Commodity Futures Markets
Is idiosyncratic volatility priced in commodity futures markets?
... in commodity futures markets using an augmented version of the CAPM of Sharpe ...simple commodity-based market model which we subsequently augment with stylized factors emanating from the ...
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Tactical allocation in commodity futures markets: Combining momentum and term structure signals
... on commodity futures markets are worth ...new commodity- based relative-strength portfolios emerge as excellent candidates for inclusion in well- diversified portfolios given the very low ...
47
The Return–Volatility Relation in Commodity Futures Markets
... gold futures market. Thus the gold futures volatility for all maturities has a similar response to return shocks as the spot gold volatility, see Baur ...investment commodity futures ...
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International Linkages of the Indian Commodity Futures Markets
... Indian commodity futures for nine commodities with futures markets outside ...World markets. We find that futures prices of agricultural commodities traded at National ...
15
Information and Price Response in Storable Commodity Futures Markets: An Application to Lumber Contracts
... lumber futures contracts are January, March, May, July, September, and ...between futures prices, equals ...lumber futures contract cannot change by more than $10 per 1,000 board feet above or below ...
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Factor Pricing in Commodity Futures and the Role of Liquidity
... Liquidity is a pricing factor in equity and bond markets, but its role in commodity futures markets remains ambiguous. This paper makes the first attempt to address this issue. In the equity ...
31
ANALYTIC AND CONCEPTUAL STUDY ON THE ROLE PLAYED BY THE BROKERS IN HEDGING THE RISKS USING GOLD FUTURES
... trades commodity contracts on the floor of a commodities ...the markets. As many commodity futures markets have moved from pit or floor trading to electronic trading platforms, the role ...
9
Literature Review on Commodities Market: A Theoretical Concept
... agricultural commodity futures markets in ...Indian commodity markets. The results showed that all then ten markets under consideration were efficient in the long term, but ...
10
The Skewness of Commodity Futures Returns
... The conclusion that skewness is priced cross-sectionally holds within the baseline pricing model that captures the phases of backwardation and contango (Model A) and shows that skewness is not merely another proxy for ...
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How attractive is the Commodity Futures in India?
... Commodity futures markets have traditionally been a contentious issue across the ...world. Futures markets are considered to be highly beneficial (at least, theoretically) because of ...
10
Nexus between Spot & Futures Price of Cardamom
... spot-futures commodity markets and used four futures and spot indices of Multi-Commodity Exchange (MCX),from June 2005 to December ...that commodity futures markets ...
6
Breaking the Chains That Bind: Arbitration Agreements Versus Forum Rights under the Commodity Futures Trading Commission Act of 1974
... his customer. Mehl, Administra- tor of the Commodity Exchange Authority, the agency which regulated commodity futures markets before the 1974 Act). Furthermore, one cannot real[r] ...
25
PLACEMENT AND SIZING OF DISTRIBUTED GENERATORS IN DISTRIBUTED NETWORK BASED ON LRIC AND LOAD GROWTH CONTROL
... equilibrium commodity future pricing model to analyze the correlation between the stock market and commodity futures markets, index investors, capital inflows and commodity spot demand ...
8
Futures Markets and the Two Dimensions of Instability in Commodity Markets: The Oil Experience
... It is argued in this paper that one must distinguish short-term price instability, associated with the functioning of commodity futures markets, and medium- term instability, associated [r] ...
17
Research on the Risk Measurement for the Futures Market of Bulk Commodity – Taking the silver futures as the example
... Chinese futures market can use GARCH-VaR model to estimate the possible loss in the transaction process, and the intermediate institution and supervisory department can also take it as a basis to adjust the ...
6
Increasing returns in futures markets
... In any case, for the Bank Bills (near future) and US dollar contracts there is clear support for the view that the ask-bid spread varies negatively with volume, and hence for the hypo[r] ...
30
Arbitrage and short selling: a political economy approach
... equity markets – in terms of aggregate short position in a share – is reported, but this leaves out short selling carried out through derivatives markets, which is the bulk of ...
43
Price Discovery in Indian Commodity Market A Study of Red Chilli Futures
... the commodity futures trading in India, has opened discussions on concept, development and issues associated with ...commodities markets with world markets have certainly necessitated studies ...
8
Impact of futures contract on agricultural commodity prices: an Indian perspective
... of commodity futures market in India could not last for ...through futures trading may fuel inflation in Indian economy, then, the Central Government banned the futures trading in most of the ...
5
The predictive performance of commodity futures risk factors
... all commodity futures contracts are sorted into five portfolios based on their ...value commodity futures ...portfolio-specific futures basis as the instrumental variable z ...
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