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Dissertations / Theses on the topic 'Commodity markets'
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Natanelov, Valeri. "Commodity futures markets: dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets." Thesis, Ghent University, 2014. https://eprints.qut.edu.au/129692/1/129692.pdf.
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This doctoral thesis discerns the complicated dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets. Recently, various factors have dramatically changed the economic relationships between these important markets which contributed to greater price volatility and complex price transmissions across these markets. Via the use of cointegration methodologies on stock and futures markets four price relationships have been scrutinized with respect to agricultural commodities and crude oil markets; crude oil and BRIC stock markets; crude oil, corn and ethanol markets; and Indian government sugar policy and global sugar and commodity futures indices. Crude oil futures are shown to be affecting mature commodity futures markets. Recently, policies encouraging biofuel production have changed the mechanisms of influence of crude oil futures prices on several agricultural commodity markets. It has been shown that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Specifically, biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. Consequently, the impact of crude oil price movements on heterogeneous BRIC economies is analyzed. Crude oil futures prices are found to have an impact on markets in two distinct manners. The first being the traditional impact of energy, being one of the main production factors, on the economies.
In parallel, the information component of crude oil futures price fluctuations has an additional impact on the markets. In case of the complex relationships between crude oil, corn and ethanol futures markets, a strong relationship between crude oil and corn markets on one side, and crude oil and ethanol on the other has been found. In addition, corn futures market became more sensitive to volatility due to ethanol demand-sinks. Overall, the markets exhibit great dependency on information shifts. Consequent analysis of the Indian and global sugar and commodity indices futures offers additional insight on the bigger picture. The heterogeneous and complex Indian sugar policies, in combination of limited access and knowledge of futures markets, cause decoupling between the Indian sugar futures prices and the regional prices. Indian sugar futures markets are led by the information from global commodity markets. This division in price formation of Indian regional (spot) sugar markets and the futures markets indicates a distinct difference in the underlying price formation process. The main contributions of this research are:
(i) novel use of threshold cointegration techniques to model policy interventions;
(ii) inductive analytic design incorporates policy and regime changes that could affect price transmission;
(iii) policy price interventions cause impaired functioning of the futures markets, and;
(iv) agricultural commodities and commodity markets in general are more than ever responsive to information flows and experience price and volatility spillover effects among themselves.
Finally, it is hinted to reconsider futures markets theory, from the perspective that the decision-making process in futures markets is based on a priori situation or information.
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Koettering, Andreas Hermann. "Futures trading on commodity markets." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.306271.
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Ganepola, Chanaka N. "Three essays on commodity markets." Thesis, University of Manchester, 2018. https://www.research.manchester.ac.uk/portal/en/theses/three-essays-on-commodity-markets(0769e13c-59d8-46fb-a196-1ec9a7c18883).html.
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This thesis consists of three papers that analyze the effects of crude oil prices on macroeconomic variables, stock markets, and the behavior of hedgers and speculators when they trade illiquid commodities. The first paper examines the impact of oil price shocks on selected macroeconomic variables. This study is conducted across a sample of twelve countries that include developed countries, developing countries, oil producing countries and oil importing countries. Further, the study focuses on the behavior of oil production and oil imports/exports following these oil price shocks. Our findings suggest that macroeconomic variables of oil producing countries are more resilient to oil supply shocks compared to countries that largely depend on oil imports. The stimulus on industrial production following aggregate demand shocks of countries that are less dependent on imported crude oil decays rapidly, in comparison to the stimulus on industrial production of countries that are largely dependent on imported crude oil. The second paper analyses the impact of oil prices on stock market returns. This study uses present value models to survey the effects of oil prices on stock returns through cash flow and discount rate channels. This paper also looks into the effects of oil prices on cash flow and discount rate betas of the stock market and seventeen industries. We find that using oil market associated variables in the absence of a price-based variable may lead to invalid VAR-based stock return news decomposition to cash flow and discount rate news components. We find evidence that oil market associated variables improve the predictability of real stock returns, especially the recent period of 2000:01-2015:12. These predictor variables also affect both market cash flow and discount rate betas as well as betas of industries such as oil, mining and utilities. The third paper examines the behavior of hedgers and speculators in commodities market when they trade illiquid commodities. This study also points out that using the Amihud measure (Amihud (2002)) as the measure of illiquidity in commodity market could be problematic due to its size bias. In order to handle this potential issue, we decompose the Amihud measure into turnover based Amihud measure and market size following Brennan, Huh and Subrahmanyam (2013). We find that speculators (hedgers) pay an additional premium to buy liquidity (insurance) in illiquid commodities. Further, the paper reports clear evidence of asymmetries of illiquidity effects in bullish and bearish market days.
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Isleimeyyeh, Mohammad. "Financialization of Commodity : the Role of Financial Investors in Commodity Markets." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED068/document.
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Cette thèse étudie le rôle joué par les investisseurs financiers sur les marchés des matières premières, connu sous le nom de financiarisation des matières premières. Elle est constituée d’une partie théorique et d’une autre empirique. Les recherches menées visent à étudier la participation des investisseurs, détenant des portefeuilles d’actions, aux marchés à terme de matières premières, pour des raisons de diversification. De plus, cette diversification peut être obtenue en investissant dans un panier de produits de base. Le premier chapitre analyse théoriquement l’interaction entre le marché des matières premières et celui des actions. Le deuxième chapitre étudie empiriquement l’impact du choix des investisseurs financiers sur la prime de risque des contrats à terme sur les matières premières. Il s’intéresse principalement à trois produits de base : pétrole brut (WTI), fioul pour chauffage et gaz naturel. Le troisième chapitre étudie théoriquement l’intégration de deux marchés de matières premières. Nous clarifions certaines considérations concernant l’effet de la financiarisation sur lesquelles la littérature existante reste hésitante. Nous démontrons le pouvoir d’influence qu’exercent les investisseurs sur le marché des matières premières. Toutefois, ceci dépend de la nature de la position de l’investisseur sur le marché à terme. De manière générale, la financiarisation entraîne la hausse des prix spot, des prix des contrats à terme et des niveaux des stocks. Nous montrons aussi que les investisseurs représentent un canal de transmission entre les marchés de matières premières. Leurs effets étendus se limitent à la corrélation croisée des marchés de matières premières. Enfin, nous montrons que les rendements des marchés d’actions sont devenus un déterminant de la prime de risque des contrats à terme après la crise financière de 2008. Cet effet des rendements des actions est indifférent entre les maturités courtes et longuesThis dissertation studies the role of financial investors on commodity markets, which is referred as financialization of commodity. The content of the dissertation splits to theoretical and empirical work. The implemented researches are motivated by the participation of investors, who own stock portfolios, in commodity futures markets for diversification reasons. Furthermore, that diversification is likely achieved by investing in a basket of commodities. The first chapter investigates, theoretically, the interaction between commodity and stock markets. The second chapter studies, empirically, the impact of financial investors on the commodities futures risk premium. It focuses on studying three commodities: crude oil (WTI), heating oil and natural gas. The third chapter examines, theoretically, the integration between two commodity markets. We clarify the hesitating of the previous literature in finding evidences of the impact of financialization. We confirm the influential power of investment in commodity market. However, that depends on the financial investors positions taken in the futures market. Generally, financialization increases the spot prices, the futures prices and inventory levels. We find, also, that investors are a transmission channel between commodity markets. Their effects spread out restricted to the cross commodity markets correlation. Finally, stock market returns became effective determinant of the futures risk premium after 2008 financial crisis. Also, the effect of the stock returns indifferent between short and long maturities
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Bozovic, Milos. "Risks in Commodity and Currency Markets." Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7388.
