[PDF] Top 20 The volatility of returns from commodity futures: evidence from India

... price volatility for different commodity groups, such as agri- cultural, metal, precious metal, and energy commodities in the perspective of the Indian commodity derivatives ...and volatility ... See full document

... benefits from varied asset classes. Correlations and volatility spill overs have also been studied for commodity (gold and oil) and stock market (S&P 500 index) using Vector Autoregression VAR ... See full document

... The commodity futures markets have recently received much attention from both academics and investor community, following their increasing financialization which is characterized by an in- crease in ... See full document

... realized volatility obtained from the 15-, 30-, and 60-min returns in Table ...underlying volatility processes are persistent with clear evidence of long memory ... See full document

... against futures markets which points to the various flaws- inflation or rising price volatility is one of such major ...of commodity futures as an asset vis-à-vis other financial assets in ... See full document

... market volatility, to achieve a desirable return from investments has become a key ...predicted returns depend on the risk of the portfolio, the return realized has no significant relationship with ... See full document

... the returns and volatility time series with respect to the gold ...the volatility of the diamond market, a modified rescaled range (R/S) statistic of Lo (1991) was used to test for long memory in the ... See full document

... subtracting from the futures prices the model-implied expected future spot prices for the same maturity, h = 2, 3, 4 quarters ...ahead. Futures prices data on Crude Oil (WTI) are from the New ... See full document

... gold futures against the stock and bond market ...high volatility in stock and bond returns and enables to verify the safe haven role of gold ...stock returns and low volatility which ... See full document

... on commodity prices. Some of them test whether changes in commodity futures prices have tended to be anticipated by changes in financial inve stors‟ positions on commodity exchanges (see ... See full document

... Apart from the theory of storage, the alternative view of commodity futures prices, namely the hedging pressure hypothesis, is based on the idea of a risk premium earned by long investors in ... See full document

... find evidence of speculative bubbles caused by feedback trading or by index ...few commodity markets – in particular soybean and copper – did his models point to a speculative bubble caused by extrapolative ... See full document

... Results for both estimates using IEM price dummies are presented in Table 3. The negative and statistically significant estimated coefficients for both the Winner-Take-All and Vote Share market dummies in the conditional ... See full document

... and volatility spillovers between some of the markets in the US, UK, Canada, Germany and ...the volatility transmission process was ...and volatility spillovers in Scandinavian stock markets, ...that ... See full document

... financial returns is not only an important factor should be consi- dered in the process of optimal portfolio allocation, but also one of the variables having close relationship with the recognition and measurement ... See full document

... realized volatility faces the so-called problem of microstructure noise ...emerges from market microstructure problems, whose main examples are the existence of a bid-ask spread, non-synchronous trading, ... See full document

... their volatility differences, yield differences and low correlations with equity markets, metal futures are held for diversification in the international investors’ ...metal futures in The Multi ... See full document

... daily returns measured over a ranking period of 12 ...downside volatility and Omega ratio measures the probability of gains over probability of ...brackets) from regressions of the excess ... See full document

... 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 ... See full document

... index futures on the volatility of the fundamental spot market has increasingly received the awareness of researchers and policy makers ...index futures in the context of several stock market ... See full document