Cross-Market Price Mechanism Between the US Copper Futures Market and a Newly Proposed Chinese Dollar Index

2016 ◽  
pp. 741-747
Author(s):  
Ikhlaas Gurrib
Keyword(s):  
Market Price ◽  
Futures Market ◽  
Price Mechanism ◽  
The Us

Crop price insurance in China: pricing and hedging using futures market

2017 ◽  
Vol 9 (4) ◽  
pp. 567-587 ◽  
Author(s):  
Minghua Ye ◽  
Rongming Wang ◽  
Guozhu Tuo ◽  
Tongjiang Wang
Keyword(s):  
Market Price ◽  
Futures Market ◽  
Insurance Premium ◽  
Spot Price ◽  
Agricultural Commodity ◽  
Content Type ◽  
Price Series ◽  
Insurance Firms ◽  
Price Insurance ◽  
S Model

Purpose The purpose of this paper is to demonstrate how crop price insurance premium can be calculated using an option pricing model and how insurers can transfer underwriting risks in the futures market. Design/methodology/approach Based on data from spot and futures market in China, this paper develops an improved B-S model for the calculation of crop price insurance premium and tests the possibility of hedging underwriting risks by insurance firms in the futures market. Findings The authors find that spot price of crops in China can be estimated with agricultural commodity futures prices, and can be taken as the insured price for crop price insurance. The authors also find that improved B-S model yields better estimation of crop price insurance premium than traditional B-S model when spot price does not follow geometric Brownian motion. Finally, the authors find that hedging can be one good alternative for insurance firms to manage underwriting risks. Originality/value This paper develops an improved B-S model that is data-driven in nature. Insured price of the crop price insurance, or the exercise price used in the B-S model, is estimated from a co-integration model built on spot and futures market price series. Meanwhile, distributional patterns of spot price series, one important factor determining the applicability of B-S model, is factored into the improved B-S model so that the latter is more robust and friendly to data with varied distributions. This paper also verifies the possibility of hedging of underwriting risks by insurance firms in the futures market.

The relative attractiveness of US LNG exports—is the threat to Australian projects real?

2015 ◽  
Vol 55 (2) ◽  
pp. 420
Author(s):  
Vivek Chandra
Keyword(s):  
Gulf Coast ◽  
Capital Expenditure ◽  
Low Cost ◽  
Market Price ◽  
Oil Prices ◽  
Unit Costs ◽  
Sales Contracts ◽  
The Us ◽  
Relative Attractiveness ◽  
High Feed

The competitiveness of Australian LNG projects against US projects has been a subject of much debate; however, as oil prices have fallen since mid-2014, the debate has shifted from the relative commercial terms of the LNG sales contracts to the relative cost of supply. Falling oil prices have decreased the price of LNG in the traditionally oil-linked price markets of Asia. A lower cost of LNG will increase the demand for gas, especially in the power generation sector. New gas supplies would be required to meet increased demand, but the new supply must be at a competitive cost. The market price will be set by the marginal cost of incremental supply. Legacy projects in Southeast Asia, the Middle East and Australia are unable to increase their volumes. The only other source of incremental supply that can profitably sell at these lower prices are new projects in the US Gulf Coast. Australian greenfield projects will not be able to sell at these prices as they suffer from high capital expenditure (capex), high feed gas prices and high operating costs. In contrast, US Gulf Coast LNG projects are being constructed at significantly lower unit costs, have access to massive low-cost shale gas volumes and will operate at low costs using standard technology. These projects are ideally placed to operate in the lower priced environment, irrespective of the LNG sales contracts’ commercial terms.

scholarly journals An Empirical Study on Effects of US Treasury Futures Market on the KTB Futures Market and Its Information Transfer Effect – Mainly after the Global Financial Crisis

2015 ◽  
Vol 7 (12) ◽  
pp. 262
Author(s):  
Kim Sung-Hyun ◽  
Park Sang-Bum
Keyword(s):  
Financial Crisis ◽  
Information Transfer ◽  
Global Financial Crisis ◽  
Futures Market ◽  
Future Market ◽  
Risky Assets ◽  
The Us ◽  
Treasury Market ◽  
The Global Financial Crisis ◽  
Treasury Futures

