scholarly journals Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data

2017 ◽  
Vol 34 (69) ◽  
pp. 3-23
Author(s):  
Jeremías Lachman ◽  
Pablo Jack
Keyword(s):  
Comparative Analysis ◽  
Information Transmission ◽  
Market Efficiency ◽  
Futures Markets ◽  
Buenos Aires ◽  
Relevant Information ◽  
Futures Market ◽  
Daily Data ◽  
Agricultural Futures ◽  
The One

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

Assessing the relationship between closing prices and trading volume in the US livestock futures markets

2020 ◽  
Vol 37 (3) ◽  
pp. 413-428
Author(s):  
Dimitrios Panagiotou ◽  
Alkistis Tseriki
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Quantile Regressions ◽  
Content Type ◽  
Feeder Cattle ◽  
Daily Data ◽  
The Us ◽  
Volume Relationship ◽  
Agricultural Futures ◽  
The Relationship

Purpose The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.

scholarly journals Market efficiency in agricultural futures markets

2002 ◽  
Vol 34 (12) ◽  
pp. 1519-1532 ◽  
Author(s):  
Andrew M. McKenzie ◽  
Matthew T. Holt
Keyword(s):  
Market Efficiency ◽  
Futures Markets ◽  
Agricultural Futures

Liquidity of China’s agricultural futures market: measurement and cross-market dependence

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yuanyuan Xu ◽  
Jian Li ◽  
Linjie Wang ◽  
Chongguang Li
Keyword(s):  
Futures Markets ◽  
Low Frequency ◽  
Futures Market ◽  
Market Liquidity ◽  
Contagion Effect ◽  
Short Term ◽  
Seminal Paper ◽  
Content Type ◽  
Agricultural Futures

PurposeThis paper aims to present the first empirical liquidity measurement of China’s agricultural futures markets and study time-varying liquidity dependence across markets.Design/methodology/approachBased on both high- and low-frequency trading data of soybean and corn, this paper evaluates short-term liquidity adjustment in Chinese agricultural futures market measured by liquidity benchmark and long-term liquidity development measured by liquidity proxies.FindingsBy constructing comparisons, the authors identify the seminal paper of Fong, Holden and Trzcinka (2017) as the best low-frequency liquidity proxy in China’s agricultural futures market and capture similar historical patterns of the liquidity in soybean and corn markets. The authors further employ Copula-generalized autoregressive conditional heteroskedasticity models to investigate liquidity dependence between soybean and corn futures markets. Results show that cross-market liquidity dependence tends to be dynamic and asymmetric (in upper versus lower tails). The liquidity dependence becomes stronger when these markets experience negative shocks than positive shocks, indicating a concern on the contagion effect of liquidity risk under negative financial situations.Originality/valueThe findings of this study provide useful information on the dynamic evolution of liquidity pattern and cross-market dependence of fastest-growing agricultural futures in the largest emerging economy.

Assessing the functional efficiency of agricultural futures markets in China

2019 ◽  
Vol 11 (2) ◽  
pp. 431-442
Author(s):  
Ju Ronghua ◽  
Yang Zhiling
Keyword(s):  
Futures Markets ◽  
Futures Market ◽  
Market Liquidity ◽  
Content Type ◽  
Data Services ◽  
Futures Contract ◽  
Functional Efficiency ◽  
The Social ◽  
Agricultural Futures ◽  
Loss Index

Purpose The purpose of this paper is to quantitatively analyse the changes in the functional efficiency of the six Chinese agricultural futures markets and compare the relative behaviour of different futures markets. In addition, this paper analyses the causes of differences in the functional efficiency of agricultural futures markets and advances policy suggestions. Design/methodology/approach The method used in this paper is the social loss index proposed by Stein (1981, 1986). This method can quantitatively measure the functional efficiency of agricultural futures markets from the perspective of social welfare. The indicator is calculated for the 2009–2017 period and for several sub-periods. The data are from the CSMAR research data services in China. Findings Preliminary results suggest that the longer it takes for an agricultural futures contract to reach maturity, the lower the functional efficiency of its market. Second, the functional efficiency of the agricultural futures markets in China is improved except for that of the wheat futures market. Finally, the corn futures market is most efficient probably due to the progress of marketization, while the strong wheat futures market is most inefficient probably due to the decrease in futures market liquidity. Originality/value This paper uses a more reasonable method to study the functional efficiency of Chinese agricultural futures markets and then analyses the causes of differences in the functional efficiency of agricultural futures markets.

scholarly journals Improving the use of qualitative comparative analysis for inferring complex causation in development and planning research

2018 ◽  
Vol 8 (4) ◽  
pp. 622-631 ◽  
Author(s):  
Alrik Thiem
Keyword(s):  
Comparative Analysis ◽  
Qualitative Comparative Analysis ◽  
Relevant Information ◽  
Evidence Based ◽  
Policy Recommendations ◽  
Development Interventions ◽  
Empirical Research Methods ◽  
The One ◽  
School Sanitation ◽  
Causal Complexity

