The Data: The Long Gilt Futures Contract

1997 ◽  
pp. 125-136 ◽  
Author(s):  
Jason Kingdon
Keyword(s):  
Futures Contract

EFFECTIVE CROSS HEDGING: EVIDENCE FROM PHYSICAL CRUDE PALM OIL AND ITS INTER-RELATED AGRICULTURAL FUTURES CONTRACTS

2018 ◽  
Vol 17 (2) ◽  
pp. 123
Author(s):  
Noryati Ahmad ◽  
Ahmad Danial Zainudin ◽  
Fahmi Abdul Rahim ◽  
Catherine S F Ho
Keyword(s):  
Palm Oil ◽  
Futures Contracts ◽  
Crude Palm Oil ◽  
Oil Futures ◽  
Futures Contract ◽  
Agricultural Futures ◽  
Cross Hedging ◽  
Optimal Hedge ◽  
Excessive Speculation ◽  
Chicago Board Of Trade

Since its establishment, Crude Palm Oil futures contract (FCPO) has been used to directly hedge its physical crude palm oil (CPO). However, due to the excessive speculation activities on crude palm oil futures market, it has been said to be no longer an effective hedging tool to mitigate the price risk of its underlying physical market. This triggers the need for market players to find possible alternatives to ensure that the hedging role can be executed effectively. Thus this investigation attempts to examine whether other inter-related grains and oil seed futures contracts could serve as effective cross-hedging mechanisms for the CPO. Weekly data of inter-related futures contracts from Chicago Board of Trade (CBOT) and Dalian Commodity Exchange (DCE) are employed to cross hedge the physical crude palm oil prices. The study starts from 2006 until 2016. Empirical results indicate that FCPO is still the best futures contract for hedging purposes while Chicago Soybean (CBOTBO) provides second best alternative if cross-hedging is considered. Keywords: Crude palm oil, Crude palm oil futures, Cross Hedging, Optimal Hedge Ratio, Effective Hedging

The Life Cycle of a Currency Futures Contract

2020 ◽  
pp. 114-136
Author(s):  
О.Yu. Korshunov ◽  
E.A. Kashcheeva
Keyword(s):  
Life Cycle ◽  
Futures Contract ◽  
Currency Futures

Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks

1993 ◽  
Vol 66 (2) ◽  
pp. 171 ◽  
Author(s):  
Narasimhan Jegadeesh ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Index Futures ◽  
Futures Contract ◽  
Underlying Stocks

Is It Time to Split the S&P 500 Futures Contract?

1998 ◽  
Vol 54 (1) ◽  
pp. 23-35 ◽  
Author(s):  
Roger D. Huang ◽  
Hans R. Stoll
Keyword(s):  
Futures Contract

scholarly journals Investment and Margin Risk Analysis of Robusta Coffee Futures Contract at Jakarta Futures Exchange

2021 ◽  
Vol 1863 (1) ◽  
pp. 012056
Author(s):  
Puspa Renggani ◽  
I Made Sumertajaya ◽  
Farit Mochamad Afendi ◽  
Retno Budiarti
Keyword(s):  
Risk Analysis ◽  
Futures Contract ◽  
Robusta Coffee

Optimal futures contract design

1995 ◽  
Vol 35 (2) ◽  
pp. 153-162 ◽  
Author(s):  
Elizabeth Tashjian
Keyword(s):  
Contract Design ◽  
Futures Contract

Financial ETNs and Certificates on Nordic Power Contracts

2018 ◽  
Keyword(s):  
Interest Rate ◽  
Exchange Rates ◽  
Futures Market ◽  
Stock Exchanges ◽  
Investment Activity ◽  
Futures Contract ◽  
Retail Investors ◽  
Daily Change ◽  
Exchange Traded Notes ◽  
The Interest Rate

This article presents the first description and analysis of the exchange-traded notes (ETNs) and certificates tracking the Nordic power futures market that enable retail investors to hedge and trade on the Oslo and Stockholm Nordic stock exchanges. We investigate the impacts of the underlying front-quarter futures contract, its daily change, the roll cost, the EUR/NOK and EUR/SEK exchange rates, and the interest rate level and fees on the ETNs and certificates. An analysis of the ETNs and certificates on the Nordic stock exchanges from December 2010 to February 2015 shows continual investment activity, even though prices were in a consistent downtrend during the period. We conclude with a description of some strategies which retail investors can use.

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