This paper examines the impact of futures market liquidity on underlying spot market volatility of India's agriculture commodity market for the sample period of 01 January, 2009 to 31 May, 2013. The sample commodities are Barley, Castor seed, Chana (Chickpea), Chilli, Potato, Pepper, Refined...

The aim of this paper is to investigate the lead-leg relationships between non-precious metals – nickel and zinc on Multi-Commodity Exchange (MCX) and agricultural commodities - pepper and soybean on National Commodities & Derivatives Exchange (NCDEX) using Johansen's co-integration test, VECM...

We investigate the behavior of commodity futures risk premia in China. In the presence of retail-dominance and barriers-to-entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility and liquidity premia are distorted by time-varying margins...

Previous literature on price discovery in commodity markets is mainly focused on the question of whether the spot or the futures market dominates the price discovery process. Little attention, however, has been paid to the question of how the price discovery process is affected by futures...

Our study seeks to provide a better understanding of price formation process and determining factors of price volatility in agricultural commodity markets. We focus on corn and soybean futures traded in CBOT (Chicago Board of Trade). We innovatively construct two sets of variables to represent...

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

Annual rebalancing of the S&P GSCI index provides a novel and strong identification to estimate the shape of supply curves for commodity futures contracts. Using the 24 commodities included in the S&P GSCI for 2004–2017, we show that cumulative abnormal returns (CARs) reach a peak of 59 basis...

Using hand-collected data of commodity futures contracts going back to 1877, we replicate in the pre-sample history the well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly positive in the additional 80-plus years of...

We examine commodity trading advisors (CTAs) to understand the causes and consequences of the financialization of commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties attract more investor flows. Meanwhile, the aggregate CTA...

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads...