Trading activity and price behavior in Chinese agricultural futures markets

2016 ◽  
Vol 18 ◽  
pp. 52-59 ◽  
Author(s):  
Xiaolin Wang ◽  
Qiang Ye ◽  
Feng Zhao
Keyword(s):  
Futures Markets ◽  
Price Behavior ◽  
Trading Activity ◽  
Agricultural Futures

Financialization of Commodity Markets

2018 ◽  
Author(s):  
Kyle J. Putnam
Keyword(s):  
Business Cycle ◽  
Futures Markets ◽  
Commodity Price ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Futures Prices ◽  
Price Behavior ◽  
Risk And Return ◽  
Commodity Futures Markets ◽  
Asset Class

In the early 2000s, financial investors began pouring billions of dollars into the commodity futures markets seeking the unique investment benefits of this distinct asset class. This “financialization” process has called into question the fundamental risk and return properties of commodity futures as evidence has emerged favoring the idea that the massive increase in investor flows caused a rise in futures prices, volatility, and intra- and intermarket return correlations. However, a contrarian line of research contends that the effects of the new “speculative” capital on the futures markets are unsubstantiated and the increased participation of financial investors poses little consequence to the economics of the marketplace. This latter line of literature maintains that the investment benefits of commodity futures have not been diminished and that fundamental factors and business cycle variations can explain the observed changes in commodity price behavior.

scholarly journals Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data

2017 ◽  
Vol 34 (69) ◽  
pp. 3-23
Author(s):  
Jeremías Lachman ◽  
Pablo Jack
Keyword(s):  
Comparative Analysis ◽  
Information Transmission ◽  
Market Efficiency ◽  
Futures Markets ◽  
Buenos Aires ◽  
Relevant Information ◽  
Futures Market ◽  
Daily Data ◽  
Agricultural Futures ◽  
The One

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

scholarly journals FX counterparty risk and trading activity in currency forward and futures markets

2012 ◽  
Vol 21 (3) ◽  
pp. 102-110 ◽  
Author(s):  
Richard M. Levich
Keyword(s):  
Futures Markets ◽  
Counterparty Risk ◽  
Trading Activity

Assessing the relationship between closing prices and trading volume in the US livestock futures markets

2020 ◽  
Vol 37 (3) ◽  
pp. 413-428
Author(s):  
Dimitrios Panagiotou ◽  
Alkistis Tseriki
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Quantile Regressions ◽  
Content Type ◽  
Feeder Cattle ◽  
Daily Data ◽  
The Us ◽  
Volume Relationship ◽  
Agricultural Futures ◽  
The Relationship

Purpose The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.

Price discovery in chinese agricultural futures markets: A comprehensive look

2020 ◽  
Author(s):  
Jian Yang ◽  
Zheng Li ◽  
Tao Wang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Agricultural Futures

scholarly journals Measuring the functional efficiency of agricultural futures markets

2016 ◽  
Vol 61 (2) ◽  
pp. 232-246 ◽  
Author(s):  
Meliyara Consuegra ◽  
Javier Garcia-Verdugo
Keyword(s):  
Futures Markets ◽  
Functional Efficiency ◽  
Agricultural Futures

scholarly journals Dynamic Price Discovery in Chinese Agricultural Futures Markets

2021 ◽  
pp. 101370
Author(s):  
Miao Li ◽  
Tao Xiong
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Dynamic Price ◽  
Agricultural Futures

Trading activity in stock index futures markets: The evidence of emerging markets

2002 ◽  
Vol 22 (10) ◽  
pp. 983-1003 ◽  
Author(s):  
Yu Chuan Huang
Keyword(s):  
Emerging Markets ◽  
Futures Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Index Futures

scholarly journals Market efficiency in agricultural futures markets

2002 ◽  
Vol 34 (12) ◽  
pp. 1519-1532 ◽  
Author(s):  
Andrew M. McKenzie ◽  
Matthew T. Holt
Keyword(s):  
Market Efficiency ◽  
Futures Markets ◽  
Agricultural Futures

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

2016 ◽  
Vol 49 (34) ◽  
pp. 3435-3452 ◽  
Author(s):  
Huayun Jiang ◽  
Neda Todorova ◽  
Eduardo Roca ◽  
Jen-Je Su
Keyword(s):  
Futures Markets ◽  
Volatility Transmission ◽  
Agricultural Futures ◽  
The U.S
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