Abstracts - faqs.org

Abstracts

Business, general

Search abstracts:
Abstracts » Business, general

Time Series Volatility of Commodity Futures Prices

Article Abstract:

This article examines the volatility of commodity futures prices over time and proves the hyphothesis that the variability of futures prices grows as the futures contract maturity date arrives.

Author: Black, Jane, Tonks, Ian
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
United States, Statistical Data Included, Models, Statistics, Pricing, Commodities industry, Rational expectations (Economics)

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


Linkages between agricultural commodity futures contracts

Article Abstract:

An empirical test is done on the independence of futures prices of six agricultural products traded at the Chicago Board of Trade, namely, corn, wheat, oats, soybean, soybean meal and soybean oil. Using data on daily settlement prices for the period Jan. 2, 1981 to Oct. 24, 1991 involving 2,734 observations for each contract, it is hypothesized that the prices of these commodities move independently. Results indicate that the price discovery function of a commodity futures contract is important information to other related commodity futures contracts.

Author: Malliaris, A.G., Urrutia, Jorge L.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
Soybean oil mills, Soybean Processing, Corn, Corn Farming, Soybean Farming, Fats and Oils, Starch and Vegetable Fats and Oils Manufacturing, Cash grains, not elsewhere classified, Other Grain Farming, Wheat, Wheat Farming, Soybeans, Oats, Soybean Oil, Soybean Meal, Agriculture, Securities, Futures, Soybean, Soy oil, Soybean cake and meal

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


Asymmetric information in commodity futures markets: theory and empirical evidence

Article Abstract:

The basis gives information regarding future spot market rates but sometimes these price estimates could be prejudiced. On the one hand, the price data can favorably be brought about by the asymmetries in the precision of futures spot prices forecasts, which the basis can completely disclose. However, additional asymmetries, in the predictions for the future spot quantities, can lead to unclear disclosures. The findings were revealed by a futures market model applied with the trading of canola, barley, and oats on the Winnipeg Commodity Exchange.

Author: Perrakis, Stylianos, Khoury, Nabil
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
Basis (Taxation), Winnipeg, Manitoba

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


Subjects list: Prices and rates, Commodity exchanges, Commodity futures, Economic aspects
Similar abstracts:
  • Abstracts: Trading and hedging in S&P spot and futures markets using genetic programming. Trading volume, bid-ask spread, and price volatility in futures markets
  • Abstracts: Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity index futures markets
  • Abstracts: Company car or hell on wheels? It pays to take care with your salary package. Too close for comfort
  • Abstracts: Mortgage risk alert: most lenders can pass the APRA stress test, but the regulator thinks they could do better on risk management
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.
Some parts © 2023 Advameg, Inc.