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This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by the investors. The first chapter develops a simple two-factor jump-diffusion model for valuation of contingent claims on commodities in order to investigate the pricing implications of shocks that are exogenous to this market. The second chapter analyzes the nature and pricing implications of the abrupt changes in exchange rates, as well as the ability of these changes to explain the shapes of option-implied volatility "smiles". Finally, the third chapter employs the notion that key results of the univariate extreme value theory can be applied separately to the principal components of ARMA-GARCH residuals of a multivariate return series. The proposed approach yields more precise Value at Risk forecasts than conventional multivariate methods, while maintaining the same efficiency.El objetivo de esta tesis es analizar los factores del riesgo del mercado de las materias primas y las divisas. Está centrada en el impacto de los eventos extremos tanto en los precios de los productos financieros como en el riesgo total de mercado al cual se enfrentan los inversores. En el primer capítulo se introduce un modelo simple de difusión y saltos (jump-diffusion) con dos factores para la valuación de activos contingentes sobre las materias primas, con el objetivo de investigar las implicaciones de shocks en los precios que son exógenos a este mercado. En el segundo capítulo se analiza la naturaleza e implicaciones para la valuación de los saltos en los tipos de cambio, así como la capacidad de éstos para explicar las formas de sonrisa en la volatilidad implicada. Por último, en el tercer capítulo se utiliza la idea de que los resultados principales de la Teoria de Valores Extremos univariada se pueden aplicar por separado a los componentes principales de los residuos de un modelo ARMA-GARCH de series multivariadas de retorno. El enfoque propuesto produce pronósticos de Value at Risk más precisos que los convencionales métodos multivariados, manteniendo la misma eficiencia.
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Pradkhan, Elina. "Essays on bond and commodity markets." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2016. http://dx.doi.org/10.18452/17542.
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Die erste Studie analysiert den Einfluss von Gläubigerschutz auf die internationalen Anlageentscheidungen in Anleihemärkten. In den Ländern mit einem überdurchschnittlichen Gläubigerschutz wirkt ein verbesserter Gläubigerschutz im Heimatmarkt positiv auf die Nachfrage nach ausländischen Anleihen, reduziert jedoch den positiven Effekt des ausländischen Gläubigerschutzes auf die internationale Diversifikation. Die zweite Studie analysiert die Behavioral Finance Erklärungsansätze für Home Bias. Es wird gezeigt, dass Patriotismus und Intoleranz gegen Unsicherheit einen negativen Einfluss auf die internationale Diversifikation in Anleihemärkten haben. Die dritte Studie analysiert die Vorhersagekraft der Händlerpositionen auf die Renditen der Terminkontrakte für Agrarrohstoffe mittels Quantil-Regressionen. Dadurch können signifikante Granger-Kausalitäten zwischen Händlerpositionen und Renditen entdeckt werden, die nicht durch die traditionellen Granger-Kausalitätstests für den Mittelwert der Renditeverteilung aufgedeckt werden können. Die vierte Studie untersucht die kurz- und langfristigen Einflüsse der Spekulanten auf die Preisbildung in den Edelmetallterminmärkten. Es wird gezeigt, dass die kumulierten Änderungen in Händlerpositionen die Edelmetallterminpreise vorhersagen können. Die letzte Studie berücksichtigt die Nichtlinearitäten in der Vorhersagekraft der Handelsaktivität für Renditen in den Bullen- und Bärenmarktphasen der Edelmetallterminmärkte. Die Richtung der Granger-Kausalität zwischen Handelsaktivität und nachfolgenden Renditen ist oft asymmetrisch in den unterschiedlichen Marktphasen, was durch den unterschiedlichen Informationsgehalt der Transaktionen erklärt werden kann.The first study analyzes the relationship between domestic creditor protection and foreign investment in bond markets. For the investing countries with relatively high levels of domestic creditor protection, a high level of domestic creditor protection is associated with a higher international diversification in bond portfolios and reduces the sensitivity of foreign investment to the foreign creditor protection. The second study explores the behavioral determinants of home bias in debt markets. It shows that patriotism and uncertainty avoidance reduce international diversification. The third paper analyzes the relationship between financial activity and returns in twelve agricultural futures markets based on quantile regressions. Quantile regressions detect significant Granger-causal effects from trader positions to returns that would not have been unveiled while using the traditional "Granger causality in mean" approach. The fourth essay investigates long- and short-term effects of speculative activity on the price mechanism in precious metals futures markets and shows that accumulated changes in positions of speculators have the potential to forecast returns. The last study accounts for non-linearity in the predictive power of trading activity for precious metals futures returns in bull and bear market states. The direction of Granger causality from trading activity to subsequent returns is often asymmetric across bull and bear markets, which may be explained by the different informational content of trades.
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Wang, Dong. "Essays on the chinese commodity futures markets." Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510502.
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Helfrich, Devin B. "Price distortions in the commodity futures markets." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/78485.
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Thesis (S.M. in Technology and Policy)--Massachusetts Institute of Technology, Engineering Systems Division, 2012.Cataloged from PDF version of thesis. Page 91 blank.
Includes bibliographical references (p. 87-90).
Speculation is not monolithic; it comes in many forms. A certain level of speculation is required for commodity futures markets to function. On the other hand, certain types of trading activities by speculators may damage a market's price discovery function and in turn its hedging function. However, there is great disagreement as to which types of speculation can distort commodity futures prices and the mechanisms for how a price distortion may occur. This thesis advances three distinct categories of speculative activities alleged to distort commodity prices and reviews evidence for each. Those three categories are: corner and squeeze manipulations, nonfundamental futures demand, and large speculative demand. Case studies are presented for each of the three categories. In addition, the effectiveness of speculative position limits in decreasing the occurrence of each category is analyzed. A question that arises, but is left unanswered, is whether the marginal benefits outweigh the possible costs of speculation once speculation rises above certain levels required for price discovery and hedging.
by Devin B. Helfrich.
S.M.in Technology and Policy
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Antonakakis, Nikolaos, and Renatas Kizys. "Dynamic Spillovers between Commodity and Currency Markets." Elsevier, 2015. http://dx.doi.org/10.1016/j.irfa.2015.01.016.
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In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers to the remaining assets in our model. Third, the analysis of dynamic spillovers shows time{ and event{specific patterns. For instance, the dynamic spillover effects originating in gold and silver (platinum) returns and volatility intensified (degraded) in the period marked by the global financial crisis. After the global financial crisis, the net transmitting role of gold and silver (platinum) returns shocks weakened (strengthened), while the net transmitting role of gold, silver and platinum volatility shocks remained relatively high. Overall, our findings reveal that, while the static analysis clearly classifies the aforementioned variables into net transmitters and net receivers, the dynamic analysis denotes episodes wherein the role of transmitters and receivers of return (volatility) spillovers can be interrupted or even reversed. Hence, even if certain commonalities prevail in each identified category of commodities, such commonalities are time - and event - dependent. (authors' abstract)
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Moftah, Alghazali Idries Omran. "The hedging effectiveness of futures markets : evidence from commodity and stock markets." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269586.
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Weselake, J. Jonathan. "Technical system trading returns from commodity futures markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0009/MQ41648.pdf.
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Schmich, Timm Frederik. "Three essays on the dynamics of commodity markets." Thesis, University of Stirling, 2018. http://hdl.handle.net/1893/28339.
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This thesis examines the effect of weather events, monetary policy, and financialization on changes in global inventory, futures prices, spot prices, futures returns, and producers' equity returns of exchange-traded commodities. First, I investigate the relationship between temperature and precipitation anomalies on aluminium futures returns. Prior research only examines the effects of weather anomalies on soft commodities, although flooding, drought and temperature are also identified as disrupters to mining operations in both regulatory filings and media reports. However, I find no evidence of weather effects on aluminium futures returns. Instead, the evidence suggests that inventories provide enough buffer for weather events and that trading around such events is unlikely to yield abnormal returns. Second, I investigate the relationships between metal futures returns and global monetary policy and demonstrate that a multiplier ratio created to proxy for market liquidity and the effectiveness of unconventional monetary policy is positively related to the price of industrial metals. Contrary to prior research, there is little evidence of a relationship between real interest rates and industrial metals futures returns. These findings will enhance the ability of policymakers and other agents to determine whether the intended effects of quantitative easing are being transmitted to the markets. Third, I investigate the role of financialization in shaping the relationship between non-commercial speculation (hereinafter, speculation), trader concentration, and commodity futures returns. While prior studies variously find evidence of stabilising, reinforcing and destabilising effects of speculation upon returns, I show that speculation does not Granger-cause futures returns but that there is evidence of reverse causality from futures returns to speculation. Additionally, commodity futures returns respond to the publication of open interest information. Overall, financialization reduces the power of individual traders to set futures prices in a concentrated commodity market. These findings support a policy approach aimed at enhancing transparency rather than adding regulatory controls.
