Showing 1 - 9 of 9
Well established and efficient agricultural commodity futures markets, are expected to perform the role of price discovery and risk management more effectively. The results of the Johansen's cointegration tests have shown that the spot and futures markets for the 12 agricultural commodities are...
Persistent link: https://www.econbiz.de/10012955540
This study examines the existence of Cointegration between the future and spot prices of highly traded currencies in India like USD, EURO, GBP, and JPY. The spot prices are collected from RBI reference Prices and future prices from MCX-SX (Multi Commodity Exchange-Stock Exchange) from October...
Persistent link: https://www.econbiz.de/10012953139
Silver is a metal that is associated with metals like gold, lead, zinc, and copper, though its unusual properties make it very different from them. It is used in making various kinds of jewelry, as it is considered as a precious metal second to gold but its contribution in the various industrial...
Persistent link: https://www.econbiz.de/10012954384
With due credit to the globalized interlinked economy, the international linkages, information transmission, and the spillover effect from one futures market to other markets across the world is well researched and documented. Especially several studies on equity, currency, and commodity markets...
Persistent link: https://www.econbiz.de/10012955544
This paper tests the impact of the commodity transaction tax (CTT) introduced in Indian commodity market since July 2013, particularly on market liquidity and volatility aspects. We rely on a distinctive design of the tax, which is imposed only on non agri-commodities. Here, we considered Gold...
Persistent link: https://www.econbiz.de/10012981204
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This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma, vega and interest rate hedge. Factor hedging is...
Persistent link: https://www.econbiz.de/10012982923
Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing performanceon long-dated commodity derivatives? To answer this question, we consider futuresprice models for commodity derivatives that allow for stochastic volatility and stochastic interestrates and a...
Persistent link: https://www.econbiz.de/10012855761