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 20 of 46 for “"commodity futures"”.
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Three essays in commodity futures markets
… contemporary issues in diverse themes including commodity storage theory, livestock marketing and price discovery, and intraday announcement effects in electronic futures markets are presented. In the first essay we investigate storage in the presence of backwardation and the existence of the …
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Media news sentiment and Commodity futures dynamics
… the impact of media news on the dynamics of commodity futures returns. To achieve this, the study examines the impact of news sentiment in both time-series and cross-sectional settings. This thesis also proposes and tests a new risk factor, media emotion intensity, to explore its value in …
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Price distortions in the commodity futures markets
… A certain level of speculation is required for commodity futures markets to function. On the other hand, certain types of trading activities by speculators may damage a market's price discovery function and in turn its hedging function. However, there is great disagreement as to which types of …
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Assessing out-of-sample hedging performance with commodity futures
… and unconditional hedging strategies in the corn futures market from 2002 to 2019. The out-of-sample performance is captured by new measures of hedging effectiveness that are fundamentally tied to basis and net price. The findings include that optimal hedge ratios based on price changes, and the …
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Is liquidity provision that informative? Evidence from commodity futures markets
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01
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Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?
… to evaluate the performance of eleven nearby commodity futures contracts (NCFC) using a sample of 897 daily price observations and at-the-money (ATM) put and call implied volatilities of the corresponding prices for the period from 1/16/2008 to 7/29/2011. The statistical approach employs …
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Commodity futures market reaction to anticipated public reports: Frozen pork bellies
… the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts of the USDA estimate two days prior to the estimate provided by the USDA. A rational expectations model is developed to study how futures …
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Financial Results of Trading Commodity Futures Contracts: Speculating Public and Commercial Traders
Made available in DSpace on 2014-12-11T23:19:52Z (GMT). No. of bitstreams: 1 7405681.pdf: 6307658 bytes, checksum: 76716c4e45c32855e087fac2dc9e870b (MD5) Previous issue date: 1973
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The risk management effects of alternative settlement specifications in commodity futures markets
"The economic function of a futures market is performed efficiently only when a high level of competition exists among the participants. The prevention of distortions such as ""squeezes"" or ""corners"" has been an area of major concern for futures institutions. At the heart of such distortions …
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A sentiment-based approach to convenience yield dynamics in commodity futures markets
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2025-10-19 without embargo terms
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Comparative analysis of cash margin hedging strategies with commodity futures contracts and options
The performance of futures contracts and commodity options as hedging instruments were compared in a cash margin hedging framework for a 150 sow farrow to finish hog operation in southeastern Virginia. The expected cash margin (ECM) using corn soybean meal and hog futures were calculated daily from …
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The Determinants of Liquidity and the Role of the Market-Maker in Commodity Futures Markets
… the issue of liquidity in corn and oats futures contracts traded on the Chicago Board of Trade, in particular the factors that influence liquidity in futures markets are analyzed. Several methods from futures and securities literature are used to estimate average liquidity costs for both …
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A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems
… in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The …
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The role of information asymmetry and the level of market trading activity in shaping the time-to-maturity pattern of futures return volatility
… on the Samuelson effect, which postulates that futures return volatility increases closer to maturity when the futures price becomes more sensitive to information flows. First, I empirically investigate Hong’s (2000) theoretical suggestion that information asymmetry has an impact on the …
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Transaksi bisnis pada perdagangab berjangka komoditi dalam perspektif keuangan Islam: Studi kasus pada PT. Victory Internatioal Futures Cabang Malang
… yang dilakukan di PT. Victory International Futures. Dan kedua, mendiskripsikan transaksi pada perdagangan berjangka komoditi dalam perspektif keuangan Islam. Penelitian ini menggunakan pendekatan kualitatif deskriptif dimana tujuannya adalah untuk menggambarkan secara sistematis tentang …
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Essays on Financial Market Interdependence
… the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. Chapter 2 proposes a binary response model approach to measure …
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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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