Volatility transmissions between commodity futures contracts in short, medium and long term

2021 ◽  
Vol 8 (1) ◽  
pp. 79
Author(s):  
Mário Duarte Canever ◽  
Mathias Schneid Tessmann ◽  
Régis Augusto Ely
Keyword(s):  
Commodity Futures ◽  
Futures Contracts

Volatility transmissions between commodity futures contracts in short, medium and long term

2021 ◽  
Vol 8 (1) ◽  
pp. 79
Author(s):  
Mathias Schneid Tessmann ◽  
Régis Augusto Ely ◽  
Mário Duarte Canever
Keyword(s):  
Commodity Futures ◽  
Futures Contracts

Return Characteristics of Commodities

2018 ◽  
Author(s):  
Dianna Preece
Keyword(s):  
Financial Crisis ◽  
Negative Correlation ◽  
Institutional Investors ◽  
Financial Stress ◽  
Commodity Futures ◽  
Futures Contracts ◽  
The Subject ◽  
Diversified Portfolio

The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due to negative correlation with stocks and bonds, and potentially offer returns and volatility comparable to equities. Commodity performance has been generally weak in the years following the financial crisis of 2007–2008. Many studies find that correlation of commodity returns with stocks and bonds increases during periods of financial stress.

Pricing of Futures Contracts

2018 ◽  
Author(s):  
Timothy A. Krause
Keyword(s):  
Fair Value ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Spot Price ◽  
Futures Prices ◽  
No Arbitrage ◽  
Spot Prices ◽  
Cost Of Carry ◽  
Contract Expiration ◽  
The Cost

This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices during the delivery period just before contract expiration. However, “no arbitrage” arguments that dictate the fair value of futures contracts largely determine pricing relations before expiration. Although the cost of carry model in its various forms largely determines futures prices before expiration, the chapter presents alternative explanations. Related commodity futures complexes exhibit mean-reverting behavior, as seen in commodity spread markets and other interrelated commodities. Energy commodity futures prices can be somewhat accurately modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process, although whether these models provide economically significant excess returns is uncertain.

Commodity Exchange-Traded Funds

2018 ◽  
Author(s):  
Christopher Milliken
Keyword(s):  
Portfolio Diversification ◽  
Futures Contracts ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Regulatory Structure ◽  
Commodity Exchange ◽  
Asset Class ◽  
Exchange Traded Fund

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall exchange-traded fund (ETF) universe, ETCs have grown in popularity with both speculators and investors looking for long-term portfolio diversification. Examples of the types of commodities that are now accessible through ETCs include gold, oil, and agricultural. The literature on ETCs is limited, but academic and industry work has centered on using futures contracts to replicate the performance of the underlying commodities spot price as well as the effect additional capital has had on the integrity of the futures market. This chapter covers this topic by reviewing the growth, investment strategies, and regulatory structure of ETCs as well as the underlying effects these funds have had on the underlying markets with which they engage.

scholarly journals Razvijeni oblik trgovine na robnim berzama - trziste robnih fjucersa -

2003 ◽  
Vol 44 (158) ◽  
pp. 7-43 ◽  
Author(s):  
Milan Eremic
Keyword(s):  
Complex System ◽  
Futures Markets ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Commodity Trade ◽  
Commodity Exchange ◽  
Commodity Futures Markets ◽  
The World ◽  
The Usa

At the very beginning of this paper, we stress the fact that capitalism, during a very long period of its emergence and development, was based on simple forms of commodity trading. It is true that capital left its mark on these simple forms. However, it did not change its simple character. Several centuries were to pass in for capital to build its own autochthonous forms of commodity exchange, the forms inherent in capitalism. The early forms of commodity futures, as the basic instrument of this developed commodity exchange, are thought to have been introduced on the Chicago Board of Trade - CBOT in 1985. The introduction of commodity futures contracts into commodity exchange enabled commodity markets to be divided into physical commodity markets and contract markets. This was the beginning of a complex system of commodity trade, the emergence of new economic entities in commodity markets and the development of a very complex system of trading, settlement and trade clearing through commodity futures contracts. The construction of this new system of commodity trade has lasted more than a century and during its gradual development a tremendous construct has been created, a market structure of extraordinary internal complexity and a solid logical design. The process of creating commodity futures market in the USA was outlined only in the early 1970s. We can say that it is an almost perfectly developed system, being today a dominant system in the world. Almost 100 percent of all commodity futures markets in the world are based on the commodity futures markets in the USA. The only exception is the London Metal Exchange, which is, although not being any less perfect, essentially different from the American exchanges.

