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Dissertations / Theses on the topic 'Commodity Derivatives and Futures Market'

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Published: 3 June 2025

Last updated: 31 July 2025

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1

Börger, Reik H. "Energy-related commodity futures - statistics, models and derivatives." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-60248.

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2

Fan, Hua (John). "Momentum Investing in Commodity Futures." Thesis, Griffith University, 2014. http://hdl.handle.net/10072/365723.

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Momentum, the tendency of recent winner stocks to continue to rise and recent loser stocks to continue to fall, is one of the most puzzling asset pricing anomalies in modern finance. The recent boom in commodity futures investments has sparked renewed interest from both academia and industry in momentum investment strategies. This thesis proposes and examines the performance of three novel momentum-based active investment strategies in commodity futures. Conventional momentum strategies rely on 12 months of past returns for the formation of investment portfolios. First, this thesis proposes

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3

Tang, Weiqing. "Global commodity futures market modelling and statistical inference." Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/8661/.

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This thesis first investigates the asset pricing ability of a new risk factor, namely Risk-Neutral Skewness (estimated based on option data) in the global commodity futures market. Skewness trading behaviour in the option market is attributed to heterogeneous belief and selective hedging concern. The negative (positive) the Risk-Neutral Skewness is accompanied with excess trading on put (call) option contracts, which leads to underlings' over-pricing (under-pricing). Above results are robust to time-series and cross-sectional test and other alternatives. Secondly, a new functional mean change

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4

Wang, Ying. "Essays on Risk Management for Agricultural Commodity Futures Market." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461192690.

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5

Dai, Jingyu. "Testing Overreaction and Under-reaction in the Commodity Futures Market." Thesis, Singapore Management University (Singapore), 2013. http://pqdtopen.proquest.com/#viewpdf?dispub=1548068.

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<p> Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypo

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6

Kim, Sang Hyo. "Analysis of Agricultural Commodity Storage Using Futures and Options Market." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436958589.

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7

Zhou, Feng. "Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061.

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8

Ryu, Yul. "Primary commodity and its derivatives: Volatility relationships and market efficiency." Case Western Reserve University School of Graduate Studies / OhioLINK, 1993. http://rave.ohiolink.edu/etdc/view?acc_num=case1056738980.

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9

Howell, James Andreas. "An analysis of speculator behavior and the dynamics of price in a futures market." Diss., Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/24847.

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10

Mao, Yixiao. "On aspects of inflation in the context of commodity and futures market." Thesis, University of Glasgow, 2018. http://theses.gla.ac.uk/30878/.

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This thesis has developed alternative approaches for inflation forecasting and analysed the inflation risk premium in the context of commodity futures and options markets. Chapter 1 proposes an approach to tackle the non-availability of exchange-traded inflation futures price data. The composition of the consumer price index enables us to recognise the commodities which correspond to the consumption goods in the CPI. By averaging the commodity futures prices in the same way as the CPI is composed, we construct a synthetic futures contract written on the consumer price index, i.e. a futures on

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11

Gurrib, Muhammad Ikhlaas. "Behaviour and performance of key market players in the US futures markets." Thesis, Curtin University, 2008. http://hdl.handle.net/20.500.11937/1287.

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This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment index, results suggest hedgers (speculators) exhibit significant positive feedback trading in 15 (7) markets. Information variables like the S&P500 index dividend yield, corporate yield spread and the three months treasury bill rate were mostly unimportant in large players’ trading decisions. Hedgers had better market timing abilities than speculators in judging the direction

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12

Goetz, Cole Louis. "The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.

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This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. F

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13

Ely, David Paul. "Futures markets and cash price stability." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272292312.

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14

Gurrib, Muhammad Ikhlaas. "Behaviour and performance of key market players in the US futures markets." Curtin University of Technology, School of Economics and Finance, 2008. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=117995.

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This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment index, results suggest hedgers (speculators) exhibit significant positive feedback trading in 15 (7) markets. Information variables like the S&P500 index dividend yield, corporate yield spread and the three months treasury bill rate were mostly unimportant in large players’ trading decisions. Hedgers had better market timing abilities than speculators in judging the direction

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15

Andreasson, Pierre, and Jonathan Siverskog. "Cross-market linkages and the role of speculation in agricultural futures markets." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120605.

