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1
Kumar, Brajesh, and Ajay Pandey. "Market efficiency in Indian commodity futures markets." Journal of Indian Business Research 5, no. 2 (May 31, 2013): 101–21. http://dx.doi.org/10.1108/17554191311320773.
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2
Liu, Qingfu, Qian Luo, Yiuman Tse, and Yuchi Xie. "The market quality of commodity futures markets." Journal of Futures Markets 40, no. 11 (April 8, 2020): 1751–66. http://dx.doi.org/10.1002/fut.22115.
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3
Kumar Mahalik, Mantu, Debashis Acharya, and M. Suresh Babu. "Price discovery and volatility spillovers in futures and spot commodity markets." Journal of Advances in Management Research 11, no. 2 (July 29, 2014): 211–26. http://dx.doi.org/10.1108/jamr-09-2012-0039.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to investigate empirically the price discovery and volatility spillovers in Indian spot-futures commodity markets. Design/methodology/approach – The study has used four futures and spot indices of Multi-Commodity Exchange, Mumbai. The study also employs vector error correction model (VECM) and bivariate exponential Garch model (EGARCH) to analyze the price discovery and volatility spillovers in Indian spot-futures commodity market. Findings – The VECM shows that agriculture future price index (LAGRIFP), energy future price index (LENERGYFP) and aggregate commodity index (LCOMDEXFP) effectively serve the price discovery function in the spot market implying that there is a flow of information from future to spot commodity markets but the reverse causality does not exist. There is no cointegrating relationship between metal future price index (LMETALFP) and metal spot price index (LMETALSP). Besides the bivariate EGARCH model indicates that although the innovations in one market can predict the volatility in another market, the volatility spillovers from future to the spot market are dominant in the case of LENERGY and LCOMDEX index while LAGRISP acts as a source of volatility toward the agri-futures market. Research limitations/implications – The results are aggregate in nature. Further study at disaggregated level will provide further insights on behavior of specific commodity prices and the price discovery process. Originality/value – The paper provides useful information about the evolution and structures of futures commodity trading in India, related literature and relevant methodology concerning the hypotheses.
4
Christoffersen, Peter, Asger Lunde, and Kasper V. Olesen. "Factor Structure in Commodity Futures Return and Volatility." Journal of Financial and Quantitative Analysis 54, no. 3 (August 28, 2018): 1083–115. http://dx.doi.org/10.1017/s0022109018000765.
Повний текст джерелаАнотація:
We uncover stylized facts of commodity futures’ price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008–2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.
5
Kristoufek, Ladislav, and Miloslav Vosvrda. "Commodity futures and market efficiency." Energy Economics 42 (March 2014): 50–57. http://dx.doi.org/10.1016/j.eneco.2013.12.001.
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Bhagwat, Shree, and Angad Singh Maravi. "THE ROLE OF FORWARD MARKETS COMMISSION IN INDIAN COMMODITY MARKETS." International Journal of Research -GRANTHAALAYAH 3, no. 11 (November 30, 2015): 87–105. http://dx.doi.org/10.29121/granthaalayah.v3.i11.2015.2919.
Повний текст джерелаАнотація:
This paper examines the role of Forward Markets Commission (FMC) in Indian Commodity Markets. The Results show important developments of Forward Markets Commission. Commodity futures and derivatives have a crucial role to play in the price risk management process, especially in agriculture sector. The significance of commodity derivatives has increased in the current scenario. India has long history of trade in commodity derivatives. Organized commodity derivatives in India started as early as 1875, barely about a decade after they started in Chicago. Since 2003, when commodity futures’ trading was permitted, commodity futures market in India has experienced an unprecedented boom in terms of the number of modern exchanges, number of commodities allowed for derivatives trading as well as the value of futures trading in commodities. There are 6 national and 16 regional commodity exchanges recognized and regulated by the FMC. Different types of commodities such as agricultural; bullion, plantation, energy etc. is traded on commodity exchanges in the country. So considering these points an attempt has been made to know the regulatory framework of commodity futures and derivatives market in India and various developments in Indian commodity market and commodity exchanges. This study is an attempt to investigate the performance of Forward Markets Commission in India and its role in Indian commodity market.
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Dubey, Priti, and Rishika Shankar. "Determinants of the Commodity Futures Market Performance: An Indian Perspective." South Asia Economic Journal 21, no. 2 (September 2020): 239–57. http://dx.doi.org/10.1177/1391561420970837.
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This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.
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Ranganathan, Thiagu, and Usha Ananthakumar. "Market efficiency in Indian soybean futures markets." International Journal of Emerging Markets 9, no. 4 (September 9, 2014): 520–34. http://dx.doi.org/10.1108/ijoem-12-2011-0106.
Повний текст джерелаАнотація:
Purpose – The National commodity exchanges were established in India in the year 2003-2004 to perform the functions of price discovery and price risk management in the economy. The derivatives market can perform these functions properly only if they are efficient and unbiased. So, there is a need to properly evaluate these aspects of the Indian commodity derivatives market. The purpose of this paper is to test the market efficiency and unbiasedness of the Indian soybean futures markets. Design/methodology/approach – The paper uses cointegration and a QARCH-M-ECM-based framework to test the market efficiency and unbiasedness in the soybean futures contract traded in the National Commodity Derivatives Exchange (NCDEX). The cointegration test is used to test the long-run unbiasedness and market efficiency of the contract, while the QARCH-M-ECM model is used to test the short-run market efficiency and unbiasedness of the contract by allowing for a time-varying risk premium. The price data is also tested for presence of structural breaks using a Zivot and Andrews unit root test. Findings – The soybean contract is unbiased in the long run, but there are short-run market inefficiencies and also a presence of a time-varying risk premium. Though the weak form of market efficiency is rejected in the short run, the semi-strong market efficiency is not rejected based on the forecasts. Originality/value – This is the first paper to consider time-varying risk premium while performing the tests of market efficiency and unbiasedness on Indian commodity markets.
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R L, Manogna, and Aswini Kumar Mishra. "Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India." Journal of Agribusiness in Developing and Emerging Economies 10, no. 4 (May 23, 2020): 447–73. http://dx.doi.org/10.1108/jadee-10-2019-0175.
