Price Discovery and Volatility Transmission in the Spot and Futures Market of Pepper: An Empirical Analysis

2020 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
T. Viswanathan ◽  
Asha Nadig
Keyword(s):  
Empirical Analysis ◽  
Price Discovery ◽  
Futures Market ◽  
Volatility Transmission

scholarly journals An empirical analysis of the price discovery function of Shanghai fuel oil futures market

2007 ◽  
Vol 4 (3) ◽  
pp. 97-102 ◽  
Author(s):  
Zhen Wang ◽  
Zhenhai Liu ◽  
Chao Chen
Keyword(s):  
Empirical Analysis ◽  
Price Discovery ◽  
Futures Market ◽  
Fuel Oil ◽  
Oil Futures ◽  
Fuel Oil Futures

scholarly journals PRICE DISCOVERY AND VOLATILITY TRANSMISSION IN AUSTRALIAN REIT CASH AND FUTURES MARKETS

2016 ◽  
Vol 20 (2) ◽  
pp. 113-129 ◽  
Author(s):  
Ming-Te LEE ◽  
Shew-Huei KUO ◽  
Ming-Long LEE ◽  
Chyi Lin LEE
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Futures Market ◽  
Real Estate Investment Trust ◽  
Real Estate Investment ◽  
Index Futures ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Cash Market ◽  
The Relationship

This study examines the price discovery function and volatility spillovers in australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global fi- nancial crisis (gfc) on these two features. as opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the a-reIt futures market in price discovery and volatility transmission processes before the gfc. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., in- formation flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.

Does Commodity Derivatives Function Effectively? A lengthy Discussion

2021 ◽  
pp. 227797522098574
Author(s):  
Bhabani Sankar Rout ◽  
Nupur Moni Das ◽  
K. Chandrasekhara Rao
Keyword(s):  
Price Discovery ◽  
Spot Market ◽  
Futures Market ◽  
The Other ◽  
Volatility Spillover ◽  
Agricultural Commodities ◽  
Commodity Derivatives ◽  
Derivative Market ◽  
Negative Shock ◽  
Lengthy Discussion

The present work has been designed to intensely investigate the capability of the commodity futures market in achieving the aim of price discovery. Further, the downside of the cash and futures market and transfer of the risk to other markets has also been studied using VaR, and Bivariate EGARCH. The findings of the work point that the metal commodity derivative market helps in the efficient discovery of price in the spot market except for nickel. But, in the case of the agricultural commodities, the spot is found to be leading and thus there is no price discovery except turmeric. On the other hand, the volatility spillover is bidirectional for both agri and metal commodities except copper, where volatility spills only from futures to spot. Further, the effect of negative shock informational bias differs from commodity to commodity, irrespective of metal or agriculture.

Price Discovery in the Chinese Corn Futures Market, With Comparisons to Soybean Futures

Agribusiness ◽  
2014 ◽  
Vol 30 (4) ◽  
pp. 398-409 ◽  
Author(s):  
Yunxian Yan ◽  
Michael Reed
Keyword(s):  
Price Discovery ◽  
Futures Market
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