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Omar, Ayman M. A. A. "Selected aspects of price formation in commodity markets." Thesis, University of Leicester, 2016. http://hdl.handle.net/2381/37174.
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The thesis is driven by the strategic importance of crude oil, and aims to contribute to the knowledge on crude oil pricing and markets by conducting three investigative undertakings. The first examines the ability of crude petroleum to act as a safe haven asset for investors in equity markets around the start of international violent conflicts and wars. The second investigates the price differentials between US domestic benchmark crudes and the global marker Brent around the start of upstream production disruptions. The third empirical examination explores the presence of abnormal behaviour in the vicinity of the start dates of US sanctions on net exporting and importing nations, and builds on these findings to estimate gains accrued to, and losses inflicted on, the US economy. The thesis reports a number of findings. First, it shows that crude oil prices register a significant abnormal rise around the start of violent conflicts and wars. The significant portion of this abnormal increase accumulates well before the outbreak of crises. The thesis also reports a significant abnormal decline in the valuations of US and international equities around the start of these events. Secondly, the thesis builds on these findings, and demonstrates that crude oil possesses the ability to act as a safe haven from stock markets around the start of these events. Third, the thesis reports significant tightening in the price spreads around the start of unscheduled production outages. These findings are shown to be robust even after accounting for extreme weather conditions, changes in petroleum stocks, and costs of logistics. Fourth, the thesis reports significant abnormal changes in the valuations of crude oil around the start of US sanctions. The direction and magnitude of these changes depend on whether the targeted nation is a net exporter or importer. Fifth, the thesis builds on these findings, and reports gains and losses to the US economy due to the imposition of sanctions. These findings contribute to the academic literature, and highlight a number of implications for equity investors, insurance companies, oil traders, and policy makers in the US and other net importing and exporting nations. These implications concern the energy security of the US and other nations, the use of oil in hedging and diversification, the role of benchmarks in pricing, and the economic consequences of the US foreign policy.
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Vergel, Eleuterio Pedro. "Essays on agricultural commodity spot and forward markets." Thesis, Birkbeck (University of London), 2015. http://bbktheses.da.ulcc.ac.uk/162/.
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This thesis explores several topics related to agricultural commodities. It is comprised of three empirical chapters: In Chapter 2, we show the validity of investing capital in fertilizer mining companies, both from a market return perspective for individual or institutional investors, and from a hedging standpoint for insurance companies and other economic actors exposed to inflation risk and high agricultural commodity prices. First, we explore the relationship between corn, wheat, and fertilizers, showing how price spikes in corn and wheat, followed by a price spike in fertilizers, made fertilizers visible to investors for the first time. We then analyse an exhaustive sample of listed fertilizer-mining companies and look at the sensitivities of their stocks to agricultural indexes and the fertilizer index in order to better explain the high returns they offered at the time of the first food crisis. Chapter 3 focuses on corn and wheat and is twofold. Firstly, we argue that the coefficient of variation and standard deviation of prices are more informative measures of uncertainty than the volatility of returns, since it is food prices and their “volatility” that matter for the survival of human beings. Secondly, we compare the quality of future price prediction provided by individual forward contracts with the geometric average of the forward curve introduced by Borovkova and Geman (2006).
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Bosch, David. "Essays on pricing and speculation in commodity markets." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2016. http://dx.doi.org/10.18452/17457.
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Die erste Studie analysiert den Einfluss spekulativer Aktivität auf die Renditen und die Volatilität von Edelmetallterminpreisen. Die Ergebnisse zeigen, dass die spekulative Aktivität kurzfristig keinen Einfluss auf die Edelmetallterminpreise hat. Langfristig, auf monatlicher Basis, beeinflussen sie jedoch die Renditen der Edelmetallterminpreise. Die zweite Studie untersucht, ob Händleraktivitäten unterschiedlicher Marktteilnehmer den Beitrag des Terminmarktes zur Preisfindung und die Konvergenzgeschwindigkeit zwischen Rohstoffkassa- und Terminpreisen beeinflussen. Die Ergebnisse zeigen, dass Händleraktivitäten den Beitrag der Rohstoffterminmärkte zur Preisfindung nicht signifikant beeinflussen. Spekulanten verbessern die Konvergenzrate und Index Trader verschlechtern sie. Die dritte Studie analysiert den Einfluss der Marktstruktur auf Weizenterminpreise. Die Ergebnisse zeigen, dass sich aufgrund der Dominanz physischer Händler, in Verbindung mit einer geringen Beteiligung anderer Händler, der Terminpreis des harten Frühlingsweizens von der fundamentalen Entwicklung abgekoppelt hat. Die vierte Studie vergleicht den Einfluss von Nachrichten zum Angebot und Nachfrage mit dem Einfluss der Veröffentlichungen von Händlerpositionen auf die Getreideterminpreise. Während fundamentale Nachrichten weiterhin wichtig für die Preisbildung auf Getreideterminmärkten sind, ist die Bedeutung der Veröffentlichung von Händlerpositionen auf dem Mais- und Weizenterminmarkt verhältnismäßig gestiegen. Die fünfte Studie untersucht die Absichten unterschiedlicher Händler und inwieweit die Interaktion zwischen verschiedenen Händlern die Preisbildung an Rohstoffterminmärkten beeinflusst. Wir zeigen, dass Spekulanten Momentum-Strategien verfolgen und Hedger gegen den Markt handeln. Die Interaktions-Analyse zeigt, dass Spekulanten und Hedger die wichtigsten Händlergruppen für die Preisbildung auf Rohstoffterminmärkten sind.The first study analyzes the impact of speculative activity on precious metals’ futures returns and volatility. Our results demonstrate that speculative activity does not affect precious metals’ futures returns in the short run. However, in long-term they influence precious metals’ futures returns on a monthly base. The second study examines how trading activities of different market participants influence the contribution of the futures market to price discovery and the rate of convergence between commodity spot and futures markets. The results show that the trading activities do not significantly contribute to price discovery in commodity futures markets. Considering the rate of convergence between spot and futures prices, we find that speculators improve while index traders impair the rate of convergence. The third study analyzes the impact of the market structure on wheat futures prices. The findings reveal that the price of hard red spring futures decoupled from its fundamental development because of the dominant presence of physical traders, combined with a low participation of other traders. The fourth study analyzes the impact of fundamental news on grain futures prices compared to the impact of the publication of traders’ positions. The results show that fundamental news remain an important source for pricing in grain futures markets. Nevertheless, a shift of importance from fundamental news to the publication of traders’ positions is observed in corn and wheat futures markets. The fifth study aims to reveal the motives behind the position changes of different market participants and how the interaction between the different traders affects prices in commodity futures markets. We find that speculators are driven by momentum trading and hedgers are contrarian traders. The interaction analysis demonstrates that on average speculators and hedgers appear to be the most important traders influencing pricing in commodity markets.
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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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Zwiehoff, Anouk. "The Profitability of Technical Trading Strategies in Commodity Markets." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607497002/$FILE/02607497002.pdf.
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Jackson, Dennis. "Long-term mean reversion returns in commodity futures markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0003/MQ41719.pdf.
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Zheng, Chen. "Integration of Chinese agricultural commodity markets : a cointegration approach." Thesis, University of British Columbia, 2013. http://hdl.handle.net/2429/44484.
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The integration of spatially separated markets was accelerated by intense trade in the last few decades. China started to open its markets since 1978 and now it plays an important role in world trade. However, China’s impact is less pronounced on agricultural commodity markets, and its impact varies across different commodities. This study discusses the prices performance of corn, soybean, and wheat in China and the U.S. We examine the integration process of Chinese agricultural commodity markets after China’s entry to WTO (i.e. 2004-2012). This study applies the cointegration test with and without a structural change. We detect the cointegration relationship between soybean prices in China and the U.S., but we observe such relationship does not exist in corn and wheat markets within China and the U.S.
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Smith, William Owen. "Scarcity and the theory of storage in commodity markets." Thesis, Birkbeck (University of London), 2013. http://bbktheses.da.ulcc.ac.uk/23/.