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In this study we analyse the role of speculation in forging cross-market linkages between agriculture, equity and crude oil over the period 1992-2014. The market interdependence of ten U.S. traded agricultural commodities futures is measured through the spillover index of Diebold and Yilmaz (2009, 2012) and the dynamic conditional correlation framework of Engle (2002). Utilising data from the U.S. Commodity Futures Trading Commission, ve dierent measures of speculation are constructed, which are used to examine the long-run and short-run dynamics between market integration and speculation. To

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16

Borg, Elin, and Ilya Kits. "Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach." Thesis, Linköpings universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940.

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This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. We employ the cross-quantilogram approach developed by Han et al. (2016) to examine dependence structures in the full quantile range, which represents different market states. Furthermore, we control for different lag structures, u

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17

Brunetti, Celso. "Comovement and volatility in international asset markets." Thesis, Queen Mary, University of London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322235.

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18

Zong, Zhe. "On pricing of futures contracts and derivatives in the WTI crude oil market." Thesis, University of Glasgow, 2017. http://theses.gla.ac.uk/8237/.

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Ever since a stochastic process for valuing futures contracts was first introduced by Black in 1976, a large number of people have been drawn to this developing domain of quantitative finance. To be more specific, at the end of the last century, Schwartz built a factor model system, step by step, with different co-workers. Following that, crude oil has been experiencing an unprecedented boom since the beginning of this century. This commodity and its related financial products play an unprecedentedly important role in the financial markets and in our day-to-day life. In this thesis, the standa

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19

Esen, Inci. "How Does The Stock Market Volatility Change After Inception Of Futures Trading? The Case Of The Ise National 30 Stock Index Futures Market." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/3/12608948/index.pdf.

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As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks&rsquo<br>volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor return-generating model to focus on the relationships among the volatility component

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20

Zhou, Haijiang. "Essays on theoretical and empirical studies of commodity futures markets." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1110165219.

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Thesis (Ph. D.)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formatted into pages; contains xi, 114 p.; also includes graphics (some col.) Includes bibliographical references (p. 108-114). Available online via OhioLINK's ETD Center

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21

Yun, Won-Cheol. "Tax treatment of trade in cattle futures : possible implications to market efficiency and price stability /." Thesis, This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-11242009-020149/.

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22

Martu, Eugeniu. "Analýza trhu nefinančních derivátů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73723.

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In long term well-diversified portfolio of commodities is not only profitable as well as a portfolio of stocks, but they are also slightly less risky. Profitability of the portfolio of commodities is negatively correlated with the return of the portfolio of stocks and bonds. This means that commodities are effective in diversifying equity and bond portfolios. And since this yields negative correlation increases with the length of time. The benefits of diversification are greater the longer they are used. Not only that, since the return of the portfolio of commodities depends positively with in

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23

Bowman, Thomas R., and Evan P. Wright. "Possible effects of the Department of Defense acting as a buyer on the derivatives futures market." Thesis, Monterey, California. Naval Postgraduate School, 2009. http://hdl.handle.net/10945/10430.

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Approved for public release, distribution unlimited<br>MBA Professional Report<br>The purpose of our professional project is to research the possible effects of the Department of Defense's (DoD) participation as a buyer in the commercial futures market for derivatives. The idea that DoD should participate in derivatives trading has been proposed and published by others in the past; however, the recommendations we reviewed failed to provide empirical evidence to highlight likely outcomes if their recommendations were put into practice. With this project, we research the likely effects that DoD

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24

Bowman, Thomas R. Wright Evan P. "Possible effects of the Department of Defense acting as a buyer on the derivatives futures market." Monterey, Calif. : Naval Postgraduate School, 2009. http://edocs.nps.edu/npspubs/scholarly/MBAPR/2009/Jun/09Jun%5FBowman%5FMBA.pdf.

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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2009."<br>Advisor(s): Brook, Douglas ; Hensel, Nayantara ; Summers, Donald. "June 2009." "MBA professional report"--Cover. Description based on title screen as viewed on July 14, 2009. Author(s) subject terms: Oil, Price Elasticity of Demand, Hedging, Department of Defense, DoD, Fuel Purchases. Includes bibliographical references (p. 71-73). Also available in print.

