scholarly journals A Study on the Causal Relationship between Spot Price and Futures Price of Crude Oil and Agricultural Products

2020 ◽  
Vol 8 (5) ◽  
pp. 296-315
Author(s):  
Dong Hoon Shin ◽  
Seon Hyeon Kim
Keyword(s):  
Causal Relationship ◽  
Futures Market ◽  
Agricultural Products ◽  
Spot Price ◽  
Agricultural Product ◽  
Causality Test ◽  
Futures Price ◽  
Derivatives Markets ◽  
The Relationship ◽  
Toda And Yamamoto

This paper studies the relationship between the agricultural, energy, and derivatives markets. This study empirically analyzes how the results of previous studies on the Granger causality between oil price and the spot price of agricultural products appear in the futures market by using the Toda and Yamamoto (1995)’ causality test. There are two main findings. First, 7 bidirectional causalities and 27 causalities between oil and 6 agricultural products are found, providing strong evidence of a causal relationship. Second, causality is found between oil prices and grain and oilseed type agricultural products, and the spot price of oil has relatively more causalities on agricultural product prices than the futures price of oil. Lastly, testing each period shows that a financial crisis can strengthen the relationship between the agriculture markets and the energy markets

scholarly journals Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?

Agriculture ◽  
2021 ◽  
Vol 11 (4) ◽  
pp. 342
Author(s):  
Lin Xie ◽  
Jiahua Liao ◽  
Haiting Chen ◽  
Xuefei Yan ◽  
Xinyan Hu
Keyword(s):  
Price Volatility ◽  
Futures Market ◽  
Agricultural Products ◽  
Spot Price ◽  
Agricultural Product ◽  
Interrupted Time Series Analysis ◽  
Product Price ◽  
Price Fluctuation ◽  
Spot Prices ◽  
The Impact

China aims to utilize the futures market to stabilize agricultural product price fluctuation by quantifying the effects of risk transfer and price discovery. However, the role of futurization has been questioned and even posited as the cause of drastic fluctuations in spot market prices. This research aims to clarify the impact of futurization on the price fluctuation of agricultural products and to provide policy reference for the development of the agricultural futures market through the research. Here, we examine the spot price data for apples and use Interrupted time-series analysis (ITSA) and GARCH models to estimate the impact of apple futures on the volatility of spot prices. Our findings demonstrate that the launch of China’s apple futures did not increase the volatility of apple spot prices; that is, futurization was not the cause of skyrocketing apple spot prices. In the long term, our results suggest that futures will help reduce the volatility of apple spot prices and that the introduction of futures will ultimately reduce the price volatility of agricultural products.

The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market

2007 ◽  
Vol 15 (1) ◽  
pp. 73-100
Author(s):  
Seok Kyu Kang
Keyword(s):  
Risk Management ◽  
Risk Premium ◽  
Futures Market ◽  
Spot Price ◽  
Sample Period ◽  
Futures Prices ◽  
Spot Prices ◽  
Hedging Effectiveness ◽  
Futures Price ◽  
Rolling Windows

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005. The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Third. for shorter maturity. the futures price appears to be the best forecaster of spot price. Forth, bivariate GARCH hedging effectiveness outperforms the naive and OLS hedging effectiveness. The implications of these findings show that KOSPI200 futures market behaves as unbiased predictor of future spot price and risk management instrument of KOSPI200 spot portfolio.

scholarly journals The Impact of Futures Price Volatility to Spot Market : Case of Coffee in Indonesia

2019 ◽  
Vol 15 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Anis Erma Wulandari ◽  
Harianto Harianto ◽  
Bustanul Arifin ◽  
Heny K Suwarsinah
Keyword(s):  
Exchange Rate ◽  
Price Volatility ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Price Risk ◽  
Price Inflation ◽  
Spot Prices ◽  
Futures Price ◽  
The Impact

Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and Colombia with export potential and higher national consumption concluded in 2017 while the coffee production was relatively stagnant. This was led the producer to not only the production risk but also the price risk which then emphasize the importance of futures markets existence as price risk management. This study is performed to examine the impact of futures price volatility to spot market using ARCH-GARCH toward primary data of coffee futures and spot prices of 1172 trading days starting from January 2014 to June 2018. The ARCH-GARCH analysis result indicates that futures price volatility and monetary variables are impacting the volatility of spot price. Arabica spot price volatility is impacted by volatility of Arabica futures price, inflation and exchange rate while Robusta spot price is impacted by Robusta futures price volatility and exchange rate. This is confirming that futures market plays dominant role in spot price discovery. Local futures and spot prices are also found to be significantly influenced by volatility of offshore futures prices which indicates that emerging country futures market is actually influenced by offshore futures market which the price itself used as price reference.

