The agriculture sector observed the penetration of parametric weather risk financial products, including weather index insurance and weather derivatives, between the late 1990s and the early 2000s. However, the adoption of such products remains low. While the reasons for low adoption are...

To compare the impact of fundamental news with the publication of traders' positions in an event study framework, a generalized autoregressive conditional heteroscedasticity (GARCH) model with t-distributed error terms is applied to corn, soybean, and wheat futures returns from January 1996 to...

This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

We examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark published by Platts. Trading activity in the futures market intensifies during the benchmark assessment. We also find trading in the direction of the published benchmark during the price assessment window....

Many trends in the world wheat market might explain the extreme price movements on the U.S. wheat futures markets in 2007/08 and 2010. But the different price reactions on the three wheat futures markets raise doubt if only supply and demand moved wheat future prices. The question arises if the...

We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market...

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we...

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, we implement a generalized least squares method that allows us to clearly distinguish among time-to-delivery...

In a seminal article, Samuelson (1965) [Samuelson, P. A. (1965), “Proof that properly anticipated prices fluctuate randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the volatility of futures prices should increase as futures contract approaches maturity....