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25

Sahoo, Satya R. "Essays on derivatives and risk management on freight and commodity : an attempt to anticipate and hedge the market volatilities." Thesis, University of Reading, 2018. http://centaur.reading.ac.uk/77332/.

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This thesis investigates three unexplored areas in maritime freight and commodity markets; 1) the relationship between commodity and freight markets; 2) the interaction of freight options market with the freight futures and underlying freight rate markets; 3) improving the hedging performance of freight futures contracts by cross hedge technique. Details provided as follows: Firstly, information flows between commodity and shipping freight markets are essential for the participants of the international shipping industry for optimising ship chartering strategies, investment positioning and risk

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26

McFarlane, Lavern. "Essays on the role of time, volume and velocity in futures market microstructure : evidence from the Mexican derivatives exchange." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.498791.

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This thesis consists of three essays that examine several market microstructure hypotheses in the context of an emerging futures market, with a particular emphasis on understanding: (i) the price impact of various trading variables and (ii) the role of time in the trading process.

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27

McFarlane, Lavern. "Essays on the role of time, volume and volatility in futures market microstructure : evidence from the Mexican derivatives exchange." Thesis, University of Manchester, 2009. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.619271.

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28

Matanovic, Eva [Verfasser]. "The Impact of Financial Derivatives on Financial Market Stability – Evidence from DAX Stock Index Futures Trading Using GARCH / Eva Matanovic." Hagen : Fernuniversität Hagen, 2010. http://d-nb.info/1006400842/34.

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29

Isberg, Ofelia. "Is there a Future in Real Estate? : Incorporate Futures Contracts within the Swiss Real Estate Market." Thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-211130.

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In the past decades, real estate has turned into something more than just a home, it has become an investment. The interest to invest in the real estate market has increased from investors but also from private persons where the demand not only is to find a living but also perceived as an investment to make a profit or reinvest in the future. The demand on the Swiss real estate market has increased from locals but also foreigners that want to invest in the stable and safe Swiss market. The high demand has increased the housing prices, which has raised even faster than the wages, and in turn,

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30

Borocco, Etienne. "The heterogeneity of information and beliefs among operators in the commodity markets." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED072.

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Le projet de thèse consiste à étudier l’hétérogénéité de l’information et des croyances parmi les opérateurs sur les marchés de matières premières pour s’attaquer aux puzzles de la volatilité et de la prime de risque sur ces marchés. La première étape a été d’introduire l’asymétrie d’information dans un modèle de stockage. Il en est ressorti que le marché est efficient et que l’on peut distinguer un effet informationnel aléatoire d’un effet physique déterministe. La deuxième étape est d’estimer empiriquement les paramètres d’une version modifiée du modèle théorique évoqué plus haut. L’hypothès

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31

Zikmund, Michal. "Analýza vývoje derivátových trhů v průběhu finanční krize." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81635.

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The aim of my final thesis is the derivatives markets development analysis during financial crisis. Through basic problems with derivatives accounts of Lehman Brothers we can assess needs of standardization and transparency in area of derivatives instruments with such result which has minimal impact for liquidity on derivatives market. In the next step, there was analyzed year 2008 alone because of bankruptcy announcement of Lehman Brothers and therefore was analyzed impact on derivatives product lines in organized market in this year. Last part of thesis is analyzing development of number and

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32

El-Moussawi, Chadi. "Vliv spekulantů na komoditních trzích." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-136242.

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In the recent years, there has been growing talk of investing in commodities in the financial markets. In the past, the commodity markets served for purposes of the producers and the end-users of commodities. With gradual innovation of the financial markets in the 19th and 20th century the modern commodity markets evolved and became more standardized. This process was accompanied by the increasing interest of financial speculators. In contrast with the commercial participants, the goal of these new investors in the commodity markets is not to hedge against adverse changes in commodity prices b

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33

Abuk, Nese. "The Intraday Lead-lag Relationship Of Spot And Futures Markets In Turkey: Co-integration And Causality Analyses." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613292/index.pdf.

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This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is

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34

Lin, Cheng-I. Eric. "Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions." Thesis, University of North Texas, 2007. https://digital.library.unt.edu/ark:/67531/metadc5149/.

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When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the index portfolio and take short (long) positions in the corresponding index derivative contracts until pr

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35

Lundström, Christian. "On the returns of trend-following trading strategies." Licentiate thesis, Umeå universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-132914.