scholarly journals Analisis Kausalitas Pengeluaran Pemerintah, Investasi, dan Tenaga Kerja Terhadap Produk Domestik Regional Bruto SWP Jember dan Sekitarnya

2018 ◽  
Vol 5 (1) ◽  
pp. 6
Author(s):  
Nindya Eka Santi ◽  
Aisyah Jumiarti ◽  
Fivien Muslihatinningsih
Keyword(s):  
Panel Data ◽  
Causal Relationship ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Government Budget ◽  
Causality Test ◽  
Goods And Services ◽  
Regional Area ◽  
The Relationship

RGDP is the total of all goods and services value which produced by all economics unit within a region. This study aims to determine the causality’s direction between government budget and RGDP, investment and RGDP, labor and RGDP, using panel data on RDU Jember and its regional area during 2000– 2014. The Granger causality test is used to identify the direction of the relationship between the variable between government budget and RGDP, investment and RGDP, labor and RGDP. The result of this study showed that there is a causal relationship between variables.Keywords: Granger causality, RGDP, government budget, investment, and labor

A Comparative Analysis of Informational Efficiency of KOSDAQ50 and KOSPI200 Index Futures

2003 ◽  
Vol 11 (2) ◽  
pp. 27-49
Author(s):  
Bae Gi Hong ◽  
Su Jae Jang
Keyword(s):  
Futures Markets ◽  
Market Price ◽  
Futures Market ◽  
Spot Price ◽  
Informational Efficiency ◽  
Information Efficiency ◽  
Index Futures ◽  
Volume Relationship ◽  
Futures Price ◽  
Volume Relation

This paper examines the information efficiency of KOSDAQ50 and KOSPI200 index futures markets. The study analyzes and compares both markets in three respects : 1) price discovery (lead-lag relationship between spot and futures markets.), 2) volatility-volume relationship, and 3) mispricings between spot and futures prices. The first, analysis shows the in the KOSPI200 market, futures price leads spot price. While spot price leads futures price in the KOSDAQ50 market. The second analysis shows that the volatility-volume relation is positive in the KOSPI200 futures market, supporting the hypothesis of mixture of distribution. In contrast, there is little relation between volume and volatility in the KOSDAQ50 futures market. This result casts doubt that the futures market price reflects information. The last analysis shows that the magnitude of mispricing becomes smaller with more volume in the KOSPI200 futures market, while it becomes larger with more volume in the KOSDAQ50 futures market. The overall results imply that the KOSDAQ50 futures market is less informationally efficient that the KOSPI200 market. The inefficiency appears due to the lack of institutional investor participation, especially securities firms, in making up the market.

scholarly journals Pricing Mining Concessions Based on Combined Multinomial Pricing Model

2017 ◽  
Vol 2017 ◽  
pp. 1-9
Author(s):  
Chang Xiao ◽  
Jinsheng Zhou
Keyword(s):  
Empirical Study ◽  
Multinomial Distribution ◽  
Spot Price ◽  
Pricing Model ◽  
Pricing Models ◽  
Copper Mine ◽  
Futures Price ◽  
The Relationship ◽  
Mineral Product ◽  
Better Than

A combined multinomial pricing model is proposed for pricing mining concession in which the annualized volatility of the price of mineral products follows a multinomial distribution. First, a combined multinomial pricing model is proposed which consists of binomial pricing models calculated according to different volatility values. Second, a method is provided to calculate the annualized volatility and the distribution. Third, the value of convenience yields is calculated based on the relationship between the futures price and the spot price. The notion of convenience yields is used to adjust our model as well. Based on an empirical study of a Chinese copper mine concession, we verify that our model is easy to use and better than the model with constant volatility when considering the changing annualized volatility of the price of the mineral product.

The Relationship Between Electricity Generation, Electricity Consumption, and Economic Growth in Turkey 1975-2019

2021 ◽  
pp. 195-211
Author(s):  
Abdulkadir Keskin ◽  
Berat Kara
Keyword(s):  
Economic Growth ◽  
Causal Relationship ◽  
Electricity Generation ◽  
Electric Energy ◽  
Electricity Consumption ◽  
Electrical Energy ◽  
Test Method ◽  
Causality Test ◽  
The Relationship ◽  
Electrical Energy Generation

