scholarly journals Analysis of the Economic Potential for a Mercosur Rice Futures Market

2015 ◽  
Vol 10 (2) ◽  
Author(s):  
Waldemar Souza ◽  
João Martines Filho ◽  
Claudio Zancan ◽  
Antonio C. S. Costa ◽  
Andreza G. A. Queiróz

World rice production reached 488.4 thousand tons, in 2012. Asian countries are the world’s largest rice producers, followed by Latinamerica, particularly Brazil, where rice is a basic food item. In spite of the clear economic benefits bestowed by commodity futures markets, neither Asia nor Mercosur have implemented a regional rice futures market. In sum, we propose to investigate the feasibility of a Brazilian rice futures contract to serve the Mercosur region by estimating Mercosur rice price dynamics and analyze basis risk and hedging effectiveness for rice market agents in the region, in a simulation framework using a hypothetical regional contract price. Sample data and period was non-probabilistic, for accessibility and convenience. Mercosur rice price dynamics expressed Argentina and Uruguay rice prices moving in synchrony. Brazil rice prices were on lower levels. Also, all three pairs of rice price series are cointegrated, with one cointegrating equation. Again, results can be largely attributed to the different price data used, in Brazil was rough rice, while in Uruguay and Argentina milled white rice with 5%. Despite that, there are preliminary evidences that a Mercosur rice futures market could be feasible.

2019 ◽  
Vol 7 (1) ◽  
Author(s):  
Endang Lastinawati ◽  
Andy Mulyana ◽  
Imron Zahri ◽  
Sriati Sriati

Lastinawati et al, 2018. Price Transmission Analysis of Rice in Ogan Komering Ilir District, South Sumatra Province. JLSO 7(1) Price transmission is one indicator of whether or not a marketing system is efficient and also can explain the distribution of welfare between producers and consumers in the marketing channel. This study aimed to analyze the transmission of rice prices which are the basic needs of the Indonesian people, both the price transmission of consumer to farmers, and vice versa, with two groups of rice based on their quality, namely premium and medium rice. This research conducted at Ogan Komering Ilir District, South Sumatra Province. Price transmission was analyzed using price transmission elasticity, using weekly rice price series data from the second week of March 2016 to the second week of September 2018. The results showed that the transmission of consumer prices of premium and medium rice to the price of harvested dry grain at farmer level had an elasticity value not equal to one, and vice versa. This showed that the rice market in Ogan Komering Ilir Regency was in elastic and less efficient, because prices were transmitted asymmetrically.


2011 ◽  
Author(s):  
Vicente Medina ◽  
Ángel Pardo Tornero ◽  
Roberto Pascual

This article presents the first description and analysis of the exchange-traded notes (ETNs) and certificates tracking the Nordic power futures market that enable retail investors to hedge and trade on the Oslo and Stockholm Nordic stock exchanges. We investigate the impacts of the underlying front-quarter futures contract, its daily change, the roll cost, the EUR/NOK and EUR/SEK exchange rates, and the interest rate level and fees on the ETNs and certificates. An analysis of the ETNs and certificates on the Nordic stock exchanges from December 2010 to February 2015 shows continual investment activity, even though prices were in a consistent downtrend during the period. We conclude with a description of some strategies which retail investors can use.


2019 ◽  
Vol 17 (1) ◽  
pp. 39
Author(s):  
NFN Saptana ◽  
Erma Suryani ◽  
Emmy Darmawati

