This paper develops a methodology to test whether recent developments on world oil markets are in line with the hypothesis of efficient markets. We treat the joint hypothesis problem as stated by Fama (1970), Fama (1991), that market efficiency can only be assessed in conjunction with a price...

Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a xed future date. The construction of these measures is based on the...

This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery for KTBs, using daily transactions data from the over-the-counter market for KTBs and from the Korea Exchange for the futures. Our analysis suggests that foreign trading...

Dieser Literaturüberblick wertet 35 Forschungsarbeiten aus, die zwischen 2010 und 2012 veröffentlicht wurden und den Einfluss der Finanzspekulation auf die Agrarrohstoffmärkte empirisch untersuchen: Gemäß aktuellem Erkenntnisstand spricht wenig für die Auffassung, dass die Zunahme der...

This literature survey comprises 35 empirical studies published between 2010 and 2012 that analyze the influence of financial speculation on the markets for agricultural commodities. According to the current state of research, there is little supporting evidence that the recent increase in...

As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).

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...