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For most of the 20th century commodity prices fell in real terms. Prices of metals, energy and food became so low that they were almost irrelevant to developed world consumers. Since 2003 prices have risen sharply, and have become so high they have been blamed for recessions, civil unrest and even revolutions. Although increased speculation in commodity markets has probably played a role, the fundamental factors of supply and demand continue to form the most important determinant of commodity prices. Price rises have been caused by ‘scarcity’ caused by rapid demand growth from newly affluent consumers in the developing world, meeting a supply that has struggled to respond. Understanding current and future scarcity in commodities therefore helps us predict and warn of further price spikes. This thesis studies all three major commodity groups, examining existing ways to measure scarcity and proposing new ones. Firstly we study the base (industrial) metals. We examine the ‘theory of storage’, which explains price and price volatility in terms of the quantity stored in inventory, a key measure of scarcity. Secondly we study energy markets. Electricity cannot be stored, so the ‘theory of storage’ cannot be applied. We note an alternative measure of scarcity which allows us to apply a modified theory of storage to electricity. We also examine its applicability to another key energy commodity, crude oil. Finally we examine scarcity in the agricultural products. Here we have inventory data, providing short-term scarcity information, but unlike for energy and metals, we have no concept of reserves, being that resource known but remaining in the ground, which provides longer-term scarcity information. Instead, we propose and examine several other ways to measure scarcity.
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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 of the market in one month. The poor market timing abilities and poor significance of positive feedback results suggest higher trading frequency intervals for speculators. Hedging pressures, which measure the presence of risk premium in futures markets, were insignificant mostly in agricultural markets. As a robust test of hedging pressures, price pressure tests found risk premium to be still significant for silver, crude oil and live cattle. The positive feedback behaviour and negative market timing abilities suggest hedgers in heating oil and Japanese yen destabilize futures prices, and points to a need to check CFTC’s (Commodity Futures Trading Commission) position limits regulation in these markets. In fact, large hedgers in these two markets are more likely to be leading behaviour, in that they have more absolute net positions than speculators. Alternatively stated, positive feedback hedgers in these two markets are more likely to lead institutions and investors to buy (sell) overpriced (underpriced) contracts, eventually leading to divergence of prices away from fundamentals.Atlhought hedgers in crude oil had significant positive feedback behaviour and negative market timing skills, they would not have much of a destabilizing effect over remaining players because the mean net positions of hedgers and speculators were not far apart. While the results are statistically significant, it is suggested these could be economically significant, in that there have been no regulation on position limits at all for hedgers compared to speculators who are imposed with strict limits from the CFTC. Further, mean equations were regressed against decomposed variables, to see how much of the futures returns are attributed to expected components of variables such as net positions, sentiment and information variables. While the expected components of variables are derived by ensuring there are enough ARMA (autoregressive and moving average) terms to make them statistically and economically reliable, the unexpected components of variables measure the residual on differences of the series from its mean. When decomposing net positions against returns, it was found expected net positions to be negatively related to hedgers’ returns in mostly agricultural markets. Speculators’ expected (unexpected) positions were less (more) significant in explaining actual returns, suggesting hedgers are more prone in setting an expected net position at the start of the trading month to determine actual returns rather than readjusting their net positions frequently all throughout the remaining days of the month. While it important to see how futures returns are determined by expected and unexpected values, it is also essential to see how volatility is affected as well.In an attempt to cover three broad types of volatility measures, idiosyncratic volatility, GARCH based volatility (variance based), and PARCH based volatility (standard deviation) are used. Net positions of hedgers (expected and unexpected) tend to have less effect on idiosyncratic volatility than speculators that tended to add to volatility, reinforcing that hedgers trading activity hardly affect the volatility in their returns. This suggest they are better informed by having a better control over their risk (volatility) measures. The GARCH model showed more reliance of news of volatility from previous month in speculators’ volatility. Hedgers’ and speculators’ volatility had a tendency to decay over time except for hedgers’ volatility in Treasury bonds and coffee, and gold and S&P500 for speculators’ volatility. The PARCH model exhibited more negative components in explaining current volatility. Only in crude oil, heating oil and wheat (Chicago) were idiosyncratic volatility positively related to return, reinforcing the suggestion for stringent regulation in the heating oil market. Expected idiosyncratic volatility was lower (higher) for hedgers (speculators) as expected under portfolio theory. Markets where variance or standard deviation are smaller than those of speculators support the price insurance theory where hedging enables traders to insure against the risk of price fluctuations. Where variance or standard deviation of hedgers is greater than speculators, this suggest the motivation to use futures contracts not primarily to reduce risk, but by institutional characteristics of the futures exchanges like regulation ensuring liquidity.Results were also supportive that there was higher fluctuations in currency and financial markets due to the higher number of contracts traded and players present. Further, the four models (GARCH normal, GARCH t, PARCH normal and PARCH t) showed returns were leptokurtic. The PARCH model, under normal distribution, produced the best forecast of one-month return in ten markets. Standard deviation and variance for both hedgers’ and speculators’ results were mixed, explained by a desire to reduce risk or other institutional characteristics like regulation ensuring liquidity. Moreover, idiosyncratic volatility failed to accurately forecast the risk (standard deviation or variance based) that provided a good forecast of one-month return. This supports not only the superiority of ARCH based models over models that assume equally weighted average of past squared residuals, but also the presence of time varying volatility in futures prices time series. The last section of the study involved a stability and events analysis, using recursive estimation methods. The trading determinant model, mean equation model , return and risk model, trading activity model and volatility models were all found to be stable following the effect of major global economic events of the 1990s. Models with risk being proxied as standard deviation showed more structural breaks than where variance was used. Overall, major macroeconomic events didn’t have any significant effect upon the large hedgers’ and speculators’ behaviour and performance over the last decade.
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Chen, Chang. "The Efficiency of Commodity Markets An Analysis with Technical Rules /." St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03604634002/$FILE/03604634002.pdf.
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Siu, Lucia Leung-Sea. "Cadres, gangs and prophets : the commodity futures markets of China." Thesis, University of Edinburgh, 2008. http://hdl.handle.net/1842/25191.
Full textAbstract:
In China’s market reforms, the emergence of commodity futures markets marked the way in which the country took up more sophisticated components of capitalist markets. Based on seven months of ethnographic fieldwork in 2005, this thesis is the first ethnography conducted in the commodity futures markets of China. It provides field records of the relationship between state structures, quasi-public organisations and the private sector in a post-Communist market. It shows how social groups align to form capital factions, and how these factions attempt to calculate the actions of each other. It also provides an account of how knowledge is circulated, and how reputation, authority and expertise are developed within the markets. The author argues that the notion of “performativity” can be applied to the case of Chinese futures markets. The consensus held by market actors and their subsequent actions are a major contribution to market reality. In the context of Chinese markets, political power plays a particularly crucial role – it links up a politicised feedback loop between perception, action and reality. The thesis applies the concept of technology transfer to assess whether futures markets have an inherent “script” that unfolds and is implemented under different social, cultural and political contexts. Relaxing assumptions held by neoclassical economists (such as individualised rationality), the author believes that the feedback loop of knowledge, action and reality is the “vanilla core” of markets. One of the key factors in success in market construction is the successful implementation of such feedback loops.
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Tharann, Björn [Verfasser]. "Predictability and anomalies in equity and commodity markets / Björn Tharann." Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2019. http://d-nb.info/1177241064/34.
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Piana, Jacopo. "Expectations, fundamentals, and asset returns : evidence from the commodity markets." Thesis, City, University of London, 2017. http://openaccess.city.ac.uk/19656/.