Deliveries on Commodity Futures Contracts

1992 ◽  
Vol 68 ◽  
pp. 63-74 ◽  
Author(s):  
ANNE E. PECK ◽  
JEFFREY C. WILLIAMS
Keyword(s):  
Commodity Futures ◽  
Futures Contracts

scholarly journals Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts

2014 ◽  
Vol 2014 ◽  
pp. 1-13 ◽  
Author(s):  
Yufang Liu ◽  
Wei-Guo Zhang ◽  
Rongda Chen ◽  
Junhui Fu
Keyword(s):  
Optimal Solution ◽  
Optimal Number ◽  
Stock Index ◽  
Futures Contracts ◽  
Equivalent Transformation ◽  
Stock Index Futures ◽  
Index Futures ◽  
Proposed Model ◽  
Diversified Portfolio

It is difficult for passive portfolio strategy to manage the long-term exposure of a well-diversified portfolio because stock index futures contracts have a finite life limited by their maturity. In this paper, we investigate the problem of the rollover hedge strategy for the long-term exposure of a well-diversified portfolio. First, we consider the rollover hedge strategy for the well-diversified portfolio when the portfolio is not adjusted during the period. In order to obtain the optimal solution of the proposed model, the auxiliary models are constructed using the equivalent transformation technique. Moreover, dynamic programming is employed to derive the optimal positions of stock index futures contracts for the long-term exposure of the well-diversified portfolio. In addition, we extend the result to the case of the rollover hedge strategy with transaction costs and derive the optimal number of stock index futures contracts.

scholarly journals URGENSI PENGATURAN UNDANG-UNDANG PASAR FISIK ASET KRIPTO (CRYPTO ASSET)

2021 ◽  
Vol 13 (1) ◽  
pp. 1-15
Author(s):  
Hans Christoper Krisnawangsa ◽  
Christian Tarapul Anjur Hasiholan ◽  
Made Dharma Aditya Adhyaksa ◽  
Lourenthya Fleurette Maspaitella
Keyword(s):  
Futures Market ◽  
Legal Issues ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Legal Basis ◽  
Legal Certainty ◽  
Futures Trading ◽  
Commodity Trading ◽  
Laws And Regulations ◽  
Alternative Investment

Crypto Assets is a new alternative investment concept in Indonesia. The legal basis for regulating crypto assets currently in force in Indonesia cannot accommodate the development of the Crypto assets concept which continues to undergo significant changes. The physical market for crypto assets is incompatible when regulated by the provisions of Law Number 32 of 1997 on commodity futures trading and its amendments, namely Law Number 10 of 2011 because the physical market has conceptual differences with the provisions of the futures market in general. The object traded in the physical market is the commodity, while in the commodity futures market the object is futures contracts (and their derivatives) for commodities traded in the physical market. The scope of the commodity futures market as regulated in Article 1 of the Commodity Futures Trading Law does not accommodate commodity trading in the physical market. The urgency of regulating the physical market for crypto assets with a separate law is the implementation of the principle of legal certainty and protection of crypto asset investors. The method used in writing this journal is normative research using books, journal references, and laws and regulations that are relevant to the legal issues in this study. The results of this study indicate that the regulation of the physical law on crypto assets is needed because crypto assets should be regulated into two separate arrangements so that it is not appropriate if the regulation regarding crypto assets is only accommodated by the Commodity Futures Trading Law.

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