Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

We investigate the integration of oil spot and futures markets using matched, intraday data to avoid non-synchronous trading issues. Our evidence indicates highly integrated spot and futures markets. Economic shocks that arise in spot markets are quickly transmitted to the futures markets...

Accusations of price manipulation in the silver and gold markets have emerged in recent years. In an effort to increase transparency, the London spot price “fixing” mechanism was recently changed from an opaque negotiation process among a small number of dealer banks to a more observable...

This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a...

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...

We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity markets. We argue that finding risk premiums by analyzing overnight returns is more relevant than the frequently used ex post approach. The derivatives in these markets can be...

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...

Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the...

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

In a well-functioning futures market, the futures price at expiration equals the price of the underlying asset. This condition failed to hold in grain markets for most of 2005-10. During this period, futures contracts expired up to 35% above the cash grain price. We develop a rational...