Повний текст джерелаАнотація:
PurposePrice discovery and spillover effect are prominent indicators in the commodity futures market to protect the interest of consumers, farmers and to hedge sharp price fluctuations. The purpose of this paper is to investigate empirically the price discovery and volatility spillover in Indian agriculture spot and futures commodity markets.Design/methodology/approachThis study uses Granger causality, vector error correction model (VECM) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) to examines the price discovery and spillover effects for nine most liquid agricultural commodities in spot and futures markets traded on National Commodity and Derivatives Exchange (NCDEX).FindingsThe VECM results show that price discovery exists in all the nine commodities with futures market leading the spot in case of six commodities, namely soybean seed, coriander, turmeric, castor seed, guar seed and chana. Whereas in case of three commodities (cotton seed, rape mustard seed and jeera), price discovery takes place in the spot market. The Granger causality tests indicate that futures markets have stronger ability to predict spot prices. Supporting these, the results from EGARCH volatility test reveal that there exist mutual spillover effects on futures and spot markets. Thus, it could be inferred that futures market is more efficient in price discovery of agricultural commodities in India.Research limitations/implicationsThese results can help the market participants to benefit by hedging out the uncertainty and the policymakers to design futures contracts to improve the efficiency of the agricultural commodity derivatives market.Practical implicationsThe findings provide fresh view on lead–lag relationship between future and spot prices using the latest data confirming that futures market indeed is dominant in price discovery.Originality/valueThere are very few studies that have explored the efficiency of the agricultural commodity spot and futures markets in India using both price discovery and volatility spillover in a detailed manner, especially at the individual agriculture commodity level.
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Agnihotri, Shalini, and Kanishk Chauhan. "Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market." Investment Management and Financial Innovations 19, no. 3 (July 7, 2022): 1–12. http://dx.doi.org/10.21511/imfi.19(3).2022.01.
Повний текст джерелаАнотація:
Investment in commodity markets in India accelerated after 2007; this was accompanied by large price variability, hence, it becomes imperative to measure commodity price risk precisely. It becomes equally important to study the relationship between commodity price variability and the stock market. Hence, this study aims to calculate the tail risk of highly traded Indian commodity futures returns using the conditional EVT-VaR method for risk measurement. Secondly, the linkage between commodity markets and the stock market is also studied using the Delta CoVaR method. Results highlight the following points. There is risk transfer from the extreme increase/decrease in crude oil futures returns to the Nifty Index returns. Both extreme price increase or decrease of crude oil futures driven either by financial or a combination of financial and economic shocks affect the stock market. Zinc and Natural gas futures are not linked to the stock market, which means they can be useful in portfolio diversification. The findings suggest that, in Indian commodity markets, EVT-VaR is a useful tool for measuring risk. Only Crude oil futures shocks affect the stock market, and extreme integration between them becomes more prominent when oil shocks are driven by financial factors. Commodities other than Crude oil are not integrated with stock markets in India.
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Thị Nhung, Nguyễn, Nguyen Nhu Ngan, Tran Thi Hong, and Nguyen Dinh Cuong. "Hedging with commodity futures: evidence from the coffee market in Vietnam." Investment Management and Financial Innovations 17, no. 4 (November 4, 2020): 61–75. http://dx.doi.org/10.21511/imfi.17(4).2020.06.
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In July 2018, the Vietnam Commodity Exchange (VNX) was transferred into the Mercantile Exchange of Vietnam (MXV) to hedge price risks through futures on international commodity exchanges. This research aimed to verify the efficiency of futures on ICE EU and ICE US under the perspective of hedging for Vietnamese coffee, determine optimal hedging ratios and the optimal number of each futures contract, and investigate the feasibility of introducing domestic commodity exchanges in Vietnam. Using the Vector Error Correction Model (VECM), the results show that (1) Robusta futures with expiration dates of January, March, May, and July on ICE EU are efficient hedging tools, but the adverse result is justified for Arabica futures on ICE US; (2) Robusta futures with the expiration date of January are the best in terms of risk management for Vietnamese coffee market; (3) optimal hedge ratio of Robusta futures of around 34% is much lower than ratios showed by previous researches; (4) in the short term, introducing coffee futures into the domestic commodity exchanges is still not feasible in the short term, but should be considered in the long term in Vietnam. This is the first study providing empirical evidence about the hedging role of futures contracts on ICE EU and ICE US, contributing to enrich the existing empirical evidence on the hedging role of futures for the agricultural sector.
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Fortenbery, T. Randall. "Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems." Journal of Agricultural and Applied Economics 41, no. 2 (August 2009): 393–402. http://dx.doi.org/10.1017/s1074070800002868.
Повний текст джерелаАнотація:
This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that “protects“ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer “work.“ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading.
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Gupta, Shashi, Himanshu Choudhary, and D. R. Agarwal. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market." Global Business Review 19, no. 3 (February 15, 2018): 771–89. http://dx.doi.org/10.1177/0972150917713882.
Повний текст джерелаАнотація:
The present article is an attempt to empirically investigate the long-term market efficiency and price discovery in Indian commodity futures market. The study has been conducted with eight commodities which include two agricultural commodities, two industrial commodities, two precious metal and two energy commodities. Sophisticated statistical methods like restricted cointegration and vector error correction model (VECM) are used to analyse the spot and futures prices time series. Restricted cointegration test shows that near-month futures prices for all the commodities are cointegrated with the spot prices but futures prices of all the commodities are inefficient to predict the future spot price. Indian commodity futures market evidenced as the thinly traded market (Kumar & Pandey, 2013, Journal of Indian Business Research, 5(2), 101–121) rejects the null hypothesis of efficiency and unbiasedness for all the eight commodities which reconfirms the result of Fortenbery and Zapata (1997, Journal of Futures Markets, 17(3), 279–301). The presence of short-term biases in the Indian futures market is evidenced in the results of VECM model which indicates the presence of informational efficiency. The statistically significant value of past prices of spot and futures confirm the short-term inefficiency and biasedness. The significant value of error correction term (ECT) of futures prices suggests that commodity futures are the most important indicator of commodity price movements. The important implication of the results is for market traders. They can use the futures prices to discover the new equilibrium and earn profits by transmitting it to the spot market. The better understanding of the interconnectedness of these market would be useful for policymakers who try to establish stability in the financial markets.
