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Journal articles on the topic 'Futures markets'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Kjellberg, Hans, Kaj Storbacka, Melissa Akaka, et al. "Market futures/future markets: Research directions in the study of markets." Marketing Theory 12, no. 2 (2012): 219–23. http://dx.doi.org/10.1177/1470593112444382.

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2

Hirshleifer, David, Daniel R. Siegel, and Diane F. Siegel. "Futures Markets." Journal of Finance 46, no. 4 (1991): 1564. http://dx.doi.org/10.2307/2328874.

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3

Kuenne, Robert E. "Futures markets." Energy Economics 8, no. 2 (1986): 127–28. http://dx.doi.org/10.1016/0140-9883(86)90037-x.

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4

Cornell, Bradford. "Futures markets." Journal of Monetary Economics 16, no. 1 (1985): 133–35. http://dx.doi.org/10.1016/0304-3932(85)90012-1.

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5

McKenzie, Andrew M., and Matthew T. Holt. "Market efficiency in agricultural futures markets." Applied Economics 34, no. 12 (2002): 1519–32. http://dx.doi.org/10.1080/00036840110102761.

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6

Whitchurch, Celia. "Futures and markets." Perspectives: Policy and Practice in Higher Education 5, no. 4 (2001): 91–92. http://dx.doi.org/10.1080/1360310120081635.

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7

Gehr, Adam K. "Undated futures markets." Journal of Futures Markets 8, no. 1 (1988): 89–97. http://dx.doi.org/10.1002/fut.3990080108.

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8

Chang, Matthew C., Chih-Ling Tsai, Rebecca Chung-Fern Wu, and Ning Zhu. "Market uncertainty and market orders in futures markets." Journal of Futures Markets 38, no. 8 (2018): 865–80. http://dx.doi.org/10.1002/fut.21918.

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9

Ranganathan, Thiagu, and Usha Ananthakumar. "Market efficiency in Indian soybean futures markets." International Journal of Emerging Markets 9, no. 4 (2014): 520–34. http://dx.doi.org/10.1108/ijoem-12-2011-0106.

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Purpose – The National commodity exchanges were established in India in the year 2003-2004 to perform the functions of price discovery and price risk management in the economy. The derivatives market can perform these functions properly only if they are efficient and unbiased. So, there is a need to properly evaluate these aspects of the Indian commodity derivatives market. The purpose of this paper is to test the market efficiency and unbiasedness of the Indian soybean futures markets. Design/methodology/approach – The paper uses cointegration and a QARCH-M-ECM-based framework to test the mar

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10

Kumar, Brajesh, and Ajay Pandey. "Market efficiency in Indian commodity futures markets." Journal of Indian Business Research 5, no. 2 (2013): 101–21. http://dx.doi.org/10.1108/17554191311320773.

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11

Liu, Qingfu, Qian Luo, Yiuman Tse, and Yuchi Xie. "The market quality of commodity futures markets." Journal of Futures Markets 40, no. 11 (2020): 1751–66. http://dx.doi.org/10.1002/fut.22115.

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12

Rentzler, Joel, Kishore Tandon, and Susana Yu. "Short-term market efficiency in the futures markets: TOPIX futures and 10-year JGB futures." Global Finance Journal 16, no. 3 (2006): 330–53. http://dx.doi.org/10.1016/j.gfj.2006.01.006.

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13

Peake, Charles F. "Causality in Futures Markets." CFA Digest 37, no. 2 (2007): 13–15. http://dx.doi.org/10.2469/dig.v37.n2.4585.

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14

Bryant, Henry L., David A. Bessler, and Michael S. Haigh. "Causality in futures markets." Journal of Futures Markets 26, no. 11 (2006): 1039–57. http://dx.doi.org/10.1002/fut.20231.

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15

Beck, Stacie E. "Cointegration and market efficiency in commodities futures markets." Applied Economics 26, no. 3 (1994): 249–57. http://dx.doi.org/10.1080/00036849400000006.

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16

Kuhn, Betsey A., Frieda W. Shaviro, and Margaret M. Burke. "Market Regulation and International Use of Futures Markets." American Journal of Agricultural Economics 67, no. 5 (1985): 992–98. http://dx.doi.org/10.2307/1241360.

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17

Dhivya, R., M. Prahadeeswaran, R. Parimalaragan, C. Thangamani, and S. Kavitha. "Commodity Future Trading and Cointegration of Turmeric Markets in India." Asian Journal of Agricultural Extension, Economics & Sociology 41, no. 9 (2023): 190–99. http://dx.doi.org/10.9734/ajaees/2023/v41i92031.

