As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In order to seek the decision power of deciding the price for iron ore, China's Dalian Commodity Exchange (DCE) listed iron ore futures in October 2013,which has become the world's...

We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about 10 minutes for the...

The changes in commodity prices and exchange rates leave the representative ASEAN-5-based international commodity traders exposed with multiple risks. Foreign exchange hedging ratios are simultaneously estimated alongside commodity ratios in a time-varying portfolio framework. The comparisons of...

We study the joint responses of commodity futures prices and positions of various trader groups to changes of the CBOE Volatility Index (VIX) before and after the recent financial crisis. Financial traders reduced their net long positions during the crisis in response to market distress, while...

We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...

Recent discussions on the volatility of agricultural prices have been drawing on factors as low short term elasticities of supply and demand, climatic risk, market uncertainty, central banks monetary policies, trade barriers, biofuel development and, finally, speculation. Much debate has aroused...

Abstract: The coincident rise in crude oil prices and increased numbers of financial participants in the crude oil futures market from 2000-2008 has led to allegations that "speculators" drive crude oil prices. As crude oil futures peaked at $147/bbl in July 2008, the role of speculators came...

Little is known about trading activity in commodity options market. We study the information content of commodity futures and options trading volume. Time-series tests indicate that futures contracts in a portfolio with the lowest option-to-futures volume ratio (O/F) outperform those in a...

Most institutional investors gain access to commodities through diversified index funds, even though mean-reverting prices and low correlation among commodities returns indicate that two-fund separation does not hold for commodities. In contrast to demand for stocks and bonds, we find that, on...

We investigate the determinants of the commodity (ex-ante) risk premia for different maturities through the lens of a model of adaptive learning in which expected future spot prices are revised based on past prediction errors and changes in economic fundamentals. The main results show that risk...