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Econometric Modeling: Commodity Markets eJournal最新文献

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Factors Affecting Capital Structure and Stock Prices of Agricultural and Mining Companies 影响农矿公司资本结构和股价的因素
Econometric Modeling: Commodity Markets eJournal Pub Date : 2019-03-12 DOI: 10.35212/RISET.V1I2.10
I. Gracia, R. Panggabean
{"title":"Factors Affecting Capital Structure and Stock Prices of Agricultural and Mining Companies","authors":"I. Gracia, R. Panggabean","doi":"10.35212/RISET.V1I2.10","DOIUrl":"https://doi.org/10.35212/RISET.V1I2.10","url":null,"abstract":"The purpose of this study was to analyze the influence of business risk, asset growth, sales growth, earning per share, and asset structure to capital structure and share price. \u0000This study involved mining and agriculture companies listed on IDX within the period of 2010-2017. The analysis employed eViews 9. \u0000Based on the hypothesis testing, it was found that that business risk, sales growth, and asset structure do not have a significant effect on capital structure. However, asset growth has a significant influence. Furthermore, sales growth and EPS do not have a significant effect on share price, but the asset structure has a significant influence. \u0000This research is a development of previous research by adding earnings per share as an independent variable and covering the period 2010 - 2017 in order to show the most actual conditions. \u0000Company management can make the results of this study a consideration in determining the optimal capital structure.   This study only examined the mining and agricultural sectors on the Indonesian stock exchange.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130340469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Effect of Energy Cryptos on Efficient Portfolios of Key Energy Companies in the S&P Composite 1500 Energy Index 能源加密对标准普尔1500能源指数中主要能源公司有效投资组合的影响
Econometric Modeling: Commodity Markets eJournal Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3345845
Ikhlaas Gurrib, Elgilani Elshareif, Firuz Kamalov
{"title":"The Effect of Energy Cryptos on Efficient Portfolios of Key Energy Companies in the S&P Composite 1500 Energy Index","authors":"Ikhlaas Gurrib, Elgilani Elshareif, Firuz Kamalov","doi":"10.2139/ssrn.3345845","DOIUrl":"https://doi.org/10.2139/ssrn.3345845","url":null,"abstract":"The purpose of this paper is to investigate if energy block chain based cryptocurrencies can help diversify equity portfolios consisting primarily of leading energy companies in the US S&P Composite 1500 Energy Index. The key contributions are firstly, in terms of assessing the importance of energy cryptos as alternative investments in portfolio management, and secondly, whether different volatility models such as Autoregressive Moving Average – Generalized Autoregressive Heteroskedasticity (ARMA-GARCH) and Machine Learning (ML) can help investors make better informed decisions in investments. The methodology utilizes the traditional Markowitz mean-variance framework to obtain optimized portfolio risk and return combinations. Different volatility measures, derived from the Cornish-Fisher adjusted variance, ARMA family classes and machine learning models are used to compare efficient portfolios which include or exclude the energy cryptos. To capture the negative performance of cryptos, the study also analyses the effect of adding cryptos to equity portfolios with non-positive excess returns. The different models are assessed using the Sharpe performance measure. Daily data is used, spanning from 21st November 2017 to 31st January 2019. Findings suggest that the energy based cryptos do not have a significant impact on energy equity portfolios, despite the use of different risk measures. This was attributable to the relatively poor performance of energy cryptos which did not contribute in improving the excess return per unit of risk of efficient portfolios based on the leading US energy stocks.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133311045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Is the Supply Curve for Commodity Futures Contracts Upward Sloping? 商品期货合约的供给曲线是否向上倾斜?