Since the Global Financial Crisis in 2008, funds have been moved to safe assets from previously preferred risky assets on a global basis. Moreover, the financial crisis ignited in the U.S.A. led to strong quantitative easing policies, which played a major variable in the monetary policies of the major countries. So, the US treasury yield rates and Korean counterpart have showed signs of being synchronized. On the other hand, foreigners’ investments on Korean bonds became accelerated; the amount invested to Korean treasury by foreigners as well as their influence in the Korean treasury market has been expanded. Particularly, investment on the 10 year treasury bonds has increased, which spread influence of the Korean treasury market. In this regard, the study analyzed effects of the US treasury market on Korean counterpart. In order to analyze the volatility transfer effects from US treasury market to the KTB future market, in consideration of the synchronized maturity dates of the treasury and the officially announced prices, data on US 10 year treasury futures index and Korean 10 year treasury futures index . GARCH model was used for empirical analysis. Effects of the daily volatility and direction of US 10 year treasury futures index on the Korean counterpart was analyzed. Through the analysis, it was confirmed that information was transferred to the yield of Korean 10 year treasury futures index from the US counterpart. The study will be able to help establish more rational and efficient strategy for bond investment and operation.

scholarly journals Market Reactions to Audit Committee Director’s Gender: Evidence from US-Traded Foreign Firms

2011 ◽  
Author(s):  
Hua-Wei Huang ◽  
Yun-Chia Yan ◽  
James M. Fornaro ◽  
Ahmed Elshahat
Keyword(s):  
Audit Committee ◽  
Gender Diversity ◽  
Market Price ◽  
Abnormal Returns ◽  
Foreign Firms ◽  
Market Reactions ◽  
Market Participants ◽  
Positive Message ◽  
The Us ◽  
The Impact

This study investigates whether the appointment of a female to the audit committee of a foreign issuer in the US is positively associated with subsequent market price reaction. We hypothesize that female members on the audit committee can strengthen corporate governance by their conservative and ethical qualities. Accordingly, such appointments deliver a positive message to capital market participants. In order to observe the impact of audit committee gender diversity on foreign firms, we include all audit committee appointments of US-traded foreign firms from 2002 to 2009. We find that the appointment of female audit committee members has significant positive cumulative abnormal returns compared to the appointment of male audit committee members.  

A Comparative Analysis of Informational Efficiency of KOSDAQ50 and KOSPI200 Index Futures

2003 ◽  
Vol 11 (2) ◽  
pp. 27-49
Author(s):  
Bae Gi Hong ◽  
Su Jae Jang
Keyword(s):  
Futures Markets ◽  
Market Price ◽  
Futures Market ◽  
Spot Price ◽  
Informational Efficiency ◽  
Information Efficiency ◽  
Index Futures ◽  
Volume Relationship ◽  
Futures Price ◽  
Volume Relation

This paper examines the information efficiency of KOSDAQ50 and KOSPI200 index futures markets. The study analyzes and compares both markets in three respects : 1) price discovery (lead-lag relationship between spot and futures markets.), 2) volatility-volume relationship, and 3) mispricings between spot and futures prices. The first, analysis shows the in the KOSPI200 market, futures price leads spot price. While spot price leads futures price in the KOSDAQ50 market. The second analysis shows that the volatility-volume relation is positive in the KOSPI200 futures market, supporting the hypothesis of mixture of distribution. In contrast, there is little relation between volume and volatility in the KOSDAQ50 futures market. This result casts doubt that the futures market price reflects information. The last analysis shows that the magnitude of mispricing becomes smaller with more volume in the KOSPI200 futures market, while it becomes larger with more volume in the KOSDAQ50 futures market. The overall results imply that the KOSDAQ50 futures market is less informationally efficient that the KOSPI200 market. The inefficiency appears due to the lack of institutional investor participation, especially securities firms, in making up the market.

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