most sensitive. We also confirm the bidirectional and unidirectional causalities between the energy futures process and several sentiment proxies. Finally, we conclude that the American natural gas market is more efficient compared to the European natural gas market
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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.
Повний текст джерелаАнотація:
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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Sigl-Grüb, Christof. "Speculation in commodity futures markets : an empirical analysis of returns, the role of momentum, and the formation of expectations /." Hamburg : Kovač, 2008. http://d-nb.info/990446816/04.
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