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Kumar, Brajesh, and Ajay Pandey. "Price Discovery in Emerging Commodity Markets: Spot and Futures Relationship in Indian Commodity Futures Market." Bogazici Journal 25, no. 1 (January 1, 2011): 79–121. http://dx.doi.org/10.21773/boun.25.1.4.
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15
Kunkler, Michael. "Commodity Market Heterogeneity and Cross-Market Integration." Applied Finance Letters 6, no. 01 (December 6, 2017): 16–27. http://dx.doi.org/10.24135/afl.v6i01.61.
Повний текст джерелаАнотація:
We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financial-crisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in commodity futures returns. The commodity-market risk factor is significantly correlated with the dominant market-wide risk factors from other asset classes: +66.7% with a market risk factor for the US equity market; -74.2% with a US dollar risk factor for the FX market; and -27.8% with an interest-rate level risk factor for the US interest rate market. Thus, a part of the systematic variation in the commodity market is integrated with other asset classes.
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Singh, Narinder Pal. "Efficiency of Agro Commodity Futures Market." Prabandhan: Indian Journal of Management 3, no. 2 (February 1, 2010): 47. http://dx.doi.org/10.17010//2010/v3i2/61019.
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Singh, Narinder Pal. "Efficiency of Agro Commodity Futures Market." Prabandhan: Indian Journal of Management 3, no. 2 (February 1, 2010): 47. http://dx.doi.org/10.17010/pijom/2010/v3i2/61019.
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Yoon, Byung-Sam, and B. Wade Brorsen. "Market Inversion in Commodity Futures Prices." Journal of Agricultural and Applied Economics 34, no. 3 (December 2002): 459–76. http://dx.doi.org/10.1017/s107407080000924x.
Повний текст джерелаАнотація:
In an inverted market, current prices are higher than future prices and thus the price of storage is negative. Market inversions as measured with futures spreads rarely occur during early months of the crop year. However, market inversions frequently occur across crop years and near the end of the crop year. In the last half of the crop year, market inversions clearly reflect a signal to sell stocks. Too few inversions occur early in the crop year to reach a definitive conclusion for that period. Behavioral finance offers possible explanations of why producers would hold stocks in an inverted market.
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Gao, Lin, and Stephan Süss. "Market sentiment in commodity futures returns." Journal of Empirical Finance 33 (September 2015): 84–103. http://dx.doi.org/10.1016/j.jempfin.2015.07.001.
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Antwi, Emmanuel, Emmanuel N. Gyamfi, Kwabena Kyei, Ryan Gill, and Anokye M. Adam. "Determinants of Commodity Futures Prices: Decomposition Approach." Mathematical Problems in Engineering 2021 (October 4, 2021): 1–24. http://dx.doi.org/10.1155/2021/6032325.
Повний текст джерелаАнотація:
Developing models to analyze time series is a very sophisticated, time-consuming, but interesting experience for researchers. Commodity price component determination is challenging due to remarkable price volatility, uncertainty, and complexity in the futures market. This study aims to determine the components that drive the market price of commodity futures. This study utilized the decomposition methods, empirical mode decomposition (EMD), and variational mode decomposition (VMD), to analyze three commodity futures prices data: corn from agricultural products, crude oil from energy, and gold from industrial metal. We applied these techniques to decompose the daily data of each commodity price from different periods and frequencies into individual intrinsic mode functions for EMD and modes for VMD. We used the hierarchical clustering method and Euclidean distance approach to classify the IMFs and modes into high-frequency, low-frequency, and trend. Next, applying statistical measures, particularly, the Pearson product-moment correlation coefficient, Kendall rank correlation, and Spearman rank correlation coefficient, we observed that the trend and low-frequency parts of the market price are the main drivers of commodity futures markets’ price fluctuations. The low-frequencies are caused by special events. In a nutshell, commodity futures prices are affected by economic development rather than short-lived market variations caused by ordinary disequilibrium of supply-demand.
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BHANUMURTHY, N. R., PAMI DUA, and LOKENDRA KUMAWAT. "WEATHER SHOCKS AND AGRICULTURAL COMMODITY PRICES IN INDIA." Climate Change Economics 04, no. 03 (August 2013): 1350011. http://dx.doi.org/10.1142/s2010007813500115.
Повний текст джерелаАнотація:
We analyze the impact of weather shocks on price formation in spot and futures market for food in India where until the recent introduction of commodity futures markets in 2005, the transmission of these shocks to short-term (spot) price movements was unclear. Hitherto, the price discovery mechanism was weak and end price was expected to be different (mostly higher unless some product prices were administered) from the market-clearing price. In addition, this weak mechanism was expected to result in higher price volatility. The introduction of a futures market is expected to reduce risk, a major component in agricultural production as well as in price formation. Though the commodity futures market in India is nascent, we model transmission of weather shocks to futures and spot prices using monthly data. Based on cointegration analysis, our results suggest strong long-run co-movement between futures prices and spot prices for commodities traded in futures markets. Changes in rainfall affect both futures and spot prices with different lags. However, rainfall shocks generate larger responses from futures prices than from spot prices. Although there could be other factors that affect futures prices, after controlling for fuel prices, our results clearly show the transmission mechanism of weather shocks from futures to spot prices. We also explore the changes in responsiveness of prices of major agricultural commodities to rainfall with introduction of futures contracts to facilitate the pass-through of various types of shocks to agricultural commodity prices. Using smooth transition regression, we find that the bivariate relationships between rainfall and prices of rice, wheat and pulses show some nonlinearity with the structural change happening after the introduction of futures market. These relations are found to be much stronger in the post-structural change period that broadly coincides with the introduction of futures market.
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NASTASI, EMANUELE, ANDREA PALLAVICINI, and GIULIO SARTORELLI. "SMILE MODELING IN COMMODITY MARKETS." International Journal of Theoretical and Applied Finance 23, no. 03 (May 2020): 2050019. http://dx.doi.org/10.1142/s0219024920500193.
Повний текст джерелаАнотація:
We present a stochastic local volatility model for derivative contracts on commodity futures able to describe forward curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market. Cleared commodity markets for futures and options are analyzed to include in the pricing framework-specific trading clauses and margining procedures. Numerical examples for calibration and pricing are provided for different commodity products.