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The government has reduced its direct market intervention in order to promote private sector engagement based on market forces, Farmers in an agriculture-dominated economy like India suffer not only yield risk but also pricing risk. As a result, agricultural products are now more vulnerable to market risks related to pricing and other factors. The futures market has to decide the prices of a commodity on the basis of demand and supply. It is important to know about the bi-directional and unidirectional relationship between different market’s the prices and future and Spot markets in India, pri

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18

Dey, Kushankur, and Debasish Maitra. "Can futures markets accommodate Indian farmers?" Journal of Agribusiness in Developing and Emerging Economies 6, no. 2 (2016): 150–72. http://dx.doi.org/10.1108/jadee-08-2013-0029.

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Purpose It has become an ongoing debate whether Indian commodity futures markets can accommodate farmers. The purpose of this paper is to examine whether Indian commodity futures markets help rationalize farmers’ price expectation. The study starts with questions on the efficiency and other roles of commodity futures markets. Design/methodology/approach From a sectoral standpoint and economic importance, the study considers pepper, coffee, and natural rubber (NR) futures and spot markets. The efficiency of futures markets, divergence/convergence and causality between futures and spot markets h

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19

Kang, Sang Hoon. "Analyzing the Network Structure of Spillover Connectedness Across Index Futures Markets During Market Distress Periods." Journal of Derivatives and Quantitative Studies 27, no. 2 (2019): 141–64. http://dx.doi.org/10.1108/jdqs-02-2019-b0001.

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This paper aims to investigate the network structure of connectedness among global index futures markets in different distress periods. In this purpose, this employs the multivariate DECO-GARCH model of Engle and Kelly (2012) and the spillover index method of Diebold and Yilmaz (2014). From empirical analysis, this paper finds an evidence of a positive equicorrelation among global index futures, implying the contagion effect in global index futures markets. The spillover connectedness is intensified due to recent market distress, i.e., the 2008-2009 GFC, the 2010-2012 ESDC, the collapse of Chi

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20

Gurrib, Ikhlaas. "Are key market players in currency derivatives markets affected by financial conditions?" Investment Management and Financial Innovations 15, no. 2 (2018): 183–93. http://dx.doi.org/10.21511/imfi.15(2).2018.16.

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This study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous financial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efficiency, this study compares the impact of current, 1 and 2 week lags of financial conditions onto foreign currency futures players’ net positions. The financial conditions indices used are UFCI, STLFSI, NFCI and ANFCI with weekly data set from January 2007 till December 2018. The US dollar index futures is included as a benchmark, since the financial conditions are bas

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21

Ito, Mikio, Kiyotaka Maeda, and Akihiko Noda. "Market efficiency and government interventions in prewar Japanese rice futures markets." Financial History Review 23, no. 3 (2016): 325–46. http://dx.doi.org/10.1017/s0968565017000014.

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This study analyzes how the colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Osaka. We explore the interventions in the futures markets using two procedures. First, we measure the joint degree of efficiency in the markets using a time-varying vector autoregression model. Second, we examine historical events that possibly affected the markets and focus on one event at a time. The degree of efficiency varies over time within our sample period (1881-1932). The observation, together with histor

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22

Agnihotri, Shalini, and Kanishk Chauhan. "Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market." Investment Management and Financial Innovations 19, no. 3 (2022): 1–12. http://dx.doi.org/10.21511/imfi.19(3).2022.01.

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Investment in commodity markets in India accelerated after 2007; this was accompanied by large price variability, hence, it becomes imperative to measure commodity price risk precisely. It becomes equally important to study the relationship between commodity price variability and the stock market. Hence, this study aims to calculate the tail risk of highly traded Indian commodity futures returns using the conditional EVT-VaR method for risk measurement. Secondly, the linkage between commodity markets and the stock market is also studied using the Delta CoVaR method. Results highlight the follo

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23

Narayan, Paresh Kumar, Seema Narayan, and Xinwei Zheng. "Gold and oil futures markets: Are markets efficient?" Applied Energy 87, no. 10 (2010): 3299–303. http://dx.doi.org/10.1016/j.apenergy.2010.03.020.

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24

Dr., Shree Bhagwat, and Singh Maravi Angad. "THE ROLE OF FORWARD MARKETS COMMISSION IN INDIAN COMMODITY MARKETS." International Journal of Research – Granthaalayah 3, no. 11 (2017): 87–105. https://doi.org/10.5281/zenodo.849015.

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This paper examines the role of Forward Markets Commission (FMC) in Indian Commodity Markets. The Results show important developments of Forward Markets Commission. Commodity futures and derivatives have a crucial role to play in the price risk management process, especially in agriculture sector. The significance of commodity derivatives has increased in the current scenario. India has long history of trade in commodity derivatives. Organized commodity derivatives in India started as early as 1875, barely about a decade after they started in Chicago. Since 2003, when commodity futures’ tradin

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25

Cho, Dae-Hyoung. "Long Memory and Market Efficiency in Korean Futures Markets." Institute of Management and Economy Research 11, no. 4 (2020): 255–69. http://dx.doi.org/10.32599/apjb.11.4.202012.255.

