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 63 for “"futures markets"”.
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Three Essays on Futures Markets
… of the spot return and the correlation between futures and spot prices. The studies identify that the optimal hedge ratios are relatively sensitive to transaction fees and heterogeneous expectations of futures returns particularly when the spot returns are low. In addition, the optimal …
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Two Essays on Oil Futures Markets
… of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information share of …
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Information transmission in energy futures markets
… process has been dominated by two crude oil futures markets: the New York Mercantile Exchange (NYMEX) and London's International Petroleum Exchange (IPE). To date considerable work has been done to scrutinize the degree to which these two markets price efficiently, but little with regard to …
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Three essays in commodity futures markets
… 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 Working curve for CBOT corn, soybeans, and wheat markets and the KCBT wheat market using 1990-2010 data. Two spread …
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Risk in Brazilian Stock and Futures Markets
This thesis examines risk in Brazilian financial markets focusing on two questions: (i) Does volatility in emerging stock markets follow the time patterns observed in more traditional markets? and (ii) Can emerging futures markets in LDC's perform their classic functions of hedge provision and …
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Implied Transaction Costs in Agricultural Futures Markets
… makers to develop a better understanding of markets and to make appropriate decisions.
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Price distortions in the commodity futures markets
… 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 speculation …
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Three essays on bubbles in agricultural futures markets
… to test and understand bubbles in agricultural futures markets. Building on current bubble literature, the dissertation applies a recent-developed forward and backward recursive bubble testing procedure that is capable of date-stamping the exact origination and termination dates of multiple …
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Essays on extreme events in agricultural futures markets
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-08-01
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Market Conditions and the Functioning of Metal Futures Markets
… within the financial sector. The commodity futures markets have been successfully providing a platform for investors and industrial participants as an alternative investment vehicle and a tool for risk management. The storable commodity futures markets are characterised by two distinct …
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Price volatility and liquidity cost in grain futures markets
Significant changes have taken place in grain futures markets. This dissertation consists of three essays investigating issues in the price volatility and liquidity cost in grain futures markets influenced by these changes. The first essay examines the sources of long memory in three major grain …
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Price jumps and volatility in U.S. agricultural futures markets
Agricultural commodity futures markets have changed with the arrival of electronic trading. Electronic trading platforms have facilitated the emergence of automated systems in these markets which are now experiencing a race among traders to gain speed in implementing transactions. This new trading …
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Analyzing frequent acquires in emerging markets and futures markets linkage
… the returns to frequent acquirers from emerging markets and analyzes the cross-country variations in cumulative abnormal returns. The sample consists of 5,147 transactions carried out by firms from 17 common and civil-law countries during the period of January 1985 to June 2008. I find that 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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The Profitability of Technical Trading Rules in United States Futures Markets
… significant economic profits only for 2 of 17 US futures markets over 1985--2004. This evidence suggests that technical trading rules in general have not been profitable in US futures markets over the last 20 years after correcting for data snooping biases.
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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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Stabilizing export revenue through futures markets: an application to cocoa exporting countries
… even among producers has proven ineffective. Futures market is an obvious choice since well organized futures markets exist for most of the primary commodities. The present study investigated the potential of futures markets as a means of obtaining lower variance in revenue using the data from …
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The efficiency of the oil futures markets: information, price discovery and long memory
… investigates the efficiency of the crude oil futures markets by addressing four important issues using different theoretical and methodological perspectives. Data of different frequencies was employed in the analysis covering the period 2000 to 2011. First, the short and long term efficiency …
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Index participation units and the performance of index futures markets and index options markets
… of SPDRs on the pricing efficiency of S&P 500 futures market and S&P 500 options market. Using a measure of efficiency that is based on the signed difference between the observed futures price and the theoretical futures price as per the Cost of Carry model, we find that the positive mispricing …
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