Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 10 of 10 for “"Commodity Index"”.
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Limits to Arbitrage and Commodity Index Investment
The dramatic growth of commodity index investment over the last decade has caused a heated debate regarding its impact on commodity prices among legislators, practitioners and academics. This paper focuses on the unique rolling activity of commodity index investors in the commodity futures markets …
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Three Essays On Agricultural Futures Traders
… old questions; these include the impact on commodity prices, the profitability of traders, and the existence of trading skill. To address these questions twelve commodity markets are chosen to capture the majority of agricultural trading on organized futures markets and encompass the …
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On commodity trading strategies: momentum, term structure, maturity, indexation
… the presence of idiosyncratic characteristics in commodity futures markets that lead to profitable trading strategies, effectively testing the efficiency of commodity markets. First, short-term continuation and long-term reversal in commodity futures prices are examined. While contrarian …
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Roll related return in the S&P GSCI Excess Return Index
Standard & Poor’s Goldman Sachs Commodity IndexTM (S&P GSCI) is the largest tradable commodity index fund in the world with more than $80 billion in S&P GSCI-related investments. Investors have been led to believe that investing in the S&P GSCI during periods of rising commodity prices will be …
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Essays on commodity investing and volatility risk
… of three essays that investigate issues in commodity investing and volatility risk in commodity futures markets. The first essay evaluates the usefulness of commodities in a portfolio by examining multiple commodity instrument tools and by controlling for estimation error. Using data from …
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Essays in Global Commodity Prices and Realised Volatility
… monthly predictions of an aggregate measure of commodity prices (S&PGSCI) by comparing their Root Mean Squared Error (RMSE) to that from the usual benchmark AR (1). The Mixed Data Sampling models (MIDAS) allow us to obtain forecasts by keeping variables at their original frequencies and …
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Essays in Macro Finance
… premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come …
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Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.
… studies, this study applies the Goldman Sachs Commodity Index (GSCI) methodology to measure the risk and return profile of crude oil. The results show that crude oil is negatively correlated with stocks so adding crude oil into a portfolio with equities can provide significant diversification …
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Three essays on commodity markets
… essays that investigate issues in agricultural commodity futures and cash markets. The first essay uses price discovery measures and intraday data to quantify the proportional contribution of nearby and deferred contracts in price discovery in the corn and live cattle futures markets. On …
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Price volatility and liquidity cost in grain futures markets
… and percentage changes in BAS occur during commodity index roll periods and on USDA report release days. The roll period findings point to a sunshine trading effect, while announcement effects identify the importance of unexpected information and adverse selection on order execution costs. …