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Chowdri, G. Prahlad. "Commodity Futures-an Indian Experience." Ushus - Journal of Business Management 8, no. 2 (June 10, 2009): 24–39. http://dx.doi.org/10.12725/ujbm.15.3.
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The policy liberalization by the Indian government to allow futures trading in commodities in 2003, after prolonged deliberations on this demand, has thrown open several opportunities and challenges. This paper intends focussing on the historical background and present scenario of the commodity futures market in India. This paper also focuses on the policy aspects initiated by the government in commodity futures market in India. The performances of Commodity exchanges in India and a comparative study with Stock exchange proves the direction of commodity futures trading.
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Eremic, Milan. "Razvijeni oblik trgovine na robnim berzama - trziste robnih fjucersa -." Ekonomski anali 44, no. 158 (2003): 7–43. http://dx.doi.org/10.2298/eka0358007e.
Повний текст джерелаАнотація:
At the very beginning of this paper, we stress the fact that capitalism, during a very long period of its emergence and development, was based on simple forms of commodity trading. It is true that capital left its mark on these simple forms. However, it did not change its simple character. Several centuries were to pass in for capital to build its own autochthonous forms of commodity exchange, the forms inherent in capitalism. The early forms of commodity futures, as the basic instrument of this developed commodity exchange, are thought to have been introduced on the Chicago Board of Trade - CBOT in 1985. The introduction of commodity futures contracts into commodity exchange enabled commodity markets to be divided into physical commodity markets and contract markets. This was the beginning of a complex system of commodity trade, the emergence of new economic entities in commodity markets and the development of a very complex system of trading, settlement and trade clearing through commodity futures contracts. The construction of this new system of commodity trade has lasted more than a century and during its gradual development a tremendous construct has been created, a market structure of extraordinary internal complexity and a solid logical design. The process of creating commodity futures market in the USA was outlined only in the early 1970s. We can say that it is an almost perfectly developed system, being today a dominant system in the world. Almost 100 percent of all commodity futures markets in the world are based on the commodity futures markets in the USA. The only exception is the London Metal Exchange, which is, although not being any less perfect, essentially different from the American exchanges.
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Pani, Upananda, Ştefan Cristian Gherghina, Mário Nuno Mata, Joaquim António Ferrão, and Pedro Neves Mata. "Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis." Discrete Dynamics in Nature and Society 2022 (March 8, 2022): 1–14. http://dx.doi.org/10.1155/2022/6431403.
Повний текст джерелаАнотація:
Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. The findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.
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Dhivya, R., M. Prahadeeswaran, R. Parimalaragan, C. Thangamani, and S. Kavitha. "Commodity Future Trading and Cointegration of Turmeric Markets in India." Asian Journal of Agricultural Extension, Economics & Sociology 41, no. 9 (June 27, 2023): 190–99. http://dx.doi.org/10.9734/ajaees/2023/v41i92031.
Повний текст джерелаАнотація:
The government has reduced its direct market intervention in order to promote private sector engagement based on market forces, Farmers in an agriculture-dominated economy like India suffer not only yield risk but also pricing risk. As a result, agricultural products are now more vulnerable to market risks related to pricing and other factors. The futures market has to decide the prices of a commodity on the basis of demand and supply. It is important to know about the bi-directional and unidirectional relationship between different market’s the prices and future and Spot markets in India, price discovery process and price forecasting in Indian agricultural commodities. Knowing about different market’s price Integration will help us to know the prevailing prices in various markets and also the impact of one market’s price on another. It will help the farmers to know the different pricing statuses in different markets. The study analyses the efficiency of commodity futures of turmeric traded in NCDEX for 2016-2022 and the cointegration of theNizamabad, Erode, Sangli and Cuddapah Markets of India. In agriculture, commodity futures and derivatives are essential to the process of managing price risk.
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Kaura, Ruchika, Nawal Kishor, and Namita Rajput. "VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURES MARKET OF HIGHLY TRADED COMMODITIES IN INDIA: The DCC-GARCH Approach." Australian Journal of Business and Management Research 05, no. 09 (July 10, 2018): 34–49. http://dx.doi.org/10.52283/nswrca.ajbmr.20180509a04.
Повний текст джерелаАнотація:
This study intends to examine the volatility spillover effects and measure the time-varying correlations between futures and spot prices of thirteen highly traded commodities traded on Multi Commodity Exchange (MCX) of India. The research uses Exponential GARCH proposed by Nelson (1991) to explore the direction and magnitude of spillover effects between futures and spot commodity market and employs Dynamic Conditional Correlation (DCC) GARCH proposed by Engle (2002) to demonstrate the time varying conditional correlation between heteroscedastic coefficients of the futures and spot markets. Empirical results show that significant and asymmetric bi-directional volatility spillover effects exist in case of most of the selected commodities, even though, the magnitude of volatility spillover is found larger in the direction from futures market to spot market. The dynamic correlation between the conditional variance of the spot and future markets is found to be significant in case of all the commodities except Silver and Copper. It proves that significant volatility spillover effect is present between spot and futures markets of selected commodities. Understanding of volatility transmission and interrelationship between spot and futures commodity market will help investors make right investment decisions, portfolio optimization and financial risk management. Policy makers and regulators can use this knowledge in planning and implementing appropriate regulatory framework. Much of the earlier research focuses on inter market volatility spillover taking into consideration two or more different financial markets. This study focuses on intra market volatility spillover by studying the interactions of spot-futures prices of commodities. Also, considering the time-varying nature of conditional correlations, this study employs EGARCH and multivariate GARCH (DCC) to capture the volatility spillover effects instead of univariate GARCH or standard linear VAR models.
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Saadah, Siti. "Volatility Spillover In Stock And Commodity Futures Market: Empirical Analysis In Indonesia’s Financial Market." Jurnal Manajemen 22, no. 2 (September 5, 2018): 263. http://dx.doi.org/10.24912/jm.v22i2.363.
