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Hedge Transactions on the Stock Exchange

Ionescu, Roxana - In: International Journal of Academic Research in … 2 (2012) Special 1, pp. 274-281

Hedge operations are particular stock market operations through which stock market traders, producers, intermediaries intend to cover the unfavorable outcome of the goods price on the cash market (physical). Price hedging by hedge operations is possible with the similarity and possible...

Persistent link: https://www.econbiz.de/10010706279

Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange

Chien, Cheng-Yi; Lee, Hsiu-Chuan; Tai, Shih-Wen; Liao, … - In: Journal of Multinational Financial Management 23 (2013) 5, pp. 394-414

volatility. Using data from the Taiwan Futures Exchange, empirical results indicate that the hedging demand of foreign investors … has a significant negative impact on subsequent returns and volatility. In addition, trading strategies based on the … show that returns (volatility) also affect the subsequent hedging demand of foreign investors, suggesting a feedback …

Persistent link: https://www.econbiz.de/10010719023

Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market

Otsubo, Yoichi - Centre de Recherche en Économie Appliquée (CREA), … - 2012

Abstract: This study provides a case that the Thompson Waller estimator would have downward bias, which has not been carefully discussed in the literature. Such case is that (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price change associated to such orders are small....

Persistent link: https://www.econbiz.de/10010720035

Futures market: contractual arrangement to restrain moral hazard in teams

Song, Joon - In: Economic Theory 51 (2012) 1, pp. 163-189

Holmstrom (Bell J Econ 13:324–340, <CitationRef CitationID="CR16">1982</CitationRef>) argues that a principal is required to restrain moral hazard in a team: wasting output in certain states is required to enforce efficient effort, and the principal is a commitment device for the waste. Under competition in commodity and team-formation...</citationref>

Persistent link: https://www.econbiz.de/10010993618

Bubbles in food commodity markets: Four decades of evidence

Etienne, Xiaoli L.; Irwin, Scott H.; Garcia, Philip - In: Journal of International Money and Finance 42 (2014) C, pp. 129-155

We use daily prices from individual futures contracts to test whether speculative bubbles exist in 12 agricultural markets and to identify whether patterns of bubble behavior exist over time. The samples begin as far back as 1970 and run through 2011. The findings demonstrate that all 12...

Persistent link: https://www.econbiz.de/10011048478

Energy futures prices and commodity index investment: New evidence from firm-level position data

Sanders, Dwight R.; Irwin, Scott H. - In: Energy Economics 46 (2014) S1, pp. 57-57

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

Zarządzanie ryzykiem cenowym w rolnictwie w praktyce wybranych krajów na świecie

Stępień, Sebastian; Śmigla, Marta - In: Problems of World Agriculture / Problemy Rolnictwa … 12 (2012) 27

producers activities to increasing risk, including that related to price volatility. This requires development and …

Persistent link: https://www.econbiz.de/10011125795

The Role of Speculation in Oil Markets: What Have We Learned So Far?

Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012

A popular view is that the surge in the price of oil during 2003-08 cannot be explained by economic fundamentals, but was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major determinant of the spot price of oil. This interpretation...

Persistent link: https://www.econbiz.de/10011084244

Speculation in the agricultural commodity market

Czech, Katarzyna - In: Problems of World Agriculture / Problemy Rolnictwa … 13 (2013) 28

price volatility. Most academic literature does not support the idea that speculators drive commodity prices beyond …

Persistent link: https://www.econbiz.de/10011096027

A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders

Noussair, Charles; Tucker, S.; Xu, Yilong - Tilburg University, Center for Economic Research - 2014

We study the effect of the addition of a futures market, in which contracts maturing in the last period of the life of the asset can be traded. Our experiment has two treatments, one in which a spot market operates on its own, and a second treatment in which a spot and futures market are active...

Persistent link: https://www.econbiz.de/10011144459