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This Thesis contributes to the study of the links between expectations, fundamentals, and asset returns using the rich empirical setup offered by commodity markets. The three Chapters, constituting this work, analyse empirically how expectations are formed and what are the implications of departures from perfect rational expectations on returns predictability. Monte- Carlo experiments are also used to rationalise and to give an economic interpretation to the empirical findings. In the First chapter, we show that survey-based expectations of returns are strongly correlated with past price variations, but not with fundamentals and can be largely explained by time-series momentum and value factors. Furthermore, we find that expectations have positive, but not significant correlation with future realised returns, which implies little predictive power. Using a Monte-Carlo experiment, we show that both results can also be generated by rational individuals provided the existence of extrapolative momentum traders and little predictability of fundamentals. Finally, our analysis also suggests that survey-based expectations can have a crucial role to understand better the dynamics of trading flows and the drivers of the option implied volatility risk premium. In the second Chapter, we investigate the dynamics of the ex-ante risk premia for different commodities and maturities through the lens of a model of rational learning in which expected future spot prices are revised in line with past prediction errors and changes in aggregate economic growth. The main results show that time-varying risk premia are predominantly driven by market activity and financial risks. More generally, we provide evidence of heterogeneity in the dynamics of factor loadings, both across commodities and time horizons. Finally, we show that the model-implied expectations are consistent with the cross-sectional average of Bloomberg professional analysts’ forecasts. In the third Chapter, we exploit the peculiarities of commodity markets to show that fundamental news about global growth is reflected into prices, but not instantaneously. News on economic activity can be filtered in real-time from commodity prices, but such news takes several months before being fully incorporated into prices, leading to returns predictability. Coherently with the theories of overreaction and underreaction to news, we show using simulated data that the results obtained can be explained by the existence of latecomers, who process information with a delay, and momentum traders.
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Momoli, Tommaso. "Financialization of the commodity future markets: a SVAR model approach." Master's thesis, reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10362/26207.
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This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others.
Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.
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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.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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Ndawona, Takudzwa Maitaishe. "An analysis of the impact of financialization on commodity markets." Thesis, Rhodes University, 2017. http://hdl.handle.net/10962/7113.
Full textAbstract:
An unprecedented increase in real commodity prices from 2002-2011 fuelled an intense debate as to the causes of the steep rise in prices and its possible implications for producers and consumers. On the one hand, the prolonged and dramatic rise in almost all commodity prices is attributed to growing demand from emerging market economies, supply shocks such as adverse weather conditions, export bans as well as other macroeconomic factors. Collectively these are known as the fundamental (demand and supply) factors. On the other hand, there is a growing body of evidence that suggests these fundamental factors alone are not sufficient enough to explain recent commodity price developments. It is noted that alongside changes in the fundamental factors, there was a major shift in trading activities on commodity derivative markets related to the increasing presence of financial investors, institutional investors and hedge funds. This had important effects, it is argued, on the microstructure of these markets and on price dynamics in a process termed “fmancialization”. Most of the empirical literature covers the period of rising commodity prices from 20022011. This study seeks to add to the existing literature by examining, in addition, the impact of financialization when commodity prices were falling from 2011-2015. Whereas the literature focuses mainly on the rise of agricultural commodity prices, the focus of this study is on metals, oil and bulk commodities (coal and iron ore). Two techniques are employed, namely the calculation of rolling correlations for futures and spot returns. Granger causality tests are then performed to examine the relationships between futures and spot prices. Rolling return correlations are calculated for i) different exchange- traded commodities and ii) exchange-traded commodities and bulk commodities not traded on exchanges. This is done to establish whether the increased correlations between different commodities found in the literature still hold now that commodity prices across all categories are falling. Granger causality tests are used in order to establish the link between the futures prices and spot prices both during the upswing period (2002-2011) and downswing period (2011-2015). It is found that rapidly growing indexed-based investment in commodity markets (financialization) during the upswing period is concurrent with increasingly correlated returns on the prices of unrelated commodities in both the futures and spot markets. These correlations decline during the period of falling commodity prices (2011-2015). This was a period in which the total amount of commodity assets under management fell sharply. This supports the a priori expectation that if the increased correlations of previously seemingly correlated and unrelated commodities during the upswing had been driven by financialization, the correlation would decline in the downturn. Granger causality results reveal statistically significant evidence of futures prices (returns) driving spot prices (returns) during the financialization period. However, post-financialization there is a shift to more bidirectional relationships. The study therefore concludes that, in addition to changing fundamental and macroeconomic factors, the financialization of commodity markets further drove the excessive and volatile price levels in commodity markets from 2002 to 2011.
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Donders, Canto Pablo. "Yield and commodity prices : a view from mining bond markets." Tesis, Universidad de Chile, 2016. http://repositorio.uchile.cl/handle/2250/144038.
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Tesis para Optar al Grado de Magíster en FinanzasLinking the economic sector on bond minning issuers to commodity prices indices published bye the IMF a database at bond-year-commodity level was built to measure the funding cost elasticity to commodity price changes.
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Momoli, Tommaso. "Financialization of the commodity future markets: a SVAR model approach." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18105.
Full textAbstract:
Submitted by Tommaso Momoli (tommaso.momoli@gmail.com) on 2017-03-29T04:51:52Z
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This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector of Auto Regression (SVAR), this allow to extract lead/lag correlation between the Index and First nearby Return for different Futures Sectors and in addition response to shocks in different equation. The study is divided in three different period, to reflect before and after the Financialization and then after the introduction in the market of the new generation of commodity Indexes. The results show a different behaviors of the parameters throughout time with a particular emphasis for the most traded Commodities to lead the others.
Trata-se de um estudo sobre o impacto dos investimentos em índices no mercado futuro de commodities. Os modelos aplicados, enfocam a Análise Causal e a Função de Resposta ao Impulso através de uma ortogonalização do Vetor de Auto Regressão (SVAR), permitindo extrair a correlação lead / lag entre o Índice e o Primeiro Retorno próximo para diferentes Setores Futuros e, A choques em diferentes equações. O estudo é dividido em três períodos diferentes, para refletir antes e depois da Financialização e, em seguida, após a introdução no mercado da nova geração de índices de commodities. Os resultados mostram um comportamento diferente dos parâmetros ao longo do tempo com uma ênfase particular para os Commodities mais negociados para liderar os outros.
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Ling, Julien. "An empirical analysis of systemic risk in commodity futures markets." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED022/document.
Full textAbstract:
Cette thèse vise à analyser le risque systémique sur les marchés futures de matières premières. En effet, plusieurs travaux de recherche mettent en évidence l'importance de ces futures dans la détermination du prix physique des matières premières. Leur incorporation dans la finance traditionnelle en tant qu'actif diversifiant a entraîné une évolution de leurs prix similaire à celles de différents actifs financiers depuis environ 2004. La question ayant motivé cette thèse a donc été de quantifier ce risque systémique (puisqu'affectant les matières premières, directement impliquées dans l'économie réelle), d'en voir précisément les moyens de transmission (quels marchés affectent quels autres marchés) et enfin de permettre d'en évaluer les conséquences, par exemple à partir de scénarii (stress tests). Elle permet donc de développer des outils de surveillance des marchés et pourrait donc contribuer à la régulation de ces marchésThis thesis aims at studying systemic risk in commodity futures markets. A whole strand of the literature is dedicated to the "financialization of commodity markets", but also to the influence of the existence of futures markets on the spot price of their underlying asset. Indeed, since these commodity futures have been largely used by in asset management as diversifying assets, their financialization has raised concerns, especially seeing the evolution of their price, which seems to be similar to that of financial assets. My interest here is thus to quantify this systemic risk, provide a toolbox to assess the consequences of various scenarios (stress tests), but also to assess which markets should be monitored more closely (because they could threaten the real economy or the whole system)
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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.
Full textAbstract:
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 of the market in one month. The poor market timing abilities and poor significance of positive feedback results suggest higher trading frequency intervals for speculators. Hedging pressures, which measure the presence of risk premium in futures markets, were insignificant mostly in agricultural markets. As a robust test of hedging pressures, price pressure tests found risk premium to be still significant for silver, crude oil and live cattle. The positive feedback behaviour and negative market timing abilities suggest hedgers in heating oil and Japanese yen destabilize futures prices, and points to a need to check CFTC’s (Commodity Futures Trading Commission) position limits regulation in these markets. In fact, large hedgers in these two markets are more likely to be leading behaviour, in that they have more absolute net positions than speculators. Alternatively stated, positive feedback hedgers in these two markets are more likely to lead institutions and investors to buy (sell) overpriced (underpriced) contracts, eventually leading to divergence of prices away from fundamentals.Atlhought hedgers in crude oil had significant positive feedback behaviour and negative market timing skills, they would not have much of a destabilizing effect over remaining players because the mean net positions of hedgers and speculators were not far apart. While the results are statistically significant, it is suggested these could be economically significant, in that there have been no regulation on position limits at all for hedgers compared to speculators who are imposed with strict limits from the CFTC. Further, mean equations were regressed against decomposed variables, to see how much of the futures returns are attributed to expected components of variables such as net positions, sentiment and information variables. While the expected components of variables are derived by ensuring there are enough ARMA (autoregressive and moving average) terms to make them statistically and economically reliable, the unexpected components of variables measure the residual on differences of the series from its mean. When decomposing net positions against returns, it was found expected net positions to be negatively related to hedgers’ returns in mostly agricultural markets. Speculators’ expected (unexpected) positions were less (more) significant in explaining actual returns, suggesting hedgers are more prone in setting an expected net position at the start of the trading month to determine actual returns rather than readjusting their net positions frequently all throughout the remaining days of the month. While it important to see how futures returns are determined by expected and unexpected values, it is also essential to see how volatility is affected as well.
