Asymmetric Volatility of Net Convenience Yield: Empirical Evidence from Indian Commodity Futures Markets

2018 ◽  
Author(s):  
Brajesh Kumar
Keyword(s):  
Empirical Evidence ◽  
Futures Markets ◽  
Commodity Futures ◽  
Convenience Yield ◽  
Asymmetric Volatility ◽  
Commodity Futures Markets

The Efficiency of the Chinese Commodity Futures Markets: Development and Empirical Evidence

2006 ◽  
Vol 14 (2) ◽  
pp. 79-92 ◽  
Author(s):  
Yu Xin ◽  
Gongmeng Chen ◽  
Michael Firth
Keyword(s):  
Empirical Evidence ◽  
Futures Markets ◽  
Commodity Futures ◽  
Commodity Futures Markets

Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

2016 ◽  
Vol 250 (2) ◽  
pp. 493-504 ◽  
Author(s):  
Constantin Mellios ◽  
Pierre Six ◽  
Anh Ngoc Lai
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Convenience Yield ◽  
Commodity Futures Markets ◽  
Stochastic Convenience Yield

Anomalies in Commodity Futures Markets: Risk or Mispricing?

2020 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Björn Tharann
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Commodity Futures Markets

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.

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