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Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it invo

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36

Volf, Petr. "Využití umělé inteligence na komoditních trzích." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224867.

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Tato diplomová práce se zabývá problematikou obchodování na komoditních trzích. Řešení problematiky spočívá ve využití umělé inteligence, konkrétně neuronových sítí, k technické analýze vývoje ceny vybrané komodity a snaze o co nejpřesnější predikci budoucího vývoje ceny pro podporu investičního rozhodování. Model neuronové sítě je vytvořen a použit pro predikci v programu MATLAB.

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37

Watugala, Sumudu Weerakoon. "Essays on interconnected markets." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:50c12fb0-a354-40bb-9d07-9174ad1f594a.

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This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is e

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38

Ben, Kebaier Sana. "Essais sur les prix des matières premières et les marchés de l'énergie." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED033.

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Il est important d'analyser la spécification de l'efficience des marchés des matières premières et l'impact du comportement des investisseurs sur leurs prix pour optimiser les stratégies de négociation et de gestion des risques. De plus, étant donné le nombre élevé de changements extrêmes sur les marchés, il est important d’analyser les prix dans une perspective temps-fréquentielle et de prendre en compte toutes les conditions du marché. Cette thèse couvre les nouvelles caractéristiques des marchés des matières premières en utilisant des méthodes empiriques récentes et en intégrant les dernier

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39

Motengwe, Chrisbanard. "Return volatility causal inferences on the commodity derivatives markets." Thesis, 2016. http://hdl.handle.net/10539/21576.

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Dissertation Submitted in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy in Management Graduate School of Business Administration University of the Witwatersrand April 2016<br>This thesis examined commodity futures on the South African Futures Exchange (SAFEX) from two angles; the investors’ perspective and that of the futures exchange. For the former, the research looked at market inefficiencies and resultant arbitrage opportunities while for the latter, extraordinary market movements are examined by exploring how extreme value analysis (EVA) is ideal for ex

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Rossouw, Werner. "An analytical research into the price risk management of the soft commodities futures markets." Diss., 2007. http://hdl.handle.net/10500/1930.

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Agriculture is of inestimable value to South Africa because it is a major source of job creation and plays a key role in earning foreign exchange. The most significant contribution of agriculture, and in particular maize, is its ability to provide food for the nation. For a number of decades government legislation determined prices, and as such the trade of grains on the futures exchange requires market participants to adapt to a volatile environment. The research focuses on the ability of market participants to effectively mitigate price volatility on the futures exchange through the use o

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Tsai, Shang-en, and 蔡尚恩. "Commodity ETFs and Contango Effects in Futures Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/25558904215379297246.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>99<br>Generally, investment in commodity ETFs cannot produce similar performance as well as spot goods. Evidence shows that “rolling” futures positions experience “contango and the effects on contango will harm ETFs” value. This study shows that two ETFs, USO and UNG, underperform the spot substantially because of rolling in the crude oil and natural gas market, respectively. In this study we employ four energy sector futures market data from the Thomson Reuters to investigate the impact of rolling positions on the relation between commodity index funds and in cont

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SINGH, NARINDER PAL. "EFFICIENCY, SEASONALITY AND MACROECONOMIC ISSUES IN INDIAN COMMODITY FUTURES MARKET." Thesis, 2019. http://dspace.dtu.ac.in:8080/jspui/handle/repository/16880.

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Commodity futures markets provide a platform to commodity producers, consumers and traders to hedge their price risk. Price discovery and risk management are two essential roles of the commodity futures market. The commodity futures market has to be efficient to perform these functions. Agro-commodities futures market plays a crucial role in the economic foundations of a country like India that is substantially driven by the agricultural sector performance. At the same time, non-agro-commodity futures markets are imperative to both the policy makers and the other stakeholders in India since th

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Hsu, Chuan-Hao, and 徐川皓. "Overreaction, Underreaction and Momentum Strategy in the Commodity Futures Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/c775dw.