In an attempt to cover three broad types of volatility measures, idiosyncratic volatility, GARCH based volatility (variance based), and PARCH based volatility (standard deviation) are used. Net positions of hedgers (expected and unexpected) tend to have less effect on idiosyncratic volatility than speculators that tended to add to volatility, reinforcing that hedgers trading activity hardly affect the volatility in their returns. This suggest they are better informed by having a better control over their risk (volatility) measures. The GARCH model showed more reliance of news of volatility from previous month in speculators’ volatility. Hedgers’ and speculators’ volatility had a tendency to decay over time except for hedgers’ volatility in Treasury bonds and coffee, and gold and S&P500 for speculators’ volatility. The PARCH model exhibited more negative components in explaining current volatility. Only in crude oil, heating oil and wheat (Chicago) were idiosyncratic volatility positively related to return, reinforcing the suggestion for stringent regulation in the heating oil market. Expected idiosyncratic volatility was lower (higher) for hedgers (speculators) as expected under portfolio theory. Markets where variance or standard deviation are smaller than those of speculators support the price insurance theory where hedging enables traders to insure against the risk of price fluctuations. Where variance or standard deviation of hedgers is greater than speculators, this suggest the motivation to use futures contracts not primarily to reduce risk, but by institutional characteristics of the futures exchanges like regulation ensuring liquidity.
Results were also supportive that there was higher fluctuations in currency and financial markets due to the higher number of contracts traded and players present. Further, the four models (GARCH normal, GARCH t, PARCH normal and PARCH t) showed returns were leptokurtic. The PARCH model, under normal distribution, produced the best forecast of one-month return in ten markets. Standard deviation and variance for both hedgers’ and speculators’ results were mixed, explained by a desire to reduce risk or other institutional characteristics like regulation ensuring liquidity. Moreover, idiosyncratic volatility failed to accurately forecast the risk (standard deviation or variance based) that provided a good forecast of one-month return. This supports not only the superiority of ARCH based models over models that assume equally weighted average of past squared residuals, but also the presence of time varying volatility in futures prices time series. The last section of the study involved a stability and events analysis, using recursive estimation methods. The trading determinant model, mean equation model , return and risk model, trading activity model and volatility models were all found to be stable following the effect of major global economic events of the 1990s. Models with risk being proxied as standard deviation showed more structural breaks than where variance was used. Overall, major macroeconomic events didn’t have any significant effect upon the large hedgers’ and speculators’ behaviour and performance over the last decade.
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Nurmos, Ville, and Mattias Andersson. "Nordic electricity hedging : A comparison with other commodity market structures." Thesis, KTH, Tillämpad termodynamik och kylteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129188.
Full textAbstract:
This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. The report consists of a literature review with a theoretical background, CATWOE and a case analysis of each commodity market. The markets are thereafter analysed, compared and discussed regarding the research questions. It is concluded that the Nordic electricity market is in many ways comparable to other commodities, although it has some special characteristics. Key factors determining market success have been identified as (1) correlation between perceived risk and derivative risk, (2) trust for and experience of trading institutions and trading environment and (3) expectations. Based on the findings a new conceptual measure for market liquidity, Relative Market Liquidity, is introduced and discussed. The comparison in this thesis is based on the Nordic electricity market, but much of the results are applicable to other commodity markets. The thesis has been written during spring 2013 at the Royal Institute of Technology Department of Energy Technology in co-operation with Vattenfall AB.
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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 explore time-varying characteristics in this relationship, and as a test for robustness, we perform a sub-sampling analysis for the periods 1992-2006 and 2006-2014. We show that cross-market linkages grew stronger post-2005, particularly in the aftermath of the 2008 global financial crisis. The results of our econometric analysis indicate that any conclusions regarding the role of speculation in this process are highly sensitive both to the choice of market integration measure, as well as to how the extent of speculation is captured. Overall, though, there is little to indicate that speculation has played an important role in creating cross-market linkages. We do provide some evidence of market integration increasing with market size, but other factors, such as inflation and exchange rates, seem to provide better explanations of agriculture-equity-energy price dynamics. In line with previous research, we also find market interdependence to increase with stock market uncertainty, which suggests that the diversification benefits of commodity futures investments are actually reduced when needed the most. Considered together with our findings on the sizes of markets, which are increasingly made up of speculators, it appears at least possible that financialisation has made food markets more vulnerable to disturbances in financial markets.
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Te, Slaa Chad. "Performance of the Producer Accumulator in Corn and Soybean Commodity Markets." Thesis, South Dakota State University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10620800.
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This research quantifies risk reduction and performance of the producer accumulator contract in corn and soybean markets. To quantify performance, we use three alternative theoretical pricing models to estimate historical producer accumulator contract specifications in corn and soybean markets. We then compare the performance of the producer accumulator to eight alternative agricultural marketing strategy portfolios that are also used in new generation grain contracts.
The performance measures we compare are: average bushel price that would be received by the producer, daily portfolio risk, and the Sharpe ratio. The period we examine performance was between 2008 and 2017. We investigate performance of the producer accumulator executed during each year, month, whether the contract was executed during the growing season or non-growing season, and beginning and following an uptrend, neutral trend, and downtrend ranging in length from 25 to 100-days. Specific to the producer accumulator, we also quantify bushels accumulated during the contract period.
We find the average price the producer would expect to receive adopting an accumulator to slightly underperform the average price they would receive with a long futures portfolio in corn and slightly outperform long futures in soybeans. Nevertheless, the accumulator significantly reduces daily risk compared to the long futures portfolio. Indeed, producer accumulator portfolios produced average daily Sharpe ratios exceeding all other simulated risk management strategies in corn and soybeans on an average annual and average aggregate basis from 2008-2017. Consequently, the producer accumulator portfolio offered corn and soybean producers the best risk adjusted return to hedge production during this time-frame.
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Akpak, Aygul Melek. "An examination of commodity derivative markets : efficiency, volatility and diversification benefits." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/17084/.
Full textAbstract:
This thesis comprises three papers which all examine commodity derivative markets and have a particular focus on commodity futures markets. The first paper examines market efficiency in metal, agricultural, financial and energy futures markets across different maturities. In the long-run, we found all markets to be efficient. And in the short-run, inefficiencies are found in the metal and energy future markets but not in the agricultural and financial markets. Moreover, results from a quantitative measure of short-run inefficiency indicate that all markets studied are at least 90% efficient along the futures curve for a 30-day forecast horizon. When the forecast horizon increases to 60-days, the efficiency measure drops to 50% in all the metal and energy futures markets, but not in the agricultural and financial markets. These findings indicate that the structure of markets and the forecast horizon are important factors to consider when assessing market efficiency. The second paper analyses the diversification benefits brought into traditional stock portfolios by adding commodities such as WTI Crude Oil, Copper or Soya Bean futures. Adopting a commodity futures curves perspective, we found that commodities are still useful in portfolio diversification even after the recent increase in the correlation between returns of commodities and equities. Moreover, we found that investors would be better off using a constant-distant maturity futures contract as it has higher return accompanied with lower volatility in comparison to a short-maturity futures contract. The constant-distant maturity also brings more benefit than a traditional buy and hold long-maturity futures contract does. Furthermore, we found the constant-distant maturity Copper futures to be the best among all the commodities that we studied regarding the diversification benefit during the financial turmoil period. The third paper examines the determinants of volatility along WTI Crude Oil futures curves. We analyse the effect of inventory, trading volume, open interest and speculative activities on the volatility of futures with different maturities. We find that trading volume has a positive relationship with volatility and open interest has a negative relationship with volatility. The inventory is found to have a negative relationship with volatility of up to 6-month maturity; while a positive relationship emerges for futures contracts with 12 and 18-month maturity. Speculative activities are found to be partially responsible for the high volatility in the post-crisis period.
