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The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures prices in particular. Index position data compiled by the CFTC are carefully compared. In the energy markets, index position...
Persistent link: https://www.econbiz.de/10010868776
Brazil's first ethanol futures contract, which was implemented in 2000, failed to offer sufficient liquidity to attract market agents. The purpose of this study is to determine whether the new ethanol futures contracts launched by BMF-BOVESPA in 2010 meet the requirements to render them...
Persistent link: https://www.econbiz.de/10010718773
This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency daily position data for NYMEX crude oil, heating oil, RBOB gasoline, and natural gas that are available from a representative large...
Persistent link: https://www.econbiz.de/10011115923
futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model. Based on the results, we … suggests that carbon options have little information about carbon futures due to their low trading volume. We also investigate …
Persistent link: https://www.econbiz.de/10010868786