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26

Wu, Jingnan, Finbarr Murphy, John Garvey, and Weifeng Ma. "The Role of Market Participants in Agricultural Futures Markets." Outlook on Agriculture 44, no. 2 (2015): 97–108. http://dx.doi.org/10.5367/oa.2015.0202.

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27

Morales, J. M., S. Pineda, A. J. Conejo, and M. Carrion. "Scenario Reduction for Futures Market Trading in Electricity Markets." IEEE Transactions on Power Systems 24, no. 2 (2009): 878–88. http://dx.doi.org/10.1109/tpwrs.2009.2016072.

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28

Li, Cuilin, Ya-Juan Du, Qiang Ji, and Jiang-bo Geng. "Multiscale Market Integration and Nonlinear Granger Causality between Natural Gas Futures and Physical Markets." Sustainability 11, no. 19 (2019): 5518. http://dx.doi.org/10.3390/su11195518.

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This paper comprehensively analyzed the price integration of the U.S. natural gas futures market and its physical markets. The analyses were conducted in the form of graphics using the ensemble empirical mode decomposition (EEMD) method and minimum spanning trees with various horizons. Our findings indicated that the network structures of the minimum spanning trees of the gas futures and physical markets are the same on different time scales. The citygate returns were always the core of the physical gas markets. In addition, the gas futures and physical markets were highly integrated on differ

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29

Cheung, Yin-Wong, and Hung-Gay Fung. "Information Flows Between Eurodollar Spot and Futures Markets." Multinational Finance Journal 1, no. 4 (1997): 255–71. http://dx.doi.org/10.17578/1-4-1.

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30

Waldow, Fabian, Matthias Schnaubelt, Christopher Krauss, and Thomas Günter Fischer. "Machine Learning in Futures Markets." Journal of Risk and Financial Management 14, no. 3 (2021): 119. http://dx.doi.org/10.3390/jrfm14030119.

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In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading framework and compile a data set comprised of 60 futures covering nearly 10 trading years. Next, we train several machine learning models to predict whether the h-day-ahead return of each future out- or underperforms the corresponding cross-sectional median return. Finally, we enter long/short positions for

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31

Kaminsky, Graciela, and Manmohan S. Kumar. "Efficiency in Commodity Futures Markets." Staff Papers - International Monetary Fund 37, no. 3 (1990): 670. http://dx.doi.org/10.2307/3867269.

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32

FISHMAN, MICHAEL J., and FRANCIS A. LONGSTAFF. "Dual Trading in Futures Markets." Journal of Finance 47, no. 2 (1992): 643–71. http://dx.doi.org/10.1111/j.1540-6261.1992.tb04404.x.

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33

FABOZZI, FRANK J., CHRISTOPHER K. MA, and JAMES E. BRILEY. "Holiday Trading in Futures Markets." Journal of Finance 49, no. 1 (1994): 307–24. http://dx.doi.org/10.1111/j.1540-6261.1994.tb04432.x.

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34

Carter, Colin A. "Commodity futures markets: a survey." Australian Journal of Agricultural and Resource Economics 43, no. 2 (1999): 209–47. http://dx.doi.org/10.1111/1467-8489.00077.

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35

Allingham, Michael. "Futures markets and economic efficiency." Resources Policy 11, no. 1 (1985): 43–48. http://dx.doi.org/10.1016/0301-4207(85)90018-2.

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36

Samii, Massood V. "Oil futures and spot markets." OPEC Review 16, no. 4 (1992): 409–17. http://dx.doi.org/10.1111/j.1468-0076.1992.tb00441.x.

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37

International Monetary Fund. "Efficiency in Commodity Futures Markets." IMF Working Papers 89, no. 106 (1989): 1. http://dx.doi.org/10.5089/9781451946963.001.

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38

Kimbrough, Kent P. "Futures markets and monetary policy." Journal of Monetary Economics 15, no. 1 (1985): 69–79. http://dx.doi.org/10.1016/0304-3932(85)90053-4.

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39

Cripps, Martin. "Commodity, futures and financial markets." International Journal of Industrial Organization 10, no. 4 (1992): 685. http://dx.doi.org/10.1016/0167-7187(92)90067-9.

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40

Locke, Peter R., and Pattarake Sarajoti. "Interdealer trading in futures markets." Journal of Futures Markets 24, no. 10 (2004): 923–44. http://dx.doi.org/10.1002/fut.20115.

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41

Ma, Christopher K., William H. Dare, and Darla R. Donaldson. "Testing rationality in futures markets." Journal of Futures Markets 10, no. 2 (1990): 137–52. http://dx.doi.org/10.1002/fut.3990100205.

