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.
Results
Showing 1 to 9 of 9 for “"backwardation"”.
-
Two Essays on Oil Futures Markets
… the US Dollar exchange rate volatility on the backwardation of crude oil futures during the period from January 1986 to December 2008. The results indicate that oil futures are strongly and weakly backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation …
-
Market Conditions and the Functioning of Metal Futures Markets
… characterised by two distinct market conditions: backwardation and contango, which are directly linked to market fundamentals such as inventory levels and thus influence the price dynamics and functioning of the commodity futures market. While there exists a large body of research in the area of …
-
Intertemporal Price Relationships of Storable and Nonstorable Commodities: Theory and Application
… explanation is needed. Keynes' theory of normal backwardation suggests that a risk premium, which a hedger pays to transfer risk, exists in futures markets. However, Working's theory of price of storage suggests that hedgers participate in the futures market in pursuit of profit and the arbitrage …
-
Three essays in commodity futures markets
… essay we investigate storage in the presence of backwardation and the existence of the Working curve for CBOT corn, soybeans, and wheat markets and the KCBT wheat market using 1990-2010 data. Two spread measures—the futures-spot and futures-futures—are matched with deliverable stocks on the first …
-
On commodity trading strategies: momentum, term structure, maturity, indexation
… Commodity futures, Momentum, Term Structure, Backwardation, Contango, Diversification, Commodity indices
-
Essays on the empirical analysis of energy risk
… of oil: different market conditions, such as backwardation and contango, involve different dynamics. The first empirical part examines the very short-end of the futures curve volatility. To address in a realistic way the potential diverse response of oil volatility to fundamentals across high …
-
An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… oil futures participants are more sensitive in backwardation. Finally, we study the market microstructure of TOCOM by analysing the determinants of bid-ask spread components, and examine the asymmetric impact of sell-initiated and negative-return trading volume on bid-ask spread. It is evident …
-
You can't squeeze blood out of a turnip: misconceptions of commodity investments and their disappointing returns
This thesis examines questions about long-only commodity investment performance compared to underlying commodity performance. Recent returns have been nothing short of disappointing to investors. A divergence in price has developed between some commodity funds and the observed price of the …