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The pricing efficiency of exchange-traded commodities
Dorfleitner, Gregor; Gerl, Anna; Gerer, Johannes - In: Review of managerial science 12 (2018) 1, pp. 255-284
Persistent link: https://www.econbiz.de/10011847132
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Volatility transmission in agricultural futures markets
Beckmann, Joscha; Czudaj, Robert - In: Economic modelling 36 (2014), pp. 541-546
Persistent link: https://www.econbiz.de/10010416370
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Commodities in asset management
Demidova-Menzel, Nadeshda; Heidorn, Thomas - 2007
The investment in commodities is starting to be more important during the last years. The paper describes the … characteristics of financially important commodities. In many cases a passive investment in an index is most suitable. As the GSCI is … bond portfolios including commodities is discussed. The paper shows that the effects differ substantially during different …
Persistent link: https://www.econbiz.de/10010298924
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How do commodity futures respond to macroeconomic news?
Hess, Dieter E.; Huang, He; Niessen-Ruenzi, Alexandra - 2008
This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures indices. Based on a large sample from 1989 to 2005, we show that the daily price response of the CRB and GSCI commodity futures indices to macroeconomic news is...
Persistent link: https://www.econbiz.de/10010302532
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The effects of margin changes on commodity futures markets
Daskalaki, Charoula; Skiadopoulos, George - 2014
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...
Persistent link: https://www.econbiz.de/10011381003
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Trading Houses during and since the Great Commodity Boom: Financialization, productivization or…?
Gibbon, Peter - 2014
The largest Commodity Trading Houses account for a large and increasing share of international trade, linked arguably to their financialization and - according to some commentators - giving rise to issues of 'systemic importance' similar to those applying to large investment banks. This paper...
Persistent link: https://www.econbiz.de/10011382965
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Volatility linkages between energy and agricultural commodity prices
López Cabrera, Brenda; Schulz, Franziska - 2013
In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...
Persistent link: https://www.econbiz.de/10010331113
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Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …
Persistent link: https://www.econbiz.de/10010335316
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Spread trading strategies in the crude oil futures market
Lubnau, Thorben - 2014
This article explores whether common technical trading strategies used in equity markets can be employed profitably in the markets for WTI and Brent crude oil. The strategies tested are Bollinger Bands, based on a mean-reverting hedge portfolio of WTI and Brent. The trading systems are tested...
Persistent link: https://www.econbiz.de/10010352055
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The industrialisation challenge for Africa: Towards a commodities based industrialisation path
Morris, Michael H.; Fessehaie, Judith - In: Journal of African Trade 1 (2014) 1, pp. 25-36
elements for a commodities based industrialisation strategy, including an analysis of the benefits of such strategy for Africa …
Persistent link: https://www.econbiz.de/10011985838