Econometric Modeling: Commodity Markets eJournal Pub Date : 2019-02-07 DOI: 10.2139/ssrn.3360787
Lei Yan, S. Irwin, Dwight R. Sanders
{"title":"Is the Supply Curve for Commodity Futures Contracts Upward Sloping?","authors":"Lei Yan, S. Irwin, Dwight R. Sanders","doi":"10.2139/ssrn.3360787","DOIUrl":"https://doi.org/10.2139/ssrn.3360787","url":null,"abstract":"Annual rebalancing of the S&P GSCI index provides a novel and strong identification to estimate the shape of supply curves for commodity futures contracts. Using the 24 commodities included in the S&P GSCI for 2004–2017, we show that cumulative abnormal returns (CARs) reach a peak of 59 basis points in the middle of the week following the rebalancing period, but the impact is temporary as it declines to near zero within the next week. The findings provide clear evidence that the supply curve for commodity futures contracts is upward sloping in the short-run but almost flat in the longer-run.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116564474","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Market Inefficiencies Associated with Pricing Oil Stocks During Shocks 市场效率低下与冲击期间石油股票定价有关
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-11-16 DOI: 10.2139/ssrn.3285838
Kenan Qiao, Yuying Sun, Shouyang Wang
{"title":"Market Inefficiencies Associated with Pricing Oil Stocks During Shocks","authors":"Kenan Qiao, Yuying Sun, Shouyang Wang","doi":"10.2139/ssrn.3285838","DOIUrl":"https://doi.org/10.2139/ssrn.3285838","url":null,"abstract":"Abstract The assumption that market efficiency informs the pricing of oil stocks is critical to understanding the co-movement between stock markets and oil markets. To test this assumption in relation to various types of real oil price changes, this article proposes a two-stage analysis method that starts with a quantile regression to identify oil shocks and develop interval-valued factor pricing models. These interval-based methods, relative to traditional point-based methods, can produce more efficient parameter estimations by providing more information. The results show that oil stocks tend to be overpriced following negative oil price shocks, which partially violates the efficient market hypothesis. Yet oil stocks are efficiently priced in response to moderate changes or positive oil price shocks, such that in most cases, the market remains efficient in pricing oil stocks.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"516 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131694980","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Non-Affine Stochastic Volatility With Seasonal Trends 具有季节趋势的非仿射随机波动
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-10-15 DOI: 10.2139/ssrn.3309523
Hilmar Gudmundsson, D. Vyncke
{"title":"Non-Affine Stochastic Volatility With Seasonal Trends","authors":"Hilmar Gudmundsson, D. Vyncke","doi":"10.2139/ssrn.3309523","DOIUrl":"https://doi.org/10.2139/ssrn.3309523","url":null,"abstract":"We propose a new stochastic volatility model for pricing options on assets that exhibit seasonal trends in volatility. Such assets are prevalent among commodities, with futures on grains and energy being an example. The model is based on the 3/2 stochastic volatility model, but includes a cyclical long-run volatility component. The model yields a closed-form characteristic function which can be used to rapidly calibrate the model to benchmark options. We test the model on market data and show that the model proposed here allows for significantly better empirical fit to option prices on corn and wheat futures than the unmodified 3/2 model.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122407220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Jumps in Commodity Markets 大宗商品市场跳涨
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-09-28 DOI: 10.2139/ssrn.3074540
Duc Binh Benno Nguyen, Marcel Prokopczuk
{"title":"Jumps in Commodity Markets","authors":"Duc Binh Benno Nguyen, Marcel Prokopczuk","doi":"10.2139/ssrn.3074540","DOIUrl":"https://doi.org/10.2139/ssrn.3074540","url":null,"abstract":"This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at cross-market correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123762219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Measuring the Impact of Agricultural Production Shocks on International Trade Flows 衡量农业生产冲击对国际贸易流动的影响
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-08-29 DOI: 10.1093/ERAE/JBZ013
Shon M. Ferguson, J. Gars
