Journal of Commodity Markets最新文献_第8页

Hedging with futures during nonconvergence in commodity markets 在商品市场非收敛期间用期货对冲

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-10-11 DOI: 10.1016/j.jcomm.2023.100364

Alankrita Goswami , Berna Karali , Michael K. Adjemian

{"title":"Hedging with futures during nonconvergence in commodity markets","authors":"Alankrita Goswami , Berna Karali , Michael K. Adjemian","doi":"10.1016/j.jcomm.2023.100364","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100364","url":null,"abstract":"<div><p>Hedging in grain futures markets offers market participants the opportunity to mitigate the price risk in spot markets by taking offsetting positions in futures. The performance of a traditional minimum variance hedge ratio (MVHR) relies on the correlation between the spot and futures price changes. During 2005–2010, delivery-location cash prices for several crops decoupled from the prices for their related expiring futures contracts—raising concerns over the hedging effectiveness of these contracts. We investigate how short hedgers, like farmers, performed during periods with and without convergence in corn, soybean, and wheat markets. We show that, <em>ex post</em>, MVHR, often does not minimize the variance of wheat producers’ profits during nonconvergence when compared to a range of other hedging choices. We also find that the performance of MVHR weakens during years with low carryover. We further assess hedging performance of MVHR and other hedge ratios in achieving higher net selling prices, and find that nonconvergence particularly impairs their performance in the wheat market where the nonconvergence anomaly was the most prominent. Taken together, our results raise questions on the role of futures markets as risk management tools during nonconvergence episodes regardless of how the hedge ratio is chosen.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100364"},"PeriodicalIF":4.2,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The evolution of commodity market financialization: Implications for portfolio diversification 商品市场金融化的演变:对投资组合多样化的影响

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-21 DOI: 10.1016/j.jcomm.2023.100360

Renée Fry-McKibbin, Kate McKinnon

引用次数: 0

The Fortune and crash of common risk factors in Chinese commodity markets 中国大宗商品市场常见风险因素的兴衰

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100362

Hemei Li , Zhenya Liu , Yuqian Zhao

引用次数: 0

Exploring volatility of crude oil intraday return curves: A functional GARCH-X model 探讨原油日内收益曲线的波动性:一个函数GARCH-X模型

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-15 DOI: 10.1016/j.jcomm.2023.100361

Gregory Rice , Tony Wirjanto , Yuqian Zhao

{"title":"Exploring volatility of crude oil intraday return curves: A functional GARCH-X model","authors":"Gregory Rice , Tony Wirjanto , Yuqian Zhao","doi":"10.1016/j.jcomm.2023.100361","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100361","url":null,"abstract":"<div><p>Crude oil intraday return curves collected from commodity futures markets often appear to be serially uncorrelated and long-range conditionally heteroscedastic. We model this stylised feature with a newly proposed functional GARCH-X model and use it to forecast crude oil intraday volatility. The predicted intraday volatility provides important economic implications in crude oil commodity futures markets in both intraday risk management and utility benefits improvements. The functional GARCH-X model provides a remarkable correction to modelling crude oil volatility in terms of an in-sample fitting, although its out-of-sample performances in forecasting intraday risk measures do not appear to be significantly superior to that of the existing functional GARCH(1,1) model. However, the FGARCH-X model, with its flexibility to capture long-range dependence and potential seasonality, does confer substantial economic benefits by embedding inter-daily volatility forecasts. Methodologically, we show that the new model has a well-behaved stationary solution, and we also address the inherent and critical issues associated with the estimation of functional volatility models by introducing novel data-driven, non-negative and predictive basis functions in the estimation process.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"32 ","pages":"Article 100361"},"PeriodicalIF":4.2,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49880682","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

What moves commodity terms-of-trade? Evidence from 178 countries 是什么影响了商品贸易条件?来自178个国家的证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-11 DOI: 10.1016/j.jcomm.2023.100359

Yousef Makhlouf , Neil M. Kellard , Dmitri Vinogradov

引用次数: 0

Psychological price barriers, El Niño, La Niña: New insights for the case of coffee 心理价格壁垒、厄尔尼诺、拉尼娜现象：咖啡案例的新见解

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100350

Mark J. Holmes , Jesús Otero

引用次数: 0

Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions? 原油和股票市场之间的动态联系:公司的偿付能力和盈利能力状况的影响是什么?

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100348

Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen

{"title":"Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?","authors":"Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen","doi":"10.1016/j.jcomm.2023.100348","DOIUrl":"https://doi.org/10.1016/j.jcomm.2023.100348","url":null,"abstract":"<div><p>The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100348"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Carr and Wu’s (2020) framework in the oil ETF option market Carr和Wu(2020)在石油ETF期权市场中的框架

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2023.100334

Xiaolan Jia , Xinfeng Ruan , Jin E. Zhang

引用次数: 0

Trading time seasonality in electricity futures 电力期货交易时间的季节性

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100291

Ståle Størdal , Christian-Oliver Ewald , Gudbrand Lien , Erik Haugom

{"title":"Trading time seasonality in electricity futures","authors":"Ståle Størdal , Christian-Oliver Ewald , Gudbrand Lien , Erik Haugom","doi":"10.1016/j.jcomm.2022.100291","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100291","url":null,"abstract":"<div><p>Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed for varying maturities. This type of seasonality is linked to the pricing kernel which in turn accounts for seasonal changes in preferences of agents and tied to risk aversion and thus the demand for hedging. In the present study we empirically examine trading time seasonality in yearly Nordic and German electricity futures contracts. Visual inspection of both average monthly futures prices and the futures backward curves provides strong indications of futures prices systematically varying over the trading year. On average both Nordic and German futures prices are lowest in first quarter and highest in third quarter trading months. This is confirmed by statistical tests of stochastic dominance. Exploiting this insight in a simple trading strategy induces positive and significant alphas in the sense of the capital asset pricing model. We relate the findings to potential seasonal risk preferences and hedging pressure in the electricity futures market.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100291"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Equilibrium and real options in the ethanol industry: Modeling and empirical evidence 乙醇工业中的均衡和实物期权:建模和经验证据

IF 4.2 4区经济学

Journal of Commodity Markets Pub Date : 2023-09-01 DOI: 10.1016/j.jcomm.2022.100292

Matt Davison , Nicolas Merener

{"title":"Equilibrium and real options in the ethanol industry: Modeling and empirical evidence","authors":"Matt Davison , Nicolas Merener","doi":"10.1016/j.jcomm.2022.100292","DOIUrl":"https://doi.org/10.1016/j.jcomm.2022.100292","url":null,"abstract":"<div><p>In the last twenty years a large number of ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at or beyond the mandate set by the government. We propose an equilibrium model for blenders and producers that accounts for government measures and for real optionality embedded in the industry<span>. The model, driven by corn and gasoline prices, leads to analytical expressions for the price and output of ethanol, and to policy implications on the impacts of the mandate and blend credit. The model also leads to closed form valuation for an ethanol producer. Using data between 2000 and 2017 we confirm that, as in the model, ethanol was largely priced as the maximum of rescaled gasoline and corn prices. Historical output levels between the mandate and installed capacity were explained by our theory. Finally, the share price dynamics for the largest public ethanol producer in the US was consistent in some aspects with the value of a real option.</span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100292"},"PeriodicalIF":4.2,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49863227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0