Повний текст джерелаАнотація:
Volatility spillover between stock markets causes insignificancy of diversification. Therefore, other investment alternatives is required to build an optimal portfolio, one of them being commodity futures. The low correlation between commodity futures and stocks indicates the advantage of diversification in investment portfolio containing both assets. In order to prove the advantage of diversification, author tested the existence of volatility spillover during September 16, 2010 - September 30, 2015. Estimation result using GARCH method indicates the presence of significant volatility spillover from stock exchange to commodity futures exchange. An important implication of this finding is that if the sectoral stock index and commodity futures are incorporated into an investment portfolio, the investor will not have optimal diversification advantage. This is because there is a correlation between performance of both markets as a result of both markets having the same characteristics in response to the shock that is coming.
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Yan, Yunxi, and Shiyou Hu. "Probing Trading Activities in Commodity Futures Market via Volatility Modeling." E3S Web of Conferences 251 (2021): 01104. http://dx.doi.org/10.1051/e3sconf/202125101104.
Повний текст джерелаАнотація:
In the context of the great fluctuation of the global financial market, it is particularly important to forecast the changing futures market. Inspired by the utilization of the Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV) model in price volatility forecasting, the parameters in this model could be a fair indicator of trading activities in the market. To test this hypothesis, this HAR-RV model is applied to analyze some representative commodities futures in China. The HAR-RV model is created to forecast the future volatility patterns using existed fluctuations. We used the least square method to do the regression analysis and used the volatility of a day, a week, and a month as the variables to get the degree of influence of each variable on the future volatility, namely. Thus, we can tell whether the price of a futures commodity is more affected by short-term fluctuations or long-term fluctuations by comparing different. Preliminary results show different patterns between iron ore and soybean meal futures models, pinpointing the trading frequencies in the corresponding markets. The price of iron ore futures is largely influenced by weekly volatility, while the price of soybean meal futures is affected significantly by monthly fluctuation.
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Eremic, Milan. "Brokers and brokerage in the process of trading in commodity futures markets." Ekonomski anali 44, no. 159 (2003): 63–94. http://dx.doi.org/10.2298/eka0359063e.
Повний текст джерелаАнотація:
This paper mainly deals with the analysis of a very complex process of brokerage in commodity futures markets. Unlike a classical commodity market in which brokers are not a necessity, sales and purchases in commodity futures markets cannot be carried out without brokers. Brokers who act as agents of buyers and sellers of futures are a necessary condition for trading in organized markets, such as commodity futures markets. The structure of brokers in futures trading is multilayer and involves participants in futures trading from floor brokers, immediate futures traders and the members of clearing and the clearing house itself, on the one hand, to numerous other necessary actors whose activities out of the stock exchange and the clearing house contribute to the efficient functioning of futures market. The fact that transactions between buyers and sellers in futures markets are not carried out directly but through brokers means that the obligations of buyers and sellers are formally conveyed to brokers, providing at the same time the guarantee by the broker that the actual buyer and the actual seller will fulfill their contractual obligations. At the very beginning of futures trading, the relationship between the seller and the buyer is transformed into a relationship between two brokers. Since that moment on, the original relationship is conveyed to higher levels of brokerage reaching the level of the clearing house. In the process of transformation of the buyer-seller relationship and transmitting obligations and guaranteeing their fulfillment, the clearing house itself becomes the buyer relative to all sellers and the seller relative to all buyers. In this way, it guarantees that obligations regarding all transactions in futures market will be fulfilled. The whole process is carried out in accordance with the prescribed procedures conducted on the floor of commodity exchange, in its administrative departments and in the clearing house itself.
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Dey, Kushankur, and Debasish Maitra. "Can futures markets accommodate Indian farmers?" Journal of Agribusiness in Developing and Emerging Economies 6, no. 2 (November 14, 2016): 150–72. http://dx.doi.org/10.1108/jadee-08-2013-0029.
Повний текст джерелаАнотація:
Purpose It has become an ongoing debate whether Indian commodity futures markets can accommodate farmers. The purpose of this paper is to examine whether Indian commodity futures markets help rationalize farmers’ price expectation. The study starts with questions on the efficiency and other roles of commodity futures markets. Design/methodology/approach From a sectoral standpoint and economic importance, the study considers pepper, coffee, and natural rubber (NR) futures and spot markets. The efficiency of futures markets, divergence/convergence and causality between futures and spot markets have been studied by employing co-integrations, error correction and causality models. The sample period of the data are taken from the inception of futures trading. These three commodities are also compared on the basis of trading at the futures markets vs spot markets. Findings Analysis shows that though pepper futures market is informationally efficient in price discovery, while coffee and NR spot markets do the process faster. Pepper and coffee futures and spot prices exhibit the convergence; NR shows a sign of divergence. Unidirectional causality from pepper futures to spot market is observed wherein the former was weakly exogenous to the latter and while, bidirectional causality is observed in coffee and rubber. Coffee spot appears weakly exogenous while this remains inconclusive in the case of NR. Research limitations/implications The authors analyzed the futures markets in rationalizing the spot market price in three plantation crops in India. In order to make the study more generalizable, further research is warranted in other commodities including those prices of which are government regulated. Originality/value The paper is unique in terms of understanding the interaction or interrelationship between futures markets and spot markets and drawing inferences about the role of futures markets in price formation in plantation commodities like pepper, coffee and NR.
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Inoue, Takeshi, and Shigeyuki Hamori. "Market efficiency of commodity futures in India." Applied Economics Letters 21, no. 8 (February 3, 2014): 522–27. http://dx.doi.org/10.1080/13504851.2013.872751.
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Shuldiner, Alec, and Gregory X. Norkus. ""Buying Prices on the Commodity Futures Market." Cornell Hotel and Restaurant Administration Quarterly 37, no. 3 (June 1996): 30–35. http://dx.doi.org/10.1177/001088049603700316.
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SHULDINER, A. "?Buying prices? on the commodity futures market." Cornell Hotel and Restaurant Administration Quarterly 37, no. 3 (June 1996): 5. http://dx.doi.org/10.1016/0010-8804(96)86811-x.
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Kwon, Kyung Yoon, Jangkoo Kang, and Jaesun Yun. "Weekly momentum in the commodity futures market." Finance Research Letters 35 (July 2020): 101306. http://dx.doi.org/10.1016/j.frl.2019.101306.