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博士<br>逢甲大學<br>商學博士學位學程<br>102<br>By using the event-study methodology, this study examines the overreaction and underreaction in the commodity futures markets, including softs, grains, livestocks, metals and energies. An underreaction phenomenon in agricultural commodities (softs, grains and livestocks) and an overreaction phenomenon in non-agricultural commodities (metals and energies) are found. Even after controlling for potentially confounding factors, the cross-sectional analysis confirms that the non-agricultural commodities, especially for the positive events, experience stronger degr

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"Asymmetric effect of basis on hedging in Chinese metal market." 2009. http://library.cuhk.edu.hk/record=b5894202.

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Su, Yiwen.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.<br>Includes bibliographical references (p. 76-84).<br>Abstract also in Chinese.<br>Abstract --- p.i<br>Acknowledgement --- p.iii<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Literature Review --- p.9<br>Chapter 2.1 --- Hedge Ratio Review --- p.9<br>Chapter 2.2 --- Estimating the Hedge Ratio --- p.13<br>Chapter 2.2.1 --- Static Hedge Ratio --- p.13<br>Chapter 2.2.2 --- "Dynamic Hedge Ratio, Multivariate GARCH Frame-work and DCC Model" --- p.14<br>Chapter 3 --- Futures Market Efficiency --- p.19<br>Chapter

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45

Börger, Reik H. [Verfasser]. "Energy related commodity futures : statistics, models and derivatives / vorgelegt von Reik H. Börger." 2007. http://d-nb.info/997413611/34.

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46

Lin, Kuo-ping, and 林國平. "The development of Commodity Futures Market in Taiwan: For example of Golden, Agricultural and DRAM Futures." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/95370012480439795897.

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碩士<br>國立高雄大學<br>高階經營管理碩士在職專班<br>95<br>Commodity futures is not popular in Taiwan, but its development in other countries is quite completely. The first commodity futures in Taiwan is Golden futures begins on March in 2006. However it does not take delight in investors. By researching the commodity futures in American, we try to develop our own commodity futures, and answer to the demand of the market. Accounting to the Golden futures now on sale in Taiwan, we find out the defect of it, and then improve it to be better. Be the member of WTO, our agricultural products face a shock. We wish that

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黃琬君. "Herding behavior in commodity futures market－the application of Keynes beauty contests." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/63693007764458065926.

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碩士<br>國立政治大學<br>國際經營與貿易研究所<br>98<br>This paper primary follows the methods derived by Allen, Morris, and Shin (2003), using a contaminated, or with a supply shock, rational expectation model to build the linear relationship for commodity futures price. In this way, the price could not fully reflect the true information in commodity futures price. Besides, we also use the notion of iterated expectation in our futures price model, and try to figure out whether the price is influences mainly by the public information, but no the true information in the market. Thus, we can imply form this that wh

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Motengwe, Chrisbanard Themba. "Price volatility effects on trading returns in agricultural commodity derivatives in South Africa." Thesis, 2013. http://hdl.handle.net/10539/13071.

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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013.<br>Recent unexpected variability in the earnings of agribusinesses in South Africa has led stakeholders to ask as to why projected financial performance tended to be so different from the actual results achieved. This paper aims to make an empirical contribution to the discussion on the effects of soft commodity price volatility on the returns of entities whose major business involves derivative

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Huang, Jhih-Wei, and 黃誌偉. "Profitability of Momentum-based Day-trading Strategies in the U.S. Commodity Futures Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6pvs46.

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碩士<br>靜宜大學<br>財務金融學系<br>106<br>We resort to long-short momentum trading strategies to examine the profitability of day trading in the U.S. commodity futures market. The focused commodity futures included 17 categories and the empirical testing period contains more than 10 years before the end of 2016. Different form past works, our strategies employ the same day’s open-to-close returns rather than overnight close-to-close returns. In this way, our analysis can be free from the potential problem of incorrect returns whenever termination days occurs. In addition to the traditional formula of tra

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Khurelbaatar, Baigali. "Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-339524.

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The objective of the thesis is to analyze the copper futures market in London Metal Exchange (LME) and to recommend appropriate hedging strategy in copper futures market to the Erdenet Mining Corporation in Mongolia. It uses daily official settlement copper prices of LME in the spot and 3 month futures markets from 2000-2014. Initially, we use cointegration test and ECM to investigate the copper market efficiency. Then OLS, ECM, GARCH, EGARCH and ECM-GARCH models are employed to compute different optimum hedge ratios. Finally, the hedge effectiveness is measured based on minimization of the va

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