Abstract Empirical research methods provide the necessary means to extract relevant information from data. Qualitative Comparative Analysis (QCA), one such method, is currently making first inroads into the development and planning (D&P) community. On the one hand, QCA is well suited for building empirically founded theories emphasizing causal complexity. On the other hand, however, current use of QCA in D&P research is marked by problematic applications of this method whose results misrepresent the empirical evidence marshaled to support them. Policy recommendations that stand on shaky grounds have been issued in consequence. By reanalyzing a recent empirical study on school sanitation maintenance in Belize, this method workshop article shows how the use of QCA can be improved, which should in turn lead to more solid, evidence-based policy recommendations for development interventions.

scholarly journals PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA

2017 ◽  
Vol 21 (1) ◽  
pp. 17
Author(s):  
Sukmawati Sukamulja ◽  
Sony Fidanti
Keyword(s):  
Market Efficiency ◽  
Spot Market ◽  
Futures Market ◽  
Market Volatility ◽  
Future Contract ◽  
Underlying Asset ◽  
Futures Contract ◽  
Asset Volatility ◽  
The One ◽  
The Impact

There were some contradictory between the impacts of futures contract to the volatility of underlying asset. In the one side, some researches concluded that futures transaction affect to underlying asset volatility, but in the other side said the future contract not had impact to the volatility of underlying asset. The results were not robust yet. Futures market in Indonesia started with LQ45 futures. The LQ45 futures had been stopped in 2009, just only nine years after it was opened. And then, after seven years off, the LQ45 futures started be operated on February 1, 2016. This research want to examine the impact of futures contract to the underlying spot market volatility. Beside that, this research also want to analyze the affect of futures contract to the market efficiency during 2001-2009 with GARCH (1,1) model. The result says that there is no futures index contract impact to their underlying spot market volatility, even though there is decreasing in volatility during the testing period. This research also find that futures contract index has impact to the market sensitivity and then increase the market efficiency.

scholarly journals Clasificación de usos del suelo a partir de imágenes Sentinel-2

2017 ◽  
pp. 55 ◽  
Author(s):  
J. Borràs ◽  
J. Delegido ◽  
A. Pezzola ◽  
M. Pereira ◽  
G. Morassi ◽  
...  
Keyword(s):  
Land Use ◽  
Buenos Aires ◽  
Relevant Information ◽  
Earth Observation ◽  
Kappa Index ◽  
Excellent Spatial Resolution ◽  
The One ◽  
Agricultural Areas ◽  
Sentinel 2 ◽  
Do So

<p>Sentinel-2 (S2), a new ESA satellite for Earth observation, accounts with 13 bands which provide high-quality radiometric images with an excellent spatial resolution (10 and 20 m) ideal for classification purposes. In this paper, two objectives have been addressed: to determine the best classification method for S2, and to quantify its improvement with respect to the SPOT operational mission. To do so, four classifiers (LDA, RF, Decision Trees, K-NN) have been selected and applied to two different agricultural areas located in Valencia (Spain) and Buenos Aires (Argentina). All classifiers were tested using, on the one hand, all the S2 bands and, on the other hand, only selecting those bands from S2 closer to the four bands from SPOT. In all the cases, between 10%-50% of samples were used to train the classifier while remaining the rest for validation. As a result, a land use map was generated from the best classifier, according to the Kappa index, providing scientifically relevant information such as the area of each land use class.</p>

Pablo Neruda's Transnational Modernist Networks: Colombo-Madrid-London-Buenos Aires (1927–1933)

2017 ◽  
Vol 12 (2) ◽  
pp. 198-225
Author(s):  
Patricia Novillo-Corvalán
Keyword(s):  
Chamber Music ◽  
Latin American ◽  
Buenos Aires ◽  
Cultural Institutions ◽  
Complex Composition ◽  
British Colonial ◽  
The One ◽  
Composition Process ◽  
In Transit ◽  
Standing Question

This article positions Pablo Neruda's poetry collection Residence on Earth I (written between 1925–1931 and published in 1933) as a ‘text in transit’ that allows us to trace the development of transnational modernist networks through the text's protracted physical journey from British colonial Ceylon (now Sri Lanka) to Madrid, and from José Ortega y Gasset's Revista de Occidente (The Western Review) to T. S. Eliot's The Criterion. By mapping the text's diasporic movement, I seek to reinterpret its complex composition process as part of an anti-imperialist commitment that proposes a form of aesthetic solidarity with artistic modernism in Ceylon, on the one hand, and as a vehicle through which to interrogate the reception and categorisation of Latin American writers and their cultural institutions in a British periodical such as The Criterion, on the other. I conclude with an examination of Neruda's idiosyncratic Spanish translation of Joyce's Chamber Music, which was published in the Buenos Aires little magazine Poesía in 1933, positing that this translation exercise takes to further lengths his decolonising views by giving new momentum to the long-standing question of Hiberno-Latin American relations.

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