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Fernandez, Cledwyn Primus Savio. "Futures Trading in Agricultural Commodities: Effects of the Ban on Selected Commodities in India." Artha - Journal of Social Sciences 12, no. 4 (October 18, 2013): 61. http://dx.doi.org/10.12724/ajss.27.5.
Повний текст джерелаАнотація:
The commodity market is one of the emerging markets in today‟s economy. Given that inflation is increasing alarmingly and the emergence of risk in all activities, the commodity market has a phenomenal contribution to the overall economy of India. The following paper – Futures Trading in Agricultural Commodities: Effects of the ban on selected commodities in India shall focus on the impact of hedging (risk management) and price discovery, which are two major aspects under the agricultural commodity market. Secondary data from two main sources namely the Multi Commodity Exchange Market and National Commodity Derivatives Exchange were used for analysis. The ban on futures trading under agricultural commodities that was implemented by the Government of India shall be dealt with specifically taking seven commodities – Wheat, Rice, Sugar, Chickpea, Potato, Rubber and Guar Seeds. The common element between all these commodities is that they were all banned from futures trading at some point of time or the other. An analysis using econometric and statistical tools shall be performed to check whether there exists any sort of relationship between the ban and the prevailing inflation in the economy and also the correlation between the prices before and after ban. This is purely an explanatory study wherein the strategies for buyers and sellers in the futures market will also be discussed.Keywords: Hedging, ban, futures trading, inflation
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Irwin, Scott H., and Dwight R. Sanders. "Financialization and Structural Change in Commodity Futures Markets." Journal of Agricultural and Applied Economics 44, no. 3 (August 2012): 371–96. http://dx.doi.org/10.1017/s1074070800000481.
Повний текст джерелаАнотація:
The first decade of the 21st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes in both trading and participants. The available literature indicates that the irrational and harmful impacts of the structural changes in commodity futures markets over the last decade have been minimal. In particular, there is little evidence that passive index investment caused a massive bubble in commodity futures prices. There is intriguing evidence of several other rational and beneficial impacts of the structural changes over the last decade. In particular, the expanding market participation may have decreased risk premiums, and hence, the cost of hedging, reduced price volatility, and better integrated commodity markets with financial markets.
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S., Kirithiga, Naresh G., and Thiyagarajan S. "Spillover between commodity and equity benchmarking indices." Benchmarking: An International Journal 25, no. 7 (October 1, 2018): 2512–30. http://dx.doi.org/10.1108/bij-06-2017-0143.
Повний текст джерелаАнотація:
PurposeThe commodity and equity derivatives have a close resemblance between them in trade practices and mechanisms, which makes it easy for the investors to combine these two assets classes for building up their portfolio. The diversification of investment among asset classes builds some relation between them. The integration of market within a country is necessary to bring in a smooth and balanced economic growth. Thus, the purpose of this paper is to examine the spillover between the equity and commodity futures markets which will be helpful not only for the investors but also for the policy makers, producers and the regulators.Design/methodology/approachTo examine the spillover between the equity and commodity market, the major benchmarking indices of these markets, namely COMDEX of MCX, Dhaanya of NCDEX and NIFTY 50 of NSE, were chosen. NIFTY 50 index was chosen as representative of equity market due to its composition of most active constituent stocks than any other broad market index of Indian stock market. As the commodity market indices are not been traded, their constituent commodities were taken for the study. Thus, 11 MCX-COMDEX constituents such as Gold, Silver, Copper, Zinc, Aluminum, Nickel, Lead, Crude oil, Natural gas, Kapaskhali and Mentha oil and eight NCDEX-Dhaanya constituents such as Castor seed, Chana, Cotton seed oilcake, Jeera, Mustard seed, Refined soy oil, Turmeric and Wheat futures prices were taken against the NIFTY 50 futures prices with daily trading data for ten years starting from January 1, 2006 till December 31, 2015 to analyze their spillover effect. The return series data were used to test the spillover between equity and commodity futures market as it gives the crux of investors’ diversification through the Vector Autoregression (VAR) model and verified with Impulse Response Function by testing the null hypothesis,H0, that there is no return spillover between the equity and commodity futures market.FindingsThe investors move from equity to commodity when there is a threat in equity market and vice versa, thereby diversify their risk for those commodities which are vulnerable to global and domestic pressures in the economy. Investigating the spillover between equity and commodity market gives an insight of market integration effect. A nation can achieve its economic growth easily when its markets are integrated.Research limitations/implicationsThe commodity indices are still notional indices in the market; therefore, individual constituent commodities of commodities indices were considered with the benchmarking equity futures index, which is one of the limitations of the study.Practical implicationsThe integration of market within a country is necessary to bring in a smooth and balanced economic growth.Originality/valueMost of the past studies dealt only with few commodities and equities and not with the broad-based benchmarking indices. This paves way for enquiry into the commodity and equity markets integration with the major constituent commodities traded in the economy. Hence, this paper looks into the presence of spillover between the equity and commodity markets. The VAR model is verified with the impulse response function which explains the reaction of any dynamic system in response to a pulse change in another. The impulse response function is presented graphically for easy and better understanding.
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Just, Małgorzata, and Aleksandra Łuczak. "Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods." Sustainability 12, no. 6 (March 24, 2020): 2571. http://dx.doi.org/10.3390/su12062571.
Повний текст джерелаАнотація:
The dynamic development of commodity derivatives markets has been observed since the mid-2000s. It is related to the development of e-commerce, the inflow of financial investors’ capital, and the emergence of exchange-traded funds and passively managed index funds focused on commodities. These advances are accompanied by changes in dependence structure in the markets. The main purpose of this study is to assess the conditional dependence structure in various commodity futures markets (energy, metals, grains and oilseeds, soft commodities, agricultural commodities) in the period from the beginning of 2000 to the end of 2018. The specific purpose is to identify the states of the market corresponding to typical patterns of the conditional dependency structure, and to determine the time of transition from one state to another. The copula-based Multivariate Generalized Autoregressive Conditional Heteroskedasticity models were used to describe the dynamics of dependencies between the rates of return on prices of commodity futures, while the dynamic Kendall’s tau correlation coefficients were applied to measure the strength of dependencies. The daily changes in the conditional dependence structure in the markets (changes in states of the markets) were identified with the fuzzy c-means clustering method. In 2000–2018, the conditional dependence structure in commodity futures markets was not stable, as evidenced by the different states of markets identified (two states in the grains and oilseeds market, the agricultural market, the soft commodities market and the metals market, and three states in the energy market).