Electric energy is very important both technologically and economically in today's countries. Countries can generate and consume more energy according to their level of development and the resources they have. In the literature, it is estimated in parallel with the development of countries; there will also be an increase in electrical energy generation and consumption. Similarly, in economies that generate and consume more electricity, it is assumed that this will affect their economic growth. But these assumptions need to be calculated econometrically. This study has been prepared for this purpose. In this study, the relationship between electricity generation, electricity consumption, and economic growth in Turkey was analyzed. In the analysis conducted for the period 1975-2019, the Toda-Yamamoto causality test method was preferred as the method. As a result of the analysis, it was determined that there is a causal relationship from electricity consumption and electricity generation to economic growth, valid for the period 1975-2019 in Turkey.

scholarly journals The Relationship Between Load and Electricity Price in Different Time Periods Based on Granger Causality Test

2019 ◽  
Vol 118 ◽  
pp. 02045
Author(s):  
Ming Wen ◽  
Yong Chen ◽  
Fenkai Chen ◽  
Lili An ◽  
Qing He ◽  
...  
Keyword(s):  
Causal Relationship ◽  
Price Change ◽  
Electricity Price ◽  
Peak Time ◽  
Causality Test ◽  
Time Period ◽  
Electricity Load ◽  
Time Periods ◽  
Working Day ◽  
The Relationship

With the liberalization of the market on the selling side, the user’s electricity load shows a stronger volatility, and correspondingly, the price change has a certain degree of dynamics. This paper first selects the working day load of a certain power market to realize the peak-valley period division. Secondly, with the help of Eviews software package, studying the causal relationship between load and electricity price in different time periods, the following conclusions are obtained: the peak time period electricity price has a one-way causal relationship with the peak time period load, and there is a low causal relationship between the electricity price and the electricity load during the flat time period; the valley time period electricity price has a two-way causal relationship with the electricity load.

scholarly journals An Empirical Analysis of the Link between Economic Growth and Exports in Côte d’Ivoire

2019 ◽  
Vol 12 (9) ◽  
pp. 94
Author(s):  
Daouda Coulibaly ◽  
Fulgence Zran Goueu
Keyword(s):  
Economic Growth ◽  
Gross Domestic Product ◽  
Causal Relationship ◽  
Empirical Analysis ◽  
Annual Data ◽  
Short Term ◽  
Causality Test ◽  
Long Run ◽  
The Relationship

This paper aims to analyze the relationship between exports and economic growth in Côte d’Ivoire. In order to achieve this objective, annual data for the period 1960-2017 were tested by using the cointegration approach of Pesaran, Shin and Smith, including the causality test of Breitung and Schreiber. According to our analysis it is only exports that drive economic growth and not the opposite. Exports act positively and significantly on economic growth in the short term as well as in the long term. The causality test of Breitung and schreiber indicates a one-way long-run causal relationship ranging from exports to gross domestic product (GDP). All those results show that exports are a source of Ivorian economic growth.

scholarly journals International Application Model Short-Long Term Between GDP and Consumption : Case Study Indonesia

ECONOMICS ◽  
2018 ◽  
Vol 6 (1) ◽  
pp. 81-90
Author(s):  
Teguh Sugiarto ◽  
Ludiro Madu ◽  
Ahmad Subagyo ◽  
◽  
Keyword(s):  
Causal Relationship ◽  
Short Term ◽  
Causality Test ◽  
Ardl Model ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Term Change ◽  
Short Run ◽  
The Relationship

SUMMARY More recently, significant fluctuations in the Indonesian economy justify the need to pay more attention to this issue. In this case, the main purpose of this research is to know the relationship between two issues related to Indonesian macro economy called consumption and GDP for data period during 1967 until 2014. This study investigates the relationship between GDP variables and Indonesian consumption consumption variables using the test ARDL, cointegration and Granger causality. The result of the research can be concluded that, there is long-run equilibrium relationship between GDP and consumption with long-term ARDL model, 10% change of consumption will produce long-term change of 44% in GDP. It is not surprising that there is no short-run equilibrium relationship between GDP and consumption. 10% of consumption will result in a short-term ARDL model change of 95% in GDP. The variables and consumption of GDP are cointegrated in the long run significantly at lag interval 10, whereas the use of lag interval 1 and 5 is not credited in the long run. Using a cointegration test with lag interval 1, 5 and 10 indicates significant for all usage slowness. So it can be summarized in the context of GDP and coordinated short-term economic consumption for all the prevailing interval lags. concluded that long-term causality test results between GDP variables and significant consumption with time intervals 5 and 10. intervals 1, 15 and 20 have no long-term causality relationship between GDP variables and consumption variables. a short-term causal model. With lagging intervals of 1, 5, 10 and 15, there is a short-term causal relationship between the variable GDP and consumption. As for the use of delay interval 20 there is no causal relationship in the short term between the variable GDP and consumption in Indonesia.

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