ERN: Other Econometric Modeling: Commodity Markets (Topic)最新文献_第3页

Oil Prices, Stock Markets and Firm Performance: Evidence from Europe 油价、股市和公司业绩:来自欧洲的证据

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2017-05-31 DOI: 10.2139/ssrn.2978119

Miramir Bagirov, Cesario Mateus

引用次数: 37

Uluslararası Kıymetli Metal Piyasalarının Rejim Dinamikleri (Regime Dynamics of International Precious Metal Markets) uluslararasyi Kıymetli Metal Piyasalarının Rejim Dinamikleri(国际贵金属市场机制动态)

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2017-03-03 DOI: 10.2139/SSRN.2992052

Ayben Koy, Güldenur Çetin, İhsan Ersan

引用次数: 0

The Effect of CME Gold Futures and Ice Dollar Index Futures on the KRX Gold Market 芝加哥商品交易所黄金期货和冰美元指数期货对韩交所黄金市场的影响

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2017-01-20 DOI: 10.2139/ssrn.2903671

Jae-Seung Baek, Myeonghoon Yeom

{"title":"The Effect of CME Gold Futures and Ice Dollar Index Futures on the KRX Gold Market","authors":"Jae-Seung Baek, Myeonghoon Yeom","doi":"10.2139/ssrn.2903671","DOIUrl":"https://doi.org/10.2139/ssrn.2903671","url":null,"abstract":"The KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of real gold by Korean currency (KRW) in the exchange market. Despite the fact that the KRX gold market shows high efficiency in terms of taxes and fees in contrast to the existing gold market, studies on the KRX gold market have been rarely conducted until quite recently. We explore the KRX gold market price efficiency by showing price discovery factors in the market. According to the existing studies, the futures market has a characteristic of leading the spot market. Therefore, this study put forward a hypothesis that the return rate of the gold in the CME (Chicago Mercantile Exchange), in which gold futures are traded at night in Korea Standard Time, would have a positive impact on the return of the KRX gold market, which starts at 9:00am the following day. In addition, this paper goes into detail about the international gold price having a negative correlation with the value of the United States (US) dollar. To test the goal of the research, both the return rate of CME gold futures at t-1 days and ICE (Intercontinental Exchange) dollar index futures at t-1 days are investigated to determine whether they have an impact on the market rate of return in the KRX gold market at t day using regression analysis and vector auto-regression (VAR) model in order to look closely at the factors that determine the market price of the KRX gold market. First, the return rate of CME gold futures at t-1 days has a positive impact of significance on the market rate of return in the KRX gold market at t day. Second, the return rate of ICE dollar index futures at t-1 days could not be confirmed to significantly determine the market rate of return in the KRX gold market at t day.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129535728","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 Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield 商品现货、远期、期货价格与便利收益率的动态

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2017-01-10 DOI: 10.2139/ssrn.2758433

Katsushi Nakajima

引用次数: 2

The Production of Commodities and Multiple Interest Rate Analysis 商品生产与多重利率分析

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2016-12-15 DOI: 10.2139/ssrn.2885821

R. Vienneau

引用次数: 0

Comovement, Index Investing and the Financialization of Commodities 价格变动、指数投资与商品金融化

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2016-10-28 DOI: 10.2139/ssrn.2573551

M. Bonato, Luca Taschini

引用次数: 4

CTT Infuses Inefficiency into Gold Futures Trading: An Empirical Analysis CTT对黄金期货交易的无效率性:一个实证分析

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2016-10-07 DOI: 10.2139/ssrn.2849388

Velmurugan Palaniappan Shanmugam, Rinku Champramary

{"title":"CTT Infuses Inefficiency into Gold Futures Trading: An Empirical Analysis","authors":"Velmurugan Palaniappan Shanmugam, Rinku Champramary","doi":"10.2139/ssrn.2849388","DOIUrl":"https://doi.org/10.2139/ssrn.2849388","url":null,"abstract":"The rationale behind introduction of CTT by government of India is still unclear. But as per few experts, revenue generation was the topmost priority behind the imposition of CTT, besides checking price volatility. In this study by adopting the bootstrap, and modified GARCH methodology, we assessed the impact of CTT in non-agriculture futures commodities with special reference to gold futures traded in MCX. The study finds that CTT has increased the price volatility in gold futures and has significantly reduced the turnover in trading volume, weakening the market to great extent. The imposition of CTT not only affected the gold futures market but also contributed to the inefficiency of the market as the market has still not yet been able to digest the shock that it had received after the implementation of CTT. As per the revenue generation is concerned, if sole purpose for introducing CTT in the commodity futures market was to increase the revenue, than it is not suitable for development of commodity futures market, because CTT has already increased the transaction cost, and market players have already responded to it as volume came down approximately to 43% to 53%. We conclude that CTT has direct impact on policy aspirations as there is a need to transform Indian markets into 'price setter' from being 'price takers'.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114175335","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

Gold Prices and Nifty – Unraveling of an Intricately Interwoven Nexus 黄金价格和俏皮-解开一个错综复杂的交织关系

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2016-08-16 DOI: 10.2139/ssrn.3012959

Dr. Shehnaz S R, Dr. Suresh Kumar S

{"title":"Gold Prices and Nifty – Unraveling of an Intricately Interwoven Nexus","authors":"Dr. Shehnaz S R, Dr. Suresh Kumar S","doi":"10.2139/ssrn.3012959","DOIUrl":"https://doi.org/10.2139/ssrn.3012959","url":null,"abstract":"With the ever changing financial architecture prevalent in the economy and opening up of new vistas of financial engineering highlighting the financial inclusion and education schemes coupled with introduction of new financial instruments, India has been able to widen the net of investments either domestic or foreign direct. The scope of investment by individuals though hovers around safe avenues such as gold, the increasing trend of investment in stock markets cannot be ruled out. However the euphoria and dysphoria associated with up rises and down falls in stock market prices, whether it is consequent to global recessionary factors or domestic political and economic scenario, often pulls or drives away investors to or from the stock markets, especially in the short run. Besides the influence of macroeconomic factors on stock prices, the influence of gold prices on stock prices has spurred the inquisitiveness of researchers all over the world. This paper presents the intricately interwoven nexus that can be established between gold prices in India and the vibrant National Stock Exchange index Nifty 50. Published historical stock index data and historical movements in the gold price per gram in Indian Rupees obtained from official websites of National Stock Exchange (NSE), India and World gold Council are used to build and develop econometric models. The experiments to identify the dynamics and intricacies of nexus between the variables establishes the impact of gold price on stock market index Nifty vis-à-vis their short-run and long-run causal relationship.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131205056","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

A Multifactor Stochastic Volatility Model of Commodity Prices 商品价格的多因素随机波动模型

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2016-07-01 DOI: 10.2139/ssrn.2811860

G. Cortazar, Matias Lopez, Lorenzo Naranjo

引用次数: 11

The Information Content of Fundamental News vs. Traders’ Positions in Grain Futures Markets: Evidence from WASDE and COT Reports 谷物期货市场基本新闻的信息内容与交易员持仓:来自WASDE和COT报告的证据

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2016-05-18 DOI: 10.2139/ssrn.3334880

David Bosch

引用次数: 0