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Pandey, Vikas, and N. A. Vipul. "Market efficiency and information content of Indian commodity futures markets." International Journal of Indian Culture and Business Management 14, no. 3 (2017): 274. http://dx.doi.org/10.1504/ijicbm.2017.083232.
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Vipul, N. A., and Vikas Pandey. "Market efficiency and information content of Indian commodity futures markets." International Journal of Indian Culture and Business Management 14, no. 3 (2017): 274. http://dx.doi.org/10.1504/ijicbm.2017.10003362.
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Hrabynska, Iryna, Mariya Kosarchyn, and Anna Dąbrowska. "Economic imperatives of financialization of agricultural commodity markets." Agricultural and Resource Economics: International Scientific E-Journal 8, no. 3 (September 20, 2022): 5–25. http://dx.doi.org/10.51599/are.2022.08.03.01.
Повний текст джерелаАнотація:
Purpose. The purpose of the article is to substantiate the theoretical and methodological foundations and economic feasibility of intensifying the processes of financialization of the business model of Ukrainian grain producers, in particular through the formation of the grain futures market and the creation of commodity exchange in Ukraine.
Methodology / approach. In the article, it is clarified the concept of financialization as one of the global trends of economic development that provides deep integration of financial and real economy on macro- and micro levels. Hedge effectiveness of price risks for Ukrainian grain (wheat and corn) using futures contracts traded on CME Group and Euronext is evaluated using regression analysis. Ukrainian wheat and corn FOB price volatility for 2016–2021 marketing years is estimated. The dynamics and volatility of the basis for Ukrainian wheat and corn and respective futures contracts traded on CME Group and Euronext are analyzed.
Results. The analysis of securitization index of global agricultural markets has shown an increase of its financialization rate. The main reasons for this process were the deepening of financial and commodity markets integration, deregulation of financial markets and introduction of new financial instruments. The structure of the grain market in Ukraine is analyzed, particularly the role of agricultural holdings and international companies. The tendencies and determinants of wheat and corn market prices in Ukraine during marketing year are revealed. Regression analysis of hedge effectiveness has shown that all considered futures contracts are suitable for wheat and corn CPT and FOB price hedging in Ukraine. The highest hedge effectiveness was revealed for Black Sea Corn Financially Settled (Platts) Futures) (CME Group) and Milling Wheat / Ble de Meunerie (Euronext Matif). Short hedge efficiency of CME Group futures contracts was supported by analysis of basis dynamics for Ukrainian wheat and corn and respective futures contracts.
Originality / scientific novelty. Based on the analysis of the theoretical foundations of financialization, the positive and negative consequences of the strengthening of financialization of global commodity markets and the peculiarities of the functioning of the modern grain market in Ukraine, the economic imperatives of the development of the Ukrainian market of grain derivatives, as an objectively determined trend of agricultural commodity market, are substantiated. The evaluation of the effectiveness of hedging price risks on the Ukrainian grain markets using derivatives traded on global exchanges has gained further development.
Practical value / implications. It is proposed to intensify market tools usage for risk hedging in Ukraine in order to cover interests of all market participants. Risk management instruments available for Ukrainian agricultural producers are discussed.
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Krisnawangsa, Hans Christoper, Christian Tarapul Anjur Hasiholan, Made Dharma Aditya Adhyaksa, and Lourenthya Fleurette Maspaitella. "URGENSI PENGATURAN UNDANG-UNDANG PASAR FISIK ASET KRIPTO (CRYPTO ASSET)." Dialogia Iuridica: Jurnal Hukum Bisnis dan Investasi 13, no. 1 (November 11, 2021): 1–15. http://dx.doi.org/10.28932/di.v13i1.3718.
Повний текст джерелаАнотація:
Crypto Assets is a new alternative investment concept in Indonesia. The legal basis for regulating crypto assets currently in force in Indonesia cannot accommodate the development of the Crypto assets concept which continues to undergo significant changes. The physical market for crypto assets is incompatible when regulated by the provisions of Law Number 32 of 1997 on commodity futures trading and its amendments, namely Law Number 10 of 2011 because the physical market has conceptual differences with the provisions of the futures market in general. The object traded in the physical market is the commodity, while in the commodity futures market the object is futures contracts (and their derivatives) for commodities traded in the physical market. The scope of the commodity futures market as regulated in Article 1 of the Commodity Futures Trading Law does not accommodate commodity trading in the physical market. The urgency of regulating the physical market for crypto assets with a separate law is the implementation of the principle of legal certainty and protection of crypto asset investors. The method used in writing this journal is normative research using books, journal references, and laws and regulations that are relevant to the legal issues in this study. The results of this study indicate that the regulation of the physical law on crypto assets is needed because crypto assets should be regulated into two separate arrangements so that it is not appropriate if the regulation regarding crypto assets is only accommodated by the Commodity Futures Trading Law.
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Reddy, Nirmala K., B. M. Chandra Shekar, and R. Munilakshmi. "Future Trading in India and Commodity Price Risk Management: A Pragmatic Study." SDMIMD Journal of Management 5, no. 1 (April 4, 2014): 75. http://dx.doi.org/10.18311/sdmimd/2014/2672.
Повний текст джерелаАнотація:
Commodity future markets in India are experiencing unparalleled growth and have attained critical economic significance in the last one decade. On the other hand, instability in commodity prices is becoming an issue of great concern not only for India, but all over the world impacting income, economic growth and a poor adversely. Ever-increasing demand and supply side constraints are adding to the upsurge in prices of metal and agricultural commodities, affecting manufacturers and consumers at the same time. Moreover, farmer participation in the market has been very poor. So the price risk management in commodity is not a cliché but a necessity for the development of future market. In an agriculture based economy like India, commodity derivatives are expected to play a pivotal role in the process of price discovery and risk management. The price discovery in futures markets would not be effective unless spot markets are regulated and integrated. The present paper aims to analyse the performance of futures trading in improvising commodity price risk management in India. The study employs co-integration technique to study the existence of long-term relationship between the spot and future prices of agricultural and metal commodities traded in Indian commodity exchanges. The study also explores the volatility aspect in spot and future prices to test the informational efficiency of the contracts and comment on their suitability for hedging activities. Based on the results, propositions would be made on the nature of speculative conditions and offer suggestions for improvement futures trading in commodities.