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42

Bacha, Obiyathulla, and Anne Fremault Vila. "Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets." Pacific-Basin Finance Journal 2, no. 2-3 (1994): 201–25. http://dx.doi.org/10.1016/0927-538x(94)90017-5.

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43

Bacha, Obiyathulla, and Anne Fremault Vila. "Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets." Pacific-Basin Finance Journal 3, no. 1 (1995): 140. http://dx.doi.org/10.1016/0927-538x(95)99083-e.

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44

Bae, Sung C., Taek Ho Kwon, and Jong Won Park. "Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets." Journal of Futures Markets 24, no. 12 (2004): 1195–228. http://dx.doi.org/10.1002/fut.20135.

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45

Yang, Jian, and David J. Leatham. "Price Discovery in Wheat Futures Markets." Journal of Agricultural and Applied Economics 31, no. 2 (1999): 359–70. http://dx.doi.org/10.1017/s1074070800008634.

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AbstractThis paper examines the price discovery function for three U.S. wheat futures markets: the Chicago Board of Trade, Kansas City Board of Trade, and Minneapolis Grain Exchange. The maintained hypothesis is that futures markets search more for information than cash markets to find an equilibrium price, thus greatly improving the price discovery function. The tests reveal the existence of one equilibrium price across the three futures markets in the long run, but no cointegration among prices in the three representative cash markets.

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46

Catherine, Aka Messouma, Wawa Zadi Yann, and Aka Joseph. "The Evolution and Profitability of China's Futures Markets: A Comprehensive Review." International Journal of Science and Business 34, no. 1 (2024): 132–43. http://dx.doi.org/10.58970/ijsb.2340.

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Since its inception in the late 1980s, China's futures market has evolved into a pivotal component of the global financial landscape, serving purposes of price discovery, risk hedging, and trading opportunities across diverse commodities and financial instruments. By the end of 2023, the market boasted 131 listed futures and options products, underlining its growth and international influence. This comprehensive review explores the evolution and profitability of China's futures markets, encompassing historical developments, regulatory frameworks, and empirical insights. Key drivers of market e

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47

Liu, Shuyi. "Dynamic Correlations Between Carbon Futures and Energy Futures Markets." Advances in Economics, Management and Political Sciences 91, no. 1 (2024): 120–29. http://dx.doi.org/10.54254/2754-1169/91/20241086.

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An essential instrument for reducing carbon emissions worldwide is the carbon market. Comprehending the dynamic relationships between carbon and energy futures prices is crucial as carbon trading picks up promote globally. This research examines how two energy futurescrude oil and natural gasinteract with carbon futures in the American and European markets between November 21, 2013, and March 28, 2024. We examine correlations between futures returns across different regions using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model. Ou

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48

Li, Yin-Hua, Guo-Dong Yang, and m. m. "A Study on Co-movements and Information Spillover Effects Between the International Commodity Futures Markets and the South Korean Stock Markets: Comparison of the COVID-19 and 2008 Financial Crises." Journal of Korea Trade 27, no. 5 (2023): 167–98. http://dx.doi.org/10.35611/jkt.2023.27.5.167.

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Purpose - This paper aims to compare and analyze the co-movements and information spillover effects between the international commodity futures markets and the South Korean stock markets during the COVID-19 and the 2008 financial crises. Design/methodology - The DCC-GARCH model is used in the co-movements analysis. In contrast, the BEKK-GARCH model is used to evaluate information spillover effects. The statistical data used is from January 1, 2005, to December 31, 2022. It comprises the Korea Composite Stock Price Index data and daily international commodity futures prices of natural gas

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49

Tsiaras, Konstantinos. "Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach." Journal of Quantitative Methods 4, no. 1 (2020): 1. http://dx.doi.org/10.29145/2020/jqm/040102.

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This paper seeks to investigate the time-varying conditional correlations to the futures FOREX market returns. We employ a dynamic conditional correlation (DCC) Generalized ARCH (GARCH) model to find potential contagion effects among the markets. The under investigation period is 2014-2019. We focus on four major futures FOREX markets namely JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results show an increase in conditional correlation or contagion for all the pairsof future FOREX markets. Based on the dynamic conditional correlations, KRW/USD seems to be the safest futures FOREX mark

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50

Ohk, Ki Yool. "The Effect of Futures Trading on Spot Market Liquidity." Journal of Derivatives and Quantitative Studies 13, no. 1 (2005): 29–52. http://dx.doi.org/10.1108/jdqs-01-2005-b0002.

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This study analyzes the effect of stock index futures trading on the price volatility and liquidity of spot markets, It is found that spot price volatility increases significantly after stock index futures are listed, This study partitions the trading activity series of sPOt markets into expected and unexpected components, and documents that unexpected spot-trading activities are associated with smaller sPOt price movements subsequent to the introduction of futures trading, This imolies that spot market liquidity has been increased by the intraduction of futures trading, Furthermore, this stud

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