<p>Rice supply chain from producers to consumers in Central Java Province is relatively extensive and it affects rice price establishment. This study aimed to assess rice production performance, dried paddy (GKG) conversion rate into rice, rice supply chain, dynamics of rice prices among seasons and markets, and rice price establishment. This research was conducted in 2018 in rice producing centers in Central Java, namely Sragen, Klaten and Demak Regencies. This province had a rice production surplus and it was marketed mostly to West Java and Jakarta provinces. Conversion rate from paddy to rice varies between 60-65% or an average of 62.74% depending on varieties grown, drying process, and harvesting machine condition. In general, there are six to seven actors in the rice supply chain. During the main harvest in rainy season, paddy and rice prices usually dropped due to abundant supply. However, during the harvest in rain season in 2017/2018, paddy and rice prices remained high. This case indicated that paddy and rice prices establishment were more determined by supply side. It can be concluded that shorten the rice supply chain will increase paddy price at farm level and reduce rice price at consumer level. To shorten the rice supply chain effectively, it is recommended that rice milling process to be done at the milling industry.</p><p> </p><p>Abstrak</p><p>Rantai pasok beras di Jawa Tengah dari tingkat produsen hingga konsumen masih cukup panjang. Kondisi ini berpengaruh pada pembentukan harga beras. Tujuan penelitian adalah untuk mengkaji kinerja produksi padi, besaran rendemen gabah kering giling (GKG) menjadi beras, kinerja rantai pasok gabah dan beras, dinamika harga beras antar musim dan pasar, dan pembentukan harga beras pada setiap tingkatan pelaku rantai pasok beras. Penelitian dilakukan tahun 2018 di lokasi sentra produksi padi Provinsi Jawa Tengah yaitu Kabupaten Sragen, Klaten, dan Demak. Hasil kajian menunjukkan provinsi ini menghasilkan surplus beras yang dipasarkan terutama ke Jawa Barat dan Jakarta. Tingkat rendemen GKG menjadi beras bervariasi antara 60-65% atau rata-rata 62,74% tergantung varietas, proses pengeringan, dan kondisi mesin panen. Rantai pasok beras cukup panjang, sebanyak enam sampai tujuh pelaku. Sesuai pola yang umum dikenal, pada musim panen raya pada musim hujan (MH) harga gabah dan beras turun, namun pada musim panen raya MH 2017/2018 harga pangan ini tetap tinggi. Hal ini disebabkan pembentukan harga gabah dan beras lebih ditentukan oleh aspek pasokan dibandingkan aspek permintaan. Dari hasil penelitian ini disimpulkan pemangkasan rantai pasok gabah dan beras dari petani produsen ke konsumen dapat meningkatkan harga gabah di tingkat petani dan menurunkan harga beras di tingkat konsumen. Agar upaya pemotongan rantai pasok berjalan efektif, maka penggilingan gabah menjadi beras sebaiknya dilakukan di industri penggilingan padi.</p>


2017 ◽  
Vol 9 (4) ◽  
pp. 567-587 ◽  
Author(s):  
Minghua Ye ◽  
Rongming Wang ◽  
Guozhu Tuo ◽  
Tongjiang Wang

Purpose The purpose of this paper is to demonstrate how crop price insurance premium can be calculated using an option pricing model and how insurers can transfer underwriting risks in the futures market. Design/methodology/approach Based on data from spot and futures market in China, this paper develops an improved B-S model for the calculation of crop price insurance premium and tests the possibility of hedging underwriting risks by insurance firms in the futures market. Findings The authors find that spot price of crops in China can be estimated with agricultural commodity futures prices, and can be taken as the insured price for crop price insurance. The authors also find that improved B-S model yields better estimation of crop price insurance premium than traditional B-S model when spot price does not follow geometric Brownian motion. Finally, the authors find that hedging can be one good alternative for insurance firms to manage underwriting risks. Originality/value This paper develops an improved B-S model that is data-driven in nature. Insured price of the crop price insurance, or the exercise price used in the B-S model, is estimated from a co-integration model built on spot and futures market price series. Meanwhile, distributional patterns of spot price series, one important factor determining the applicability of B-S model, is factored into the improved B-S model so that the latter is more robust and friendly to data with varied distributions. This paper also verifies the possibility of hedging of underwriting risks by insurance firms in the futures market.


2015 ◽  
Vol 16 (2) ◽  
pp. 181-202 ◽  
Author(s):  
Wilfried Rickels ◽  
Dennis Görlich ◽  
Sonja Peterson

Abstract We empirically investigate potential determinants of the allowance price dynamics in the European Union Emission Trading Scheme during Phase II. In contrast to previous studies, we place particular emphasis on the fuel price selection. We show that results are extremely sensitive to choosing different price series of potential determinants, such as coal and gas prices. In general, only the influence of economic activity in Europe and hydropower provision in Norway is robustly explaining allowance price dynamics. The influence of fuel switching on allowance prices and, therefore, equalization of marginal abatement costs - in particular in the long run - is still rather small.


