scholarly journals Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 75
Author(s):  
Steffen Volkenand ◽  
Günther Filler ◽  
Martin Odening
Keyword(s):  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Trading Activity ◽  
Agricultural Futures ◽  
Price Discovery Process ◽  
Qualitative Characteristics

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70% of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without the consideration of market reflexivity.

scholarly journals Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

2020 ◽  
Author(s):  
Steffen Volkenand ◽  
Günther Filler ◽  
Martin Odening
Keyword(s):  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Trading Activity ◽  
Agricultural Futures ◽  
Price Discovery Process ◽  
Qualitative Characteristics

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70 percent of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without consideration of market reflexivity.

Information Spillover in Indian Agricultural Commodities Market

2021 ◽  
pp. 2319510X2199404
Author(s):  
Sanjay Kumar Singh ◽  
Mukesh Kumar Jain ◽  
Shoeba
Keyword(s):  
Agricultural Sector ◽  
Price Discovery ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Spot Prices ◽  
Agrarian Economy ◽  
Long Run ◽  
Integration Test ◽  
Information Spillover ◽  
Price Discovery Process

Role of agricultural sector in Indian economy is prominent, as being an agrarian economy and having the second highest population in the world. Thus, the efficiency of this sector is the foremost factor for development and growth of the economy. This article attempts to examine the price discovery relationship of future and spot prices of five agricultural commodities, namely cardamom, crude palm oil, cotton, mentha oil and kapas, during the period 2011–2019. Johansen’s co-integration test, vector error correction model (VECM) and Granger causality block exogeneity test were employed for the study. We found that price discovery process is established for agricultural commodities under consideration. Future prices act as a leader in achieving long-run equilibrium for all commodities except cardamom. Causality was significantly reported for all commodities, as bidirectional causality runs between the prices. The study suggests that Forward Market Commission should be empowered more to control and regulate the market, which will ensure the efficient market situations in these commodities’ market. Attempt was made to evaluate price discovery process in agricultural commodities market during post sub-prime crisis period, which was ignored by majority of researchers.

scholarly journals Price Discovery in Agricultural Markets

2020 ◽  
Vol 23 (1) ◽  
pp. 53-69
Author(s):  
Keshab Shrestha ◽  
Ravichandran Subramaniam ◽  
Thangarajah Thiyagarajan
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Business Leaders ◽  
Agricultural Markets ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Information Share ◽  
Generalized Information ◽  
Price Discovery Process

In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.

scholarly journals The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries

2017 ◽  
Vol 9 (2) ◽  
pp. 270 ◽  
Author(s):  
Ngan Bich Nguyen
Keyword(s):  
Price Discovery ◽  
Empirical Test ◽  
Bond Market ◽  
Discovery Process ◽  
Sovereign Bond ◽  
Leading Role ◽  
Long Run ◽  
Pricing Process ◽  
Short Run ◽  
Price Discovery Process

This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects: the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The results evidence the short-run and long-run relationship for the two markets. Particularly, the empirical test results support for the predominant role of the sovereign CDS market in the price discovery process in the bulk of sample entities. This might suggests for the governments to use CDS prices as the future indicator for predicting the volatility of debt markets.

The Incremental Value Relevance of Media Coverage of Earnings Announcements: Evidence from the Trading of Short Sellers

2021 ◽  
Author(s):  
Lynn Rees ◽  
Brady Twedt
Keyword(s):  
Media Coverage ◽  
Price Discovery ◽  
Value Relevance ◽  
Earnings Announcements ◽  
Discovery Process ◽  
Trading Behavior ◽  
Earnings Announcement ◽  
Short Sellers ◽  
The Media ◽  
Price Discovery Process

We investigate the relation between media coverage and the trading behavior of short sellers around earnings announcements. Prior research provides conflicting evidence on the role of the media, with some studies finding that the media can impede the price discovery process. Our evidence indicates that short sellers increase their activity in line with the tone of media coverage around earnings announcements, after controlling for earnings news and other factors that affect relative levels of short selling. Furthermore, we show that information in the media successfully forecasts earnings information in the days leading up to the earnings announcement, and that short sellers trade in a manner consistent with information reflected in media coverage preceding the earnings announcement. Our findings are consistent with information contained in the media having value relevance, and suggest that the media may help to facilitate the price discovery process around the release of earnings.

