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Market efficiency and information flow between the crude palm oil and crude oil futures markets
Energy Strategy Reviews, 2023 This study analyzes the efficiency of the crude palm oil (CPO) futures market by conducting a variance ratio test and comparing it to the West Texas Intermediate (WTI) futures market.
Minhyuk Jeong +3 more
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Transactions of the National Pension Service of Korea in the KOSPI200 futures market [PDF]
Seonmul yeongu, 2021 It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean stock market.
Meong Ae Kim, Mincheol Woo
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Jurnal Manajemen & Agribisnis, 2019 In the Indonesia coffee premature market, it is important to confirm whether the futures market has interdependence with the spot market. Moreover, as the world’s largest coffee producers after Brazil, Vietnam, and Colombia, it is also important to ...
Anis Erma Wulandari +2 more
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Research on Macro and Micro Factors Affecting Futures Market Prices [PDF]
SHS Web of ConferencesWhen the global economy is closely linked, the stability and development of the futures market is becoming more and more important.This study focuses on the factors affecting the futures market and divides them into macro and micro levels for in-depth ...
Li Mingyang
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Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Discrete Dynamics in Nature and Society, 2022 Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through ...
Upananda Pani +4 more
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Mixed supply function‐Cournot equilibrium model of futures and day‐ahead electricity markets
IET Generation, Transmission & Distribution, 2021 Futures contract is one of the useful financial derivatives for hedging the market players against the risks of undesirable price fluctuations in the power systems.
Mohsen Banaei +3 more
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Market efficiency in agricultural futures markets [PDF]
Applied Economics, 2002 Market efficiency and unbiasedness are tested in four agricultural commodity futures markets - live cattle, hogs, corn, and soybean meal - using cointegration and error correction models with GQARCH-in-mean processes. Results indicate each market is unbiased in the long run, although cattle, hogs and corn futures markets exhibit short-run ...
McKenzie, Andrew M., Holt, Matthew T.
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Shanghai crude oil futures: Flagship or burst?
Energy Reports, 2021 This study examines the potential of Shanghai crude oil (SCO) futures as a benchmark in the Asian market. We investigate the market efficiency and long-term equilibrium of SCO futures in comparison with global benchmarks, such as West Texas Intermediate,
Kyohun Joo +4 more
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Causality in futures markets [PDF]
Journal of Futures Markets, 2006 This study tests causal hypotheses emanating from theories of futures markets by utilizing methods appropriate for disproving causal relationships with observational data. The hedging pressure theory of futures markets risk premiums, the generalized version of the normal backwardation theory of Keynes, is rejected. Theories predicting that the activity
Bryant, Henry L. +2 more
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The impact of the Chinese cornstarch futures on spot market and corn futures market
Cogent Economics & Finance, 2017 This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model.
Crentsil Kofi Agyekum +2 more
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