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Price Discovery in Gold Markets: China and the US 黄金市场的价格发现:中国和美国
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2015-02-13 DOI: 10.2139/ssrn.2564688
D. Zhang
{"title":"Price Discovery in Gold Markets: China and the US","authors":"D. Zhang","doi":"10.2139/ssrn.2564688","DOIUrl":"https://doi.org/10.2139/ssrn.2564688","url":null,"abstract":"China has become the world’s biggest consumer of gold in recent years. After only several years of operation, the Chinese gold futures market is now one of the largest globally. This paper studies the price discovery process for the Chinese gold markets. Since the financial crisis in 2007, gold has become one of the best-performing assets. This paper adopts the classic Information Share (IS) and Component Share (CS) metrics to measure information leadership. Recent studies show that IS and CS fail to assign information dominance among different markets if they have different noise levels caused by market microstructure differences. As suggested by Yan and Zivot (2010) and Putniņs (2013), the IS and CS metrics can be combined to overcome this problem. The results suggest that the Chinese gold futures market functions well by facilitating price discovery for the Chinese spot market. However, unlike many previous works showing that the US market leads other countries (Fung et al. 2003, Ghosh et al. 1999), our findings suggest that the Chinese gold futures market leads US gold futures. The Chinese gold futures market contributes more to the price discovery process than the US market. Our results uncover an interesting pattern in that the Chinese and US gold futures markets take turns in leading the Chinese gold spot market during the day and night trading sessions.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130141949","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: 1
The Role of Commodities in Strategic Asset Allocation 商品在战略性资产配置中的作用
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-12-23 DOI: 10.2139/ssrn.2478131
Daniel Giamouridis, Athanasios Sakkas, N. Tessaromatis
{"title":"The Role of Commodities in Strategic Asset Allocation","authors":"Daniel Giamouridis, Athanasios Sakkas, N. Tessaromatis","doi":"10.2139/ssrn.2478131","DOIUrl":"https://doi.org/10.2139/ssrn.2478131","url":null,"abstract":"We shed new light on the role of commodities in asset allocation for investors with and without liabilities who (a) believe that asset returns are time varying and predictable (b) have short and long term horizons and (c) have access, in addition to a standard passive commodity portfolio, to commodity portfolios based on equal weights, momentum and the basis. We document significant benefits, in- and out-of-sample, from investing in factor-based commodity portfolios. We also confirm and extend the evidence on the negative role of commodity investments based on commonly used commodity benchmarks for investors with long horizons and liabilities.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129168418","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
Does Oil Price Uncertainty Transmit to the Thai Stock Market? 油价不确定性是否会影响泰国股市?
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-12-22 DOI: 10.2139/ssrn.2450974
Komain Jiranyakul
{"title":"Does Oil Price Uncertainty Transmit to the Thai Stock Market?","authors":"Komain Jiranyakul","doi":"10.2139/ssrn.2450974","DOIUrl":"https://doi.org/10.2139/ssrn.2450974","url":null,"abstract":"This study investigates the impact of oil price uncertainty on the Stock Exchange of Thailand. Monthly data from May 1987 to December 2013 are applied to the two-stage procedure. In the first step, a bivariate generalized autoregressive conditional heteroskedastic (GARCH) model is estimated to obtain the volatility series of stock market index and oil price. In the second step, the pairwise Granger causality tests are performed to determine the direction of volatility transmission between oil to stock markets. It is found that movement in real oil price does not adversely affect real stock market return, but stock price volatility does affect real stock return. In the sense of causality, there exists a positive one-directional volatility transmission running from oil to stock market. Oil price change and its uncertainty also adversely affect two main sub-index returns. These important findings give some implications for risk management and policy measures.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134285850","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: 15
Why Haven't Uranium Futures Contracts Succeeded? A Case Study 为什么铀期货合约没有成功?案例研究
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-12-01 DOI: 10.2139/ssrn.2606040
H. Till
{"title":"Why Haven't Uranium Futures Contracts Succeeded? A Case Study","authors":"H. Till","doi":"10.2139/ssrn.2606040","DOIUrl":"https://doi.org/10.2139/ssrn.2606040","url":null,"abstract":"Why have some seemingly promising futures contracts not succeeded in the recent past? In this paper, we will examine one such example, the uranium futures market. In two companion working papers, we will also analyze two other futures market failures: namely, in the pulp market and in the weather derivatives market.The structure of this brief paper is as follows. First we provide some background on the uranium futures contract as well as a description of this contract, and then we note how the uranium market does not sufficiently match up against the criteria for the successful launch of a futures contract.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"382 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133938551","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
Why Haven't Pulp Futures Contracts Succeeded? A Case Study 为什么纸浆期货没有成功?案例研究
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-12-01 DOI: 10.2139/ssrn.2606051
H. Till
{"title":"Why Haven't Pulp Futures Contracts Succeeded? A Case Study","authors":"H. Till","doi":"10.2139/ssrn.2606051","DOIUrl":"https://doi.org/10.2139/ssrn.2606051","url":null,"abstract":"Why have some seemingly promising futures contracts not succeeded in the recent past? In this paper, we will examine one such example, the pulp market. In two companion working papers, we will also analyze two other futures market failures: namely, in the uranium market and in weather derivatives.The structure of this paper is as follows. First we summarize the individual attempts at launching pulp futures contracts, and then we note how the pulp markets match up (or not) against the various criteria for the successful launch of a futures contract.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124445482","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
