Spill over effects of futures contracts initiation on the cash market: a regime shift approach

2009 ◽  
Vol 34 (1) ◽  
pp. 95-143 ◽  
Author(s):  
George A. Karathanassis ◽  
Vasilios I. Sogiakas
Keyword(s):  
Regime Shift ◽  
Futures Contracts ◽  
Cash Market

An Empirical Test of Cross-Market Efficieny of Indian Index Options Market Using Put-Call Parity Condition

2015 ◽  
Vol 6 (2) ◽  
Author(s):  
Debaditya Mohanti ◽  
P. K. Priyan
Keyword(s):  
Sensitivity Analysis ◽  
Market Efficiency ◽  
Transaction Cost ◽  
Empirical Test ◽  
Futures Contracts ◽  
Options Market ◽  
Futures Prices ◽  
Index Options ◽  
Cash Market ◽  
Parity Condition

The purpose of the present study is to examine the cross market efficiency of the Indian index options, futures and cash market by testing S&P CNX Nifty index options, by Put-Call Parity condition using spot index values and futures prices. Over a period from April 01, 2008 to March 31, 2012, the daily closing prices of nifty index options contracts, spot values and futures contracts have been used in this research. The results of the sensitivity analysis of violations with respect to time to maturity and moneyness demonstrates that the majority of violations in options contract are exploitable, however, the proportion of exploitable violations severely falls after considering the transaction cost, as most of the profits were wiped out and showing negative profits. Thus, although the Indian index options market shows traces of inefficiency, in totality it is suggested that the Indian index options market is efficient as majority of violations are un-exploitable after incorporating transaction cost.

On the Pacific Ocean regime shift

2001 ◽  
Vol 28 (19) ◽  
pp. 3721-3724
Author(s):  
Cathy Stephens
Keyword(s):  
Pacific Ocean ◽  
Regime Shift ◽  
The Pacific ◽  
The Pacific Ocean

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

Hedging House Price Risk with Futures Contracts after the Bubble Burst

2014 ◽  
Author(s):  
Patrick J. Schorno ◽  
Steve Swidler ◽  
Michael D. Wittry
Keyword(s):  
House Price ◽  
Futures Contracts ◽  
Price Risk ◽  
Bubble Burst ◽  
House Price Risk
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