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Eremic, Milan. "The system of margins and the clearing house in the system of commodity futures markets." Ekonomski anali 44, no. 161 (2004): 63–100. http://dx.doi.org/10.2298/eka0461063e.
Повний текст джерелаАнотація:
In a commodity futures trading system, the clearing house is of great importance. This paper describes and analyses in detail its essence functions and numerous activities. The main goal and a major task of such activities is to preserve financial integrity and stability of the market place. Clearing houses accomplish this task by means of a financial safeguard system of the futures markets. In order to preserve financial integrity and stability of the commodity futures markets, the clearing house uses three mechanisms. First, the membership in a clearing corporation requires a certain business and professional profile of a firm or an individual member accompanied by a minimal amount of capital determined by special regulations of a clearing corporation and the stock exchange. Second, the clearing house provides a financial safeguard through self-insurance schemes: funded and unfounded ones. Third, the clearing house uses a developed system and mechanism of margins through which it most efficiently exerts permanent control and sustains financial stability of the trading system as a whole. The third system of preserving financial integrity and stability of commodity futures markets is undoubtedly of the greatest importance, as it simultaneously embodies the true nature and essence of commodity futures markets. The development of margin system in commodity futures market has been a long process through which the clearing house has become a general partner and a guarantee of all stock exchange transactions. As a general partner the clearing house embodies the total amount of capital on the stock exchange. In this way, the system of margins appears to be acting not only as an element of the commodity market financial safeguard, but also to have a completely new function, that of imposing capital as a homeostatic subject which maintains its total capital value. The preservation of the total capital value flowing into the commodity futures market is the first and the basic function of the system of margins. However, it has an additional function: to guarantee historical cost of the goods, thereby maintaining the value of individual capitals, the function which is accomplished through various hedging strategies of individual capital.
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Irwin, Scott H., Dwight R. Sanders, and Robert P. Merrin. "Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)." Journal of Agricultural and Applied Economics 41, no. 2 (August 2009): 377–91. http://dx.doi.org/10.1017/s1074070800002856.
Повний текст джерелаАнотація:
It is commonly asserted that speculative buying by index funds in commodity futures and over-the–counter derivatives markets created a “bubble“ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence does not indicate that positions for any group in commodity futures markets, including long-only index funds, consistently lead futures price changes. Fourth, there is a historical pattern of attacks upon speculation during periods of extreme market volatility.
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Złoty, Marcin. "Financialization of Commodity Market." Studia Humana 10, no. 3 (June 1, 2021): 53–60. http://dx.doi.org/10.2478/sh-2021-0018.
Повний текст джерелаАнотація:
Abstract The aim of the article is to present possible consequences caused by the development of commodity market financialization understood by the influence of financial investor’s speculation. Also the task of elaboration is to outline the existence of financial factors in the price creation process of commodities. The existing impact of financialization on the volatility of commodity prices significantly modifies the market. The results of the research and analyzes carried out indicate a similarity in the behavior of the markets of commodities. The situation results from the redistribution of the risk of financial investors who having a few goods in the investment portfolio, next to large transaction volumes affect the unification of price trends. Price shaping factors are being transformed. The decrease importance of supply or consumption in the context of the commodities market changes its form. The growing influence of investors who create numerous speculations transforms the market. Trade in futures contracts affects the level of commodities prices.
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Kalaiarasi, D., A. Rohini, N. Venkatesa Palanichamy, K. M. Shivakumar, R. Pangayar Selvi, and K. Chandra Sekhar. "Time Series Analysis of Spot and Future Commodity Market in India During Covid – 19." Asian Journal of Agricultural Extension, Economics & Sociology 41, no. 9 (August 22, 2023): 989–95. http://dx.doi.org/10.9734/ajaees/2023/v41i92132.
Повний текст джерелаАнотація:
Derivatives are innovative financial instruments in the 21st century to help the market participants in mitigating the risk. Commodity derivatives are not new to the world, but reentered with new face into the fray. In India, derivatives are introduced at first on index and followed by securities and commodities phase wise for the betterment of the markets and the price discovery. The present study explores the association and trend between the Spot and Futures Commodity Derivatives Market in India before and during the Covid – 19 pandemic. The study uses descriptive, trend analysis and correlation analysis. The analysis done by using the MCX four major agriculture and non-agriculture commodities such as Cotton, Mentha oil, Crude oil and Natural gas spot as well as future price. Indian commodity futures market can be used as hedging tool with financial instruments for diversifying the risk during crisis period.
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Luo, Guo Ying. "Market Efficiency and Natural Selection in a Commodity Futures Market." Review of Financial Studies 11, no. 3 (July 1998): 647–74. http://dx.doi.org/10.1093/rfs/11.3.647.
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Ziegelbaeck, M., and G. Breuer. "The role of market makers in the Euronext milling wheat contract." Agricultural Economics (Zemědělská ekonomika) 60, No. 4 (April 28, 2014): 183–87. http://dx.doi.org/10.17221/65/2013-agricecon.
Повний текст джерелаАнотація:
The knowledge of transaction costs is important for market participants. Profits accrued while dealing in e.g. commodity futures do not just depend on the development of the futures or the underlying commodity, but on the transaction costs as well. In the commodity futures markets, transaction costs – usually addressed as the bid/ask spread – are influenced if not set by the market makers (liquidity providers) and other intermediaries that broker the contracts. This paper tests the assumption that liquidity providers have the ability to shift prices, and this ability is negatively correlated with the degree of competition. Using Roll’s measure (1984) to estimate the bid/ask spread, the authors can show that liquidity providers do have an influence on prices. To put this result into context, the margin for market makers is calculated on the basis of transactions in wheat-futures at the Euronext Paris that took place in May 2012, ranges between 0.0047% and 0.0055%. It is within this margin that market-makers could influence market prices of the wheat contract.