This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

I investigate how local supply shocks in the globally distributed production of commodities are incorporated into CME futures prices. I exploit that the soybean market share of the US (Argentina) decreased (increased) between 1996 and 2010, and use rain, which tends to increase output, as a...

This paper determines the convenience yield implied in the European natural gas markets and investigates driving factors and according dynamics. For this, we approximate the convenience yield via an option-based approach, in which the convenience yield is determined as the difference between two...

This paper uses a novel dataset of Commodity-Linked Notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The...

The large inflow of investment capital to commodity futures markets in the last decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows either did or did not cause a price...

India has witnessed a limited progress in Agricultural Market Information Services (AMIS) confining to dissemination of the available information rather than improving its extent of coverage, quality and timeliness. The paper attempts to discuss the critical gaps in the existing system of AMIS...

We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...

Previous studies on the efficiency of oiI and gas markets have used monthly, weekly, or daily data. With the fast evolving, high-speed transaction globalized financial markets; efficiency of markets is better-explored using intraday day. In this paper, data sampled at 30-minute intervals...

This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of...