Commodity Risks and the Cross-Section of Equity Returns 商品风险和股票收益的横截面
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-09-01 DOI: 10.2139/ssrn.2490347
Chris Brooks, Adrian Fernández-Pérez, J. Miffre, Ogonna Nneji
{"title":"Commodity Risks and the Cross-Section of Equity Returns","authors":"Chris Brooks, Adrian Fernández-Pérez, J. Miffre, Ogonna Nneji","doi":"10.2139/ssrn.2490347","DOIUrl":"https://doi.org/10.2139/ssrn.2490347","url":null,"abstract":"The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures markets to be backwardated or contangoed. Equity-sorted portfolios with greater sensitivities to the two commodity risk factors command higher average returns. The two commodity portfolios are also found to explain part of the size, value and momentum anomalies. Conclusions regarding the pricing of the commodity risk factors are not an artifact driven by crude oil and are robust to the inclusion of financial and macroeconomic variables and to the addition of a composite leading indicator in the pricing model.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115251494","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: 6
Commodity Price Cycles and Financial Stability 商品价格周期和金融稳定
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-08-01 DOI: 10.2139/ssrn.2594266
Carola Moreno, Carlos Saavedra, Bárbara Ulloa
{"title":"Commodity Price Cycles and Financial Stability","authors":"Carola Moreno, Carlos Saavedra, Bárbara Ulloa","doi":"10.2139/ssrn.2594266","DOIUrl":"https://doi.org/10.2139/ssrn.2594266","url":null,"abstract":"Commodity exporter economies usually suffer when a boom in commodity prices ends, especially if the cycle ends abruptly. Furthermore, recent literature has highlighted the role of financial instability as either causing or aggravating financial and real crises. In this paper we look at these two aspects, and study the relationship between commodity prices, output growth and financial stability, the latter proxied by domestic credit growth. Given the asymmetry we observe in boom and bust cycles, we estimate the output cost of commodity price shocks on separate samples, with a special emphasis in emerging economies. In particular, we focus on the output cost of a commodity price reversal given the credit increase observed during a boom event. We find that, in line with previous literature, the correlation between commodity shocks and output growth decreases as economies are more open to financial markets. The novelty is that we also find that this correlation is higher when countries experience very rapid credit growth during the Upturn phase of a boom. That is, rapid credit growth –regardless of its initial level—exacerbates the cost of a commodity price reversal.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"3 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120854204","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: 5
Cross-Commodity Modelling by Multivariate Ambit Fields 多元边界场的跨商品建模
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2014-01-20 DOI: 10.2139/ssrn.2381841
O. Barndorff-Nielsen, F. Benth, Almut E. D. Veraart
{"title":"Cross-Commodity Modelling by Multivariate Ambit Fields","authors":"O. Barndorff-Nielsen, F. Benth, Almut E. D. Veraart","doi":"10.2139/ssrn.2381841","DOIUrl":"https://doi.org/10.2139/ssrn.2381841","url":null,"abstract":"This paper proposes a multivariate model for commodity forward curves which is based on multivariate ambit fields.We show how a multivariate ambit field can be used to describe complex dependencies between commodities while staying in a tractable multivariate martingale framework. Moreover, we study in detail how spread options can be priced in our new ambit framework. Here we consider both calendar spreads written on one commodity as well as spread options on different commodity futures.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121769617","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: 16
Modeling Seasonality in Commodity Price Dynamics 商品价格动态中的季节性建模
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2013-03-20 DOI: 10.2139/ssrn.2503252
Yanping Chong, Weixian Kong, Matthew Tochterman, Junyue Xu, Hangying Yu
{"title":"Modeling Seasonality in Commodity Price Dynamics","authors":"Yanping Chong, Weixian Kong, Matthew Tochterman, Junyue Xu, Hangying Yu","doi":"10.2139/ssrn.2503252","DOIUrl":"https://doi.org/10.2139/ssrn.2503252","url":null,"abstract":"The industry standard model for commodity price dynamics implies constant correlation between returns of futures with different tenors. We extend the model by allowing its parameters to vary over time. This practice enables us to capture the seasonality effect embedded in the evolution of a commodity futures curve in addition to the seasonal patterns observed in the futures curve term structure. We use a storage valuation problem as an example to illustrate how to apply our model in practice.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125264475","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: 1
Determinants of Volatile Commodity Prices 商品价格波动的决定因素
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2013-01-15 DOI: 10.2139/ssrn.2201080
V. Varadi
{"title":"Determinants of Volatile Commodity Prices","authors":"V. Varadi","doi":"10.2139/ssrn.2201080","DOIUrl":"https://doi.org/10.2139/ssrn.2201080","url":null,"abstract":"Recent hikes and fluctuations in global commodity prices in 2007-11 have raised many issues. The present analysis is an attempted advancement to identify appropriate associations to volatile commodity prices by advancing existing analysis of S&P GSCI commodity spot price index is used as a proxy for global commodity prices for the period June-1996 to June-2011 monthly time series. In this paper, we have made an attempt to identify more determine factors for recent hike and fluctuations in global commodity prices, including, monetary policies, macro economic factors, financialization in commodity markets and impact of various other commodity prices. Empirical evidence is that there is a negative relationship existing with monetary policy, mixed evidence with macro economic indicators and positive impact of financialization of commodity markets. And various commodities such as crude oil and non-energy commodities are having significant effect on volatile commodity prices.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123775444","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
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