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Massot, Pascale. "Emerging powers and systemic change : China's impact on global commodity markets." Thesis, University of British Columbia, 2015. http://hdl.handle.net/2429/54653.
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How are global economic institutions transformed at times of power transition? Why have some international markets for important raw materials undergone fundamental change in the way they operate as a result of China’s emergence, while other such markets have been more resilient to change? The goal of this dissertation is to explain diverging global outcomes from the dramatic and contemporary expansion of China’s economy. By doing so, I shed new light on the political economy of global markets, why they operate the way they do now, and how they have evolved over time.
I trace key variances in China’s effect on global markets to the interaction of Chinese domestic industrial structures and the pre-existing structures of global commodity markets. The structure of key industries within China varies: some are concentrated, some fragmented, some very sensitive to price signals, and others less so. Likewise, the structures of various global commodity markets varied significantly before China’s emergence as a dominant global consumer in the twenty-first century.
I argue that transformations in market power relations between consumers and suppliers increase the likelihood of institutional change in global markets. Price trends influence market stakeholders’ preferences for global pricing regimes, but they cannot fully explain the direction of change. Market power – including the capacity to coordinate others and the capacity to extract rent – also motivates behaviour.
Combining comparative case analysis of the iron ore, potash and uranium markets with careful process-tracing, I unveil the full picture, from domestic variables to international-level outcomes. I show the tremendous concentration of market power in global markets prior to China’s emergence; that China’s market power, despite its economic size, is in many ways weak; that some of the largest systemic changes have been the result of this Chinese position of weakness; and that China’s emergence has led to marketization, despite it being a state-led hybrid economy.
This is a study of institutional resonance and complementarity between global markets and their systemically relevant consumers. More broadly, this dissertation seeks to contribute to ongoing debates about the systemic resilience of global market structures, and the domestic determinants of global economic power.Arts, Faculty of
Political Science, Department of
Graduate
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M'Closkey, Kathleen Anne Cross. "Myths, markets and metaphors, Navajo weaving as commodity and communicative form." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1996. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/NQ39284.pdf.
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Stürmer, Martin [Verfasser]. "What Drives Mineral Commodity Markets in the Long Run? / Martin Stürmer." Bonn : Universitäts- und Landesbibliothek Bonn, 2013. http://d-nb.info/1043020314/34.
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Salem, Sultan. "Key commodity markets : dynamic correlations & volatilities in time-frequency domain." Thesis, University of Surrey, 2017. http://epubs.surrey.ac.uk/842646/.
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This thesis is an empirical study of the volatility and correlations among the key commodity markets for metals and crude oils. Both conventional and state-of-the-art models will be applied, which are presented in three main chapters. First, Chapter 2 provides a thorough literature review on commodities that paves the way for the three substantive chapters. It discusses the distinctive characteristics of commodity markets, with special emphasis on gold and crude oil as potential trading options for portfolio diversification. The aim is to present the financial side in the form of a comprehensive and up-to-date survey in commodity investment for stakeholders. Second, Chapter 3 applies the widely-used conventional techniques of Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) based on the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model for volatility in these markets, with particular attention paid to the dynamics of volatility and correlations in the crude oil and gold markets. This study analyses the weekly spot data between 1986[M1:W1] and 2016[M9:W4], with the period being further divided into four significant sub-periods, enabling cross-period comparison. The objective is to use the latest available data for analysis, provide an insight into portfolio diversification, and explore if the markets are of one. The findings suggest that gold can be used to diversify away from crude oil. Interestingly, palladium seems to have low and even negative correlations with other metal commodities, suggesting that palladium may be a new safe option within commodity markets. The correlations between the crude oil markets and the metal markets increased significantly in early 2000s, and continued through financial crisis in 2008 until they peaked between 2009/2010. These observations could be attributed to the surge in trading interest within commodity markets. Third, Chapter 4 presents a state-of-the-art model, the Continuous Wavelet Transform (CWT), using the same three-decade data as the previous chapter. The study begins with examining the co-movements between commodities' returns with a set of continuous wavelet tools, which consist of wavelet variance, covariance, coherency, phase-difference and gain. This is achieved by extending the estimated variables to include higher order coefficients in the time-frequency domain. The findings indicate that gold and oil exhibit low covariance and coherency. In addition, the study also uncovers a set of new stylized facts for commodities (crude oils and metals) that would not be possible to detect with pure time- or frequency-domain methods, nor with the time-frequency domain tools available thus far. While the results support the previous chapter in showing low gold-oil coherency, wavelet analysis offers exceptional level of stylised facts that were not previously available for commodity markets, i.e. frequency analysis of multiple investment horizons. Fourth, Chapter 5 builds on the CWT analysis used in the previous chapter with two major enhancements. In this study, the phase-difference circle is reconstructed into a non-technical and more simplified diagram format to facilitate result interpretation for non-experts. Also, the wavelet working tools are recalibrated so that gain values can be extracted to increase the robustness interpretations of the gain results. Moreover, both spot and future prices are used in this study to examine the Gold-to-Oil Ratio (GOR) and the gold and oil implied volatility indices from 2008[M6:W1] to 2017[M1:W1]. The gain coefficients uncovered interesting findings. For example, the gain frequency for one to four years is always greater than the gain coefficient values of the other two frequencies. Finally, Chapter 6 concludes the three substantive chapters by summarising and contrasting the findings. It also discusses possible directions for future research.
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Ocran, Matthew Kofi. "Impact of commodity markets on economic development in Sub-Saharan Africa." Thesis, Stellenbosch : Stellenbosch University, 2007. http://hdl.handle.net/10019.1/18623.
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Dissertation (PhD)--University of Stellenbosch, 2007.ENGLISH ABSTRACT: Commodity issues have assumed renewed importance in debates about the attainment of the United Nation’s Millennium Development Goals for Sub-Saharan Africa and objectives of the New Partnership for Africa’s Development. For instance thirty-four countries in Africa depend on up to three commodities for more than half of their foreign exchange earnings. Despite the importance of commodity markets to economic development on the continent commodity-related research has not attracted the needed attention. The study considered eighteen primary commodities exported by most countries in Sub-Saharan Africa. The commodities were drawn from metals, agricultural raw materials, food and energy sub-groups. This dissertation presents results of research work underlying six stand-alone essays focusing on the relationship between commodities and various aspects of economic performance in Sub-Saharan Africa. Whilst three of the six essays dwelt on issues affecting commodities of interest to most African countries the others considered particular commodity markets in a selected number of countries. First the relationship between commodity markets and economic growth is studied. The second essay examined trends and volatility in Sub-Saharan Africa’s key commodity prices over the past four decades. Role of commodity prices in macroeconomic policy in South Africa is also investigated using a new research approach. The fourth essay estimated the supply response of a number of tradable and non-tradable agricultural commodities in Ghana. In the fifth essay a range of volatility forecasting models were evaluated using eighteen commodity spot prices. The last essay examined the interaction between changes in commodity prices, money supply, inflation and the real exchange rate in Ghana, Nigeria and South Africa. The findings of the study indicate that a negative relationship exist between extent of primary commodity dependence and economic growth. The study also revealed that volatility levels have not changed for nine out of the eighteen commodities studied however, changes were observed in the other nine. Another key finding of the study was that there is merit in using gold and metal prices as variables in forming monetary policy in South Africa. It was also observed that random walk and autoregressive models consistently outperform more complex models in forecasting volatility in commodity spot prices. Results of the supply response study suggest that even though producers usually respond to price incentives, structural features of domestic agricultural commodity markets in Ghana may have hindered the conversion of improved incentives to higher agricultural growth. Results of the last paper indicate that in Ghana commodity price increases impact money supply growth and inflation whilst in Nigeria the effects of crude oil price increases produces higher inflation and appreciation of the real exchange. In the case of South Africa effects of gold export booms were transmitted through changes in money supply, inflation and real appreciation of the domestic currency. The results of the study have implications for both decision makers in business and government.
