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The Impact of Global Financial Crisis on Informational Efficiency : Evidence from Price-Volume Relationship in Crude Palm Oil Futures Market

Go, You-How - 2015

As a source of energy of biofuel and edible oil, the fluctuation of crude palm oil prices is the concern of producers and manufacturers. However, little is known about the impact of global financial crisis on informational efficiency of crude palm oil (CPO) futures market. Hence, this study aims...

Persistent link: https://www.econbiz.de/10013022032

Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading

Nakajima, Katsushi - 2015

This study analyzes the relationships of commodity spot and futures prices with convenience yield. Convenience yield is received by the owner of a spot commodity but not by the owner of the right to the commodity (e.g., futures). This is the first study to explicitly model commodity spot and...

Persistent link: https://www.econbiz.de/10013023061

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Chaves, Denis B. - 2016

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean …-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean … results across the futures and spot markets. Most interestingly, we find that momentum in futures prices cannot be explained …

Persistent link: https://www.econbiz.de/10012984051

Expectations, Fundamentals, and Asset Returns : Evidence from the Commodity Markets

Beber, Alessandro - 2016

. Interestingly, time-series momentum exhibits a strong negative relation with survey-based expectations. We rationalize these …

Persistent link: https://www.econbiz.de/10012988158

Forecasting the Price of Crude Oil Via Convenience Yield Predictions

Knetsch, Thomas - 2016

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Persistent link: https://www.econbiz.de/10012991189

Price Discovery in Bitcoin Spot or Futures?

Baur, Dirk G. - 2018

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...

Persistent link: https://www.econbiz.de/10012920283

Issues in Benchmarking Commodity Performance

Filbeck, Aaron - 2018

“Issues in Benchmarking Commodity Performance” is a chapter for the book Commodities: Markets, Performance, and Strategies edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris. The book provides a detailed look at physical commodity markets and the investment vehicles available to...

Persistent link: https://www.econbiz.de/10012925297

Hedging long-dated oil futures and options using short-dated securities : revisiting Metallgesellschaft

Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

analysis to implementing hedge portfolios for long-dated futures or option contracts over the time period 2007-2017, we utilize …

Persistent link: https://www.econbiz.de/10012626875

Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities — Revisiting Metallgesellschaft

Doran, James; Ronn, Ehud I. - 2021

analysis to implementing hedge portfolios for long-dated futures or option contracts, we utilize the useful benchmark of hedge …

Persistent link: https://www.econbiz.de/10013239889

Pricing Dynamics of Natural Gas Futures

Li, Bingxin - 2021

Growth in the natural gas market is pronounced since the shale gas boom. Natural gas has become increasingly important in international trade, especially after the recent ﬁnancialization in commodity markets. Motivated by the high volatility and time-varying nature in natural gas futures...

Persistent link: https://www.econbiz.de/10013240210