1998 ◽  
Vol 29 (3) ◽  
pp. 119-133 ◽  
Author(s):  
C. F. Smit ◽  
E. V.D.M. Smit

International and local research in share markets offered evidence of a holiday effect. Pre-holiday mean returns are significantly higher than on other trading days. The holiday effect cannot be separated from the weekend effect, as holidays which fall on Fridays and Mondays also influence the weekend analysis. Both these effects exist in their own right. Research on international futures markets supports the existence of a holiday effect. The present study investigates the holiday effect on daily returns of the All Gold Near Futures contract, the All Industrial Near Futures contract and the All Share Near Futures contract in the South African futures market. A distinction is made between pre-holidays, post-holidays and non-holidays. None of the near futures contracts exhibit a significant holiday effect, although signs of a holiday effect are present. It is further shown that the month-end effect is not strongly influenced by the holiday effect. It is also concluded that the pre-holiday effects are not large enough to be exploited on an on-going basis in the South African futures market.


1988 ◽  
Vol 20 (1) ◽  
pp. 131-140 ◽  
Author(s):  
B. Wade Brorsen ◽  
Warren R. Grant ◽  
M. Edward Rister

AbstractQuality discounts and premiums for rough rice in Texas rice bid/acceptance markets are analyzed. The most important quality factors determining the value of rough rice are head yield and peck. A one percentage point reduction in peck damage raises the price received per hundredweight of rough rice by $.13 to $.68 across markets and years. Since peck damage can be reduced by controlling the rice stinkbug, evaluation of alternative methods for better control of this pest in Texas rice fields is needed.


2010 ◽  
Vol 11 (3) ◽  
pp. 296-309 ◽  
Author(s):  
Pratap Chandra Pati ◽  
Prabina Rajib

PurposeThe purpose of this paper is to estimate time‐varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index futures.Design/methodology/approachTo estimate the volatility and capture the stylized facts of fat‐tail distribution, volatility clustering, leverage effect, and mean‐reversion in futures returns, appropriate ARMA‐generalized autoregressive conditional heteroscedastic (GARCH) and ARMA‐EGARCH models with generalized error distribution have been used. The ARMA‐EGARCH model is augmented by including contemporaneous and lagged trading volume to determine their contribution to time‐varying conditional volatility.FindingsThe paper finds evidence of leverage effect, which indicates that negative shocks increase the futures market volatility more than positive shocks of the same magnitude. In addition, the results indicate that inclusion of both contemporaneous and lagged trading volume in the GARCH model reduces the persistence in volatility, but contemporaneous volume provides a greater reduction than lagged volume. Nevertheless, the GARCH effect does not completely vanish.Practical implicationsResearch findings have important implications for the traders, regulatory bodies, and practitioners. A positive volume‐price volatility relationship implies that a new futures contract will be successful only to the extent that there is enough price uncertainty associated with the underlying asset. Higher trading volume causes higher volatility; so, it suggests the need for greater regulatory restrictions.Originality/valueEquity derivatives are relatively new phenomena in Indian capital market. This paper extends and updates the existing empirical research on the relationship between futures price volatility and volume in the emerging Indian capital market using improved methodology and recent data set.


2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Xuan Zhou ◽  
Menggang Li

There have been heated debates about the role of stock index futures in the financial market, especially during the crash periods. In this paper, a multiagent spot-futures market model is developed to analyze the micromechanism of shock transfer across spot and futures markets. We assume that there are two stocks and one stock index futures contract in the spot-futures market. Agents are heterogeneous, including fundamentalists, chartists, noise traders, and arbitragers. The spot market and the futures market are linked by arbitragers. The simulation results show that our spot-futures market model can reproduce various important stylized facts, including the price co-movement between stock index prices and index futures prices and the fat-tailed distribution of the returns of risky assets and the basis. Further analysis shows that when we introduce an exogenous fundamental shock to one of the stocks, the backwardation phenomenon appears in the futures market and the shock is widespread across the whole market by means of index futures. Moreover, the backwardation gradually disappears when the number of arbitragers increases. Besides, when there are few arbitragers or when there are sufficient arbitragers, shocks cannot be transferred to other stocks via the futures market, while an intermediate level of arbitrage will amplify the shock transfer and hurt market stability. These findings underscore that arbitragers play an important role in spot-futures market interaction and shock transfer, and adequate arbitrage trading during crises may help eliminate the positive basis and halt the further spread of the crises.


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