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Die Eignung eines Futures auf implizite Forwardvolatilitäten zum Handeln des Vega-Risikos von Optionen
Roth, Randolf - 1997
Persistent link: https://www.econbiz.de/10004379817
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Noncommercial Trading in the Energy Futures Market
Dale, Charles; Zyren, John - Volkswirtschaftliche Fakultät, … - 1996
This paper utilizes a new approach to an examination of price impacts of speculators on futures markets. It focuses initially on specially obtained data on commodity “pools,” which are large funds of money that may move quickly between and across futures markets and other financial markets;...
Persistent link: https://www.econbiz.de/10011259576
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Speculative trading and oil price dynamic: A study of the WTI market
Hache, Emmanuel; Lantz, Frédéric - In: Energy Economics 36 (2013) C, pp. 334-340
The aim of this paper is to study the oil price dynamic in West Texas Intermediate (WTI) market in the US. By using statistical and econometric tools, we first attempt to identify the long term relationship between WTI spot prices and the prices of futures contracts on the New York Mercantile...
Persistent link: https://www.econbiz.de/10010868750
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Liquidity and volatility in the American crude oil futures market
Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004
This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth …
Persistent link: https://www.econbiz.de/10010707195
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Does the Masters Hypothesis Explain Recent Food Price Spikes?
Irwin, Scott H. - International Association of Agricultural Economists - IAAE - 2012
The Masters Hypothesis is the claim that unprecedented buying pressure in recent years from commodity index investors created massive bubbles in food and energy prices. A number of recent studies investigate the empirical relationship between index investment and price movements in agricultural...
Persistent link: https://www.econbiz.de/10010913967
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Financialization and Structural Change in Commodity Futures Markets
Irwin, Scott H.; Sanders, Dwight R. - In: Journal of Agricultural and Applied Economics 44 (2012) 03
The first decade of the 21st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes in both trading and participants....
Persistent link: https://www.econbiz.de/10010914320
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Speculation, Returns, Volume and Volatility in Commodities Futures Markets
Bastianin, Andrea; Manera, Matteo; Nicolini, Marcella; … - In: Review of Environment, Energy and Economics - Re3 (2012) January
vulnerability to financial speculation for energy commodities over the period 1992-2010. We find that financial speculation is … degree of vulnerability to financial speculation characterizes the futures market for crude oil in the 2008 crisis. …
Persistent link: https://www.econbiz.de/10010535490
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Does Futures Speculation Stabilize Spot Prices? - Evidence From Metals Markets-
KOCAGIL, A. ENIS - Laboratory for Economics Management and Auctions … - 1993
The effects of speculation in futures markets has been a topic of a long lasting debate in both empirical and … empirically test the relationship between speculation in futures markets and spot price volatility. The contribution of this study … an empirical test of the hypothesis that futures speculation decreases spot price volatility is conducted using data on …
Persistent link: https://www.econbiz.de/10005794698
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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2006
This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...
Persistent link: https://www.econbiz.de/10008464570
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Price efficiency and speculative trading in cocoa futures markets
Nardella, Michele - Agricultural Economics Society - AES - 2007
In recent years a number of market participants called into question the efficiency of the price discovery mechanism in commodity futures markets. They believe that speculators move commodity futures markets away from their fundamentals by distorting prices and exacerbating volatility. The...
Persistent link: https://www.econbiz.de/10005038763