Spreading the Word: Price Discovery and Newswire Dissemination of Management Earnings Guidance

2015 ◽  
Vol 91 (1) ◽  
pp. 317-346 ◽  
Author(s):  
Brady Twedt
Keyword(s):  
Price Discovery ◽  
Matched Control ◽  
Substantial Effect ◽  
Bad News ◽  
Discovery Process ◽  
Earnings Guidance ◽  
Management Earnings Guidance ◽  
The Impact ◽  
Guidance Information ◽  
Price Discovery Process

ABSTRACT This study investigates the impact of dissemination on the efficiency of the price discovery process with respect to management earnings guidance disclosures. I first identify firm and guidance characteristics associated with the likelihood that guidance receives coverage in the Dow Jones Newswires. Using propensity score, within-firm, and returns-based matched control samples of guidance, I find that newswire dissemination is associated with larger initial price reactions and, more importantly, an increase in the speed with which guidance information is incorporated into price. I also find that newswire coverage affects the market's reaction to stand-alone versus bundled guidance and good versus bad news guidance. This study is the first to provide evidence of systematic variation, both across and within firms, in the breadth of guidance dissemination, and it shows that this variation has a substantial effect on how investors respond to guidance. JEL Classifications: G14; M41; L82.

Does CDS Premium Most Predict Sovereign Default Risk?

2014 ◽  
Vol 22 (3) ◽  
pp. 495-530
Author(s):  
Ki Beom Binh ◽  
Seokjin Woo ◽  
Sang Min Lee
Keyword(s):  
Financial Crisis ◽  
Default Risk ◽  
Price Discovery ◽  
Sovereign Default ◽  
Spot Rate ◽  
Discovery Process ◽  
Dollar Spot ◽  
Sovereign Default Risk ◽  
Sovereign Credit Risk ◽  
Price Discovery Process

This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar FX rate. With the global financial and fiscal crisis, especially in the U.S. and Euro-zone, the interests in sovereign default risk have risen. Interests in CDS, an OTC credit derivative contract based on debt issuer’s default risk, also have increased. A large number of presses have reported that CDS premium would be the best international market indicator for the default risk taken or transferred. However, internationally the CDS market liquidity has not been sufficient enough to validate its properties. Hence, based on empirics, this paper discusses whether Korean sovereign CDS premium can be considered as an appropriate indicator of sovereign credit risk in the Korean economy. Other largely accepted indices which contain the similar information about Korean economic fundamental and Korean external sovereign credit risk are also analyzed and compared: the spread of Korean government debt, Won-Dollar Currency Swap Rate, and Won-Dollar FX rate. Our findings include: (a) in the price discovery process, Won-Dollar spot rate contributes to the price discovery especially most ‘during the financial crisis period’ and the ‘entire period’ (b) Within the period ‘after the financial crisis’, CDS premium and the other indices have mutual influences on the price discovery process higher than the period ‘before the financial crisis’ (c) while Won-Dollar forward rate shows the similar result with Won-Dollar spot rate, NDF rate and CDS premium make the largest mutual influence on price discovery in the period ‘before the financial crisis.’

Price Discovery Process and Volatility Spillover in Spot and Futures Markets: Evidences of Individual Stocks

2010 ◽  
Vol 35 (2) ◽  
pp. 49-62 ◽  
Author(s):  
T Mallikarjunappa ◽  
E M Afsal
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spillover Effect ◽  
Spot Market ◽  
Futures Market ◽  
Discovery Process ◽  
Short Term ◽  
Asymmetric Volatility ◽  
Spot Volatility ◽  
Price Discovery Process

This paper analyses information-based superiority of markets mainly with an objective of exploring arbitrage opportunities. It attempts to determine the lead-lag relationship between spot and futures markets in the Indian context by using high frequency price data of twelve individual stocks, observed at one-minute interval. The study applies the concept of co-integration and establishes the spot-futures relationship using Vector Error Correction Mechanism (VECM) represented by EGARCH framework. To study the price discovery process in the two markets, five lags each of one-minute resolution for nine individual stocks and four lags for the remaining three stocks are chosen. The key results of the study are given below: There is a contemporaneous and bi-directional lead-lag relationship between the spot and futures markets. A feedback mechanism of short life is functional between the two markets. Price discovery occurs in both the markets simultaneously. There exists short-term disequilibrium that could be corrected in the next period. Volatility spillover from spot market to futures market is present in such a way that a decrease in spot volatility leads to a decrease in futures volatility. Volatility shocks are asymmetric and persistent in both the markets. Spillover from futures market to spot market is not significant. Neither spot nor futures assume a considerable leading role and neither of the markets is supreme in price discovery. In the case of 33.33 per cent of spot values and 33.33 per cent of futures values, there exists short-term disequilibrium that could be corrected in the next period by decreasing the prices. Spot market volatility spills over to futures market in most of the cases (66.66 %) and a decrease in spot volatility brings about a decrease in futures volatility in 50 per cent of the cases. Spillover effect from futures to spot market is present and significant in 91.66 per cent of stocks and is more than the spillover effect from spot to futures (50% valid cases). The markets are highly integrated. Asymmetric behaviour of volatility shocks is mixed in both the markets. Asymmetric volatility is detected in 50 per cent of the cases of spot market and 58.33 per cent cases of futures market. Stocks exhibiting asymmetric volatility show more sensitivity to negative shocks. There are no cases of market becoming more volatile in response to good news.

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