An Analysis Of The Effect Of Price Limits On Price Movements In Selected Commodity Futures Markets PDF Download
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Author | : J. Douglas Gordon |
Publisher | : |
Total Pages | : 42 |
Release | : 1989 |
Genre | : |
ISBN | : |
Download An Analysis of the Effect of Price Limits on Price Movements in Selected Commodity Futures Markets Book in PDF, ePub and Kindle
Author | : Gabriel Blair Fontinelle |
Publisher | : |
Total Pages | : |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Ex-ante and Ex-post Effects of Price Limits in Commodity Futures Markets Book in PDF, ePub and Kindle
After October 1987, financial crisis, market regulators created dispositive called circuit breaks to contain high levels of volatility. As a type of circuit breaker, price limits were adopted not only on stock markets but in commodity futures contracts as well, however, its effects are not clear. The present study aimed to evaluate price limit ex-ante effects on the four major wheat futures markets by adopting Brogaard and Roshak (2015) methodology by estimating the probability of extreme movements and limit moves conditional to extreme movements and its ex-post effects on trading activity by contrasting the volume curve on limit days with a counterfactual volume curve that simulates a scenario where price limits were not hit. The results show that tighter limit levels decrease the probability of extreme movements by approximately 0.008% having an overall (four markets included) baseline probability of extreme moves equals 1.11% which agrees with the Holding Back hypothesis assuming extreme movements as a proxy for volatility. On the other hand, the probability of limit moves conditional to extreme movements increases when limit levels are tighter by approximately 0.066% with an overall baseline of 0.05% which supports the "Magnet" hypothesis. Regarding the ex-post effects, longer periods where prices stay at the limit level result in trading activity lost, however, if prices return to limit range but bounce back to a limit lock, the longer the gap between limit locks trading session experience an increase in trading activity. Moreover, the ex-post effects on trading activity are more intense in Chicago relative to Kansas City because Chicago presents a higher trading volume on average.
Author | : |
Publisher | : |
Total Pages | : 384 |
Release | : 1983 |
Genre | : Commodity exchanges |
ISBN | : |
Download Selected Writings on Futures Markets Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 372 |
Release | : 1987 |
Genre | : Commodity exchanges |
ISBN | : |
Download Readings in Futures Markets: Selected writings on futures markets : basic research in commodity markets Book in PDF, ePub and Kindle
Author | : Kevin Scott Buehler |
Publisher | : |
Total Pages | : 196 |
Release | : 1987 |
Genre | : Commodity exchanges |
ISBN | : |
Download The Effect of Price Limits on the Distribution of Daily Changes in Commodity Futures Prices Book in PDF, ePub and Kindle
Author | : Nicolas Schreiber |
Publisher | : GRIN Verlag |
Total Pages | : 69 |
Release | : 2016-07-15 |
Genre | : Business & Economics |
ISBN | : 3668261016 |
Download The Influence of Commodity Speculation on Commodity Price Development Book in PDF, ePub and Kindle
Bachelorarbeit aus dem Jahr 2014 im Fachbereich BWL - Bank, Börse, Versicherung, Johann Wolfgang Goethe-Universität Frankfurt am Main, Sprache: Deutsch, Abstract: Commodity prices have been rising significantly since the early 2000s with price growth reaching its fastest pace between 2006 and 2008. While nearly all commodities were hit by the aforementioned price spikes, price spikes where particularly pronounced for mineral commodities. For the most part of recent research two different approaches are applied to measure the impact of speculation on price development. The first one examines if there is any change in commodity price development due to the aforementioned increased financialization of commodity markets, whereas the second one compares the behavior of commodity prices with and without an existing futures market. This thesis combines both approaches and tests the hypotheses that either the first-time introduction of derivatives or the introductions of regulatory governmental acts that facilitate speculative index investment in commodities have significant effects on commodity price development by the example of copper traded on US-based exchanges. For this purpose, relevant copper price characteristics will be analyzed before and after possibly speculation-conducive events (i.e. the introduction of copper futures trading and two selected acts) for the period from 1971 to 2010. Furthermore, following Tang and Xiong (2012), this thesis examines if the introduction of governmental acts of the aforementioned type induces an increased market integration of non-energy commodity markets. This is of particular interest as market integration can at times induce increased volatility spillovers between the respective markets (Tang & Xiong, 2012). The first part of this work gives a short overview of the technical background necessary to understand the relationship between commodity prices and speculation. The second part provides a general review of related literature and research on the relationship between commodity prices and speculation. The third part focuses on the methodology of the empirical analysis. The fourth part of this work presents the results and is followed by the conclusion in part five.
Author | : |
Publisher | : |
Total Pages | : 372 |
Release | : 1983 |
Genre | : Commodity exchanges |
ISBN | : |
Download Readings in Futures Markets: Selected writings on futures markets : basic research in commodiity markets Book in PDF, ePub and Kindle
Author | : Michael Joseph Brennan |
Publisher | : |
Total Pages | : 52 |
Release | : 1984 |
Genre | : Commodity exchanges |
ISBN | : |
Download A Theory of Price Limits in Futures Markets Book in PDF, ePub and Kindle
Author | : Thomas Hoehl |
Publisher | : GRIN Verlag |
Total Pages | : 89 |
Release | : 2011-11 |
Genre | : Business & Economics |
ISBN | : 3656047715 |
Download Fundamentals, Speculation, and the Pricing of Crude Oil Futures Book in PDF, ePub and Kindle
Master's Thesis from the year 2011 in the subject Economics - Finance, grade: 8,0, Maastricht University (School of Business and Economics), language: English, abstract: This study finds that while a large part of the variation in crude oil futures prices is driven by fundamental factors, financial investment and speculation has the potential to aggravate reactions to changing fundamental variables and furthermore move prices on its own. The evidence is gathered by performing linear regressions and Granger Causality tests on futures returns, position data of different categories of futures traders on the New York Mercantile Exchange and proxies for relevant fundamental factors such as equity and exchange rate returns gathered from August 2006 to December 2010. While higher prices for crude oil naturally come along with increasing physical demand and finite world supply, future regulation might temper market volatility and guarantee that prices reflect a sustainable physical market equilibrium. The study also gives an overview of commodity market regulation and position limits on futures markets.
Author | : Nikolaos T. Milonas |
Publisher | : |
Total Pages | : 54 |
Release | : 1984 |
Genre | : Commodity exchanges |
ISBN | : |
Download Price Variability in Futures Markets Book in PDF, ePub and Kindle