{"title":"Measuring the Impact of Agricultural Production Shocks on International Trade Flows","authors":"Shon M. Ferguson, J. Gars","doi":"10.1093/ERAE/JBZ013","DOIUrl":"https://doi.org/10.1093/ERAE/JBZ013","url":null,"abstract":"\u0000 The purpose of this study is to measure the sensitivity of traded quantities and trade unit values to agricultural production shocks. We develop a general equilibrium model of trade in which production shocks in exporting countries affect both traded quantities and trade unit values. The model includes per-unit trade costs and develops a methodology to quantify their size exploiting the trade unit value data. Using bilateral trade flow data for a large sample of countries and agricultural commodities, we find that the intensive margin of trade is relatively inelastic to production shocks, with a 1 per cent increase in production leading to a 0.5 per cent increase in exports. We also find that per-unit trade costs are large, comprising 15–20 per cent of import unit values on average. Overall, our results suggest that there is room for improving trade as a mechanism for coping with food production volatility.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"35 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114130956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
The Effect of Economic Policy Uncertainty on Stock-Commodity Correlations and its Implications on Optimal Hedging 经济政策不确定性对股票-商品相关性的影响及其对最优对冲的启示
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-08-29 DOI: 10.2139/ssrn.3240962
Ihsan Badshah, Rıza Demirer, Tahir Suleman
{"title":"The Effect of Economic Policy Uncertainty on Stock-Commodity Correlations and its Implications on Optimal Hedging","authors":"Ihsan Badshah, Rıza Demirer, Tahir Suleman","doi":"10.2139/ssrn.3240962","DOIUrl":"https://doi.org/10.2139/ssrn.3240962","url":null,"abstract":"Motivated by previous studies documenting significant return and volatility effects of economic policy uncertainty (EPU) on the stock market, this study examines whether EPU has an effect on the dynamic conditional correlations between stock and commodity returns. Our findings point to a positive and significant effect of EPU on stock-commodity correlations with particularly stronger effects in the case of energy and industrial metals. The EPU effect is stronger during weak economic conditions, while VIX as a proxy of market uncertainty is generally found to be insignificant. Finally, we show that the EPU effect on correlations has investment implications as well, implied by a significant effect on optimal hedge ratios in commodities in order to mitigate stock market risks. Our results underscore the importance of selective hedging strategies in which risk managers base the timing and size of their hedging programs on future price expectations, conditional on the level of policy uncertainty state and prevalent economic conditions.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130111467","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 72
Could Market Making Be Profitable in the European Carbon Market? 在欧洲碳市场做市是否有利可图?
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-06-18 DOI: 10.2139/ssrn.3198422
E. Galariotis, I. Kalaitzoglou, K. Kosmidou, S. Papaefthimiou, S. Spyrou
{"title":"Could Market Making Be Profitable in the European Carbon Market?","authors":"E. Galariotis, I. Kalaitzoglou, K. Kosmidou, S. Papaefthimiou, S. Spyrou","doi":"10.2139/ssrn.3198422","DOIUrl":"https://doi.org/10.2139/ssrn.3198422","url":null,"abstract":"We investigate when market making can be profitable in the European Carbon Futures market, by developing an order type selection rule, based solely on transaction level data. We employ a granular approach that uses an observable variable, i.e. trading intensity, to extract the liquidity and information price components and we investigate their impact on spreads, volatility and ultimately on the profitability of different order types. We find that market orders are always less profitable than limit orders. In addition, market makers are expected to derive most of their profits in a low trading intensity environment, mainly due to higher liquidity commissions and a lower probability of dealing with better informed agents. In contrast, an unconditional limit order submission strategy from an off-floor trader should not be preferred, apart from a medium trading intensity environment, where information and liquidity premia adequately compensate them for execution and information risk.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"193 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114747884","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Industrial Output in Q1 2018: Gas and Coal Extraction Growth 2018年第一季度工业产出:天然气和煤炭开采增长
Econometric Modeling: Commodity Markets eJournal Pub Date : 2018-05-10 DOI: 10.2139/ssrn.3176826
E. Miller, A. Kaukin
{"title":"Industrial Output in Q1 2018: Gas and Coal Extraction Growth","authors":"E. Miller, A. Kaukin","doi":"10.2139/ssrn.3176826","DOIUrl":"https://doi.org/10.2139/ssrn.3176826","url":null,"abstract":"By-sector analysis of industrial production indices shows that there are still no conditions for transition to sustainable growth in the majority of sectors. The trend component of the industrial production index points to a growth in manufacturing industry in the amount of 0.4% in March 2018 compared to December 2017. Extraction of mineral resources grew mainly due to gas and coal sectors.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124884664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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