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Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...
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In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...
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and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends …) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …
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