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 lies the type of settlement system associated with the futures contract. The general objective of the thesis is to analyze the present delivery system in the Chicago Board of Trade corn and soybean contracts, alternative physical delivery systems, and cash settlement systems. More precisely, the specific objectives of the study are: (1) to assess and compare the feasibility of alternative settlement delivery systems for corn and soybeans; (2) to develop a method for estimating optimal weights in a cash settlement index that minimizes basis risk; the value of the weighing scheme will be assessed relative to simple-average weights; (3) to construct an index where locations of the underlying prices are randomly selected in a manner which attempts to maintain a ""consistent"" index while inhibiting manipulation incentives."

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Agricultural Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Chaherli, Nabil Mohamed

Contributors dc:contributor

• Hauser, Robert J.

• Economics, Agricultural
• Economics, Finance

Statement dc:rights

• Copyright 1995 Chaherli, Nabil Mohamed

Language dc:language

eng

Identifier

AAI9522088
(UMI)AAI9522088

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/21149