AFRIKAANSE OPSOMMING: Kommoditeits-aangeleenthede het vernuwe belangrikheid in die debat rakende die vervulling van die Verenigde Nasises se Millennium Onwikkelings Doelwitte vir Sub-Sahara Afrika en die doelwitte van die Nuwe Vennootskap vir Afrika se Ontwikkeling aangeneem. By voorbeeld, vier-en-dertig Afrika lande is afhanklik van tussen een en drie kommoditeite vir meer as die helte van hul buitelandse valuta inkomste. Ten spyte van die belangrikheid van kommoditeits-markte vir ekonomiese ontwikkeling op die kontinent het kommoditeits-verwante navorsing nog nie die nodige aandag gekry nie. Die studie het agtien primêre uitvoer-kommoditeite wat deur die meeste Sub-Sahara Afrika lande uitgevoer word oorweeg. Die kommoditeite is afkomstig van metale, onverwerkte landbou produkte, voedsel en energie sub-groepe. Hierdie tesis bied die resultate van navorsing wat gedoen is op ses afsonderlike opstelle wat fokus op die verhouding tussen kommoditeite en verskeie aspekte wat die ekonomiese vertoning in Sub-Sahara Afrika beïnvloed. Drie van die ses opstelle fokus op faktore wat kommoditeite van belang vir meeste Afrika lande affekteer, terwyl die ander geselekteerde lande se unieke kommoditeits-markte oorweeg word. Die eerste opstel bestudeer die verhouding tussen kommoditeits-markte en ekonomiese groei. Die tweede opstel oorweeg tendense en volitaliteit in Sub-Sahara Afrika se belangrikste kommoditeits-pryse oor die afgelope vier dekades. Die rol van kommoditeits-pryse in Suid-Afrika se makro-ekonomiese beleid word ook ondersoek met behulp van 'n nuwe navorsings benadering. Die vierde opstel maak 'n skatting van Ghana se aanbod van verskeie verhandelbare en nie-verhandelbare landbou kommoditeite. In die vyfde opstel word 'n reeks volitaliteitsvoorspellings-modelle ge-evalueer deur agtien lokopryse te gebruik. Die laaste opstel bestudeer die interaksie tussen veranderinge in kommoditeits-pryse, geld aanbod, inflasie en die reële wisselkoers in Ghana, Nigerië en Suid-Afrika. Bevindinge van die studie dui daarop dat 'n negatiewe verhouding tussen die graad van primêre kommoditeits-afhanklikheid en ekonomiese groei voorkom. Die studie het ook bevind dat volitaliteits–vlakke vir nege van die agtien kommoditeite wat bestudeer is nie verander het nie, terwyl veranderinge in die ander nege waargeneem is. 'n Kritiese bevinding was dat daar meriete steek in die gebruik van goud en ander metal pryse as veranderlikes in die formulering van die monetêre beleid in Suid-Afrika. Dit is ook waargeneem dat “random walk” en autoregressiewe modelle deurlopend beter vaar in die voorspelling volitaliteit in kommoditeits lokopryse as komplekse modelle. Resultate van die aanbod respons studie dui daarop dat alhoewel produseerders gewoontlik reageer op prys insentiewe, struktule eienskappe van die binnelandse landbou kommoditeits-mark in Ghana moontlik die effek van verbeterde insentiewe op landbou groei kon beperk het. Resultate van die laaste opstel dui daarop dat kommoditeits-prys verhogings in Ghana die geld-aanbod groei en inflasie beinvloed, terwyl in Nigerië die effekte van ru-olie prys verhogings lei tot hoër inflasie en appresiasie van die reële wisselkoers. In die geval van Suid-Afrika word die effekte van die skielike groot toenames in goud-uitvoere die duidelikste waargeneem deur veranderinge in die geld-aanbod, inflasie en die reële appresiasie van die binnelandse geld-eenheid. Die resultate van die studie het implikasies vir beide besluitnemers in besigheide en die regering.
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Forsgren, Johan. "How Low Can You Go? : Quantitative Risk Measures in Commodity Markets." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-314088.
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The volatility model approach to forecasting Value at Risk is complemented with modelling of Expected Shortfalls using an extreme value approach. Using three models from the GARCH family (GARCH, EGARCH and GJR-GARCH) and assuming two conditional distributions, normal Gaussian and Student t’s distribution, to make predictions of VaR, the forecasts are used as a threshold for assigning losses to the distribution tail. The Expected Shortfalls are estimated assuming that the violations of VaR follow the Generalized Pareto distribution, and the estimates are evaluated. The results indicate that the most efficient model for making predictions of VaR is the asymmetric GJR-GARCH, and that assuming the t distribution generates conservative forecasts. In conclusion there is evidence that the commodities are characterized by asymmetry and conditional normality. Since no comparison is made, the EVT approach can not be deemed to be either superior or inferior to standard approaches to Expected Shortfall modeling, although the data intensity of the method suggest that a standard approach may be preferable.
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Makki, Shiva S. "A Dynamic Equilibrium Analysis of Storage-Trade Interactions in Commodity Markets." The Ohio State University, 1995. http://rave.ohiolink.edu/etdc/view?acc_num=osu1393346349.
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Bowe, Michael A. (Michael Anthony) Carleton University Dissertation Economics. "Essays concerning the impact of measurement costs upon commodity futures markets." Ottawa, 1988.
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Shenton, Craig R. "A network theory approach to the study of international commodity markets." Thesis, University of Surrey, 2017. http://epubs.surrey.ac.uk/814037/.
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The international trade in commodities forms a complex network of economic interdependencies. This network now plays a central role in promoting global economic development and security. However, significant asymmetries have been noted in terms of access to this network, and in the unequal distribution of the benefits and risks accrued from the system as a whole. Understanding the statistical properties and dynamics of the trade network have therefore, become important tools for investigating a multitude of real-world policy concerns relevant to economics, public policy, and international development. This thesis focuses on investigating three of these issues---market growth, price inequality, and supply risks. The first of these projects focuses on modelling the growth of commodity markets, and the resulting effect on network topology. The second, looks at how asymmetries in network can lead to varying prices for the same good, and explores the implications for developing more equitable market structures. The final project contributes to our understanding of how export restrictions affect the network structure of trade and how these risks can undermine global food security. Throughout, a network science approach is employed, whereby trade is modelled as a graph-like structure, with the topology of trade being the primary focus of analysis. To support this approach, we introduce several theoretical models, and apply simulations on both real-world, and artificially produced trade network data. The outcome of this research improves on our ability to identify and target key participants within a market, and predict policies that favour more stable and equitable structures that better facilitate trade.
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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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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. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.
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Grosche, Stephanie-Carolin [Verfasser]. "Price effects from the financialization of agricultural commodity markets / Stephanie-Carolin Grosche." Bonn : Universitäts- und Landesbibliothek Bonn, 2015. http://d-nb.info/1077269277/34.
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He, Dequan. "MODELING TRANSACTIONS COSTS BAND AND NONLINEAR PRICE DYNAMICS IN FOREST COMMODITY MARKETS." NCSU, 2005. http://www.lib.ncsu.edu/theses/available/etd-07212005-080614/.
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This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can be rejected against the alternative of nonlinearity for both lumber spot and futures prices in U.S. and oriented strand board (OSB) prices across regions in North America. The nonlinearity is identified by a transition variable that governs switching between two regimes: one within the transactions cost band and one outside of the band. In the empirical analysis, a bivariate smooth transition vector error correction model (STVECM) is used to test market efficiency for lumber spot and futures prices and for the law of one price (LOP) as pertains to OSB prices across six regions in North America. Results support the market eficiency hypothesis and the LOP in the forest commdity markets. Furthermore, the empirical analysis suggests that when price differences surpass transactions costs by a large margin or are far away from the transactions band, a faster adjustment to the long run equilibrium is observed in part due to adjustment costs. When price differences are within the transactions band, they follow a random walk as no trade takes place. The in-sample analysis indicates that the STVECM model performs better than the linear VECM. Results from generalized impulse response functions (GIs) analysis show that system shocks may, in fact, change the time paths of prices permanently.
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Meyer, Thomas O. "Effects of speculation and hedging in several commodity and financial futures markets /." Connect to resource, 1990. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265633828.
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