Relative value arbitrage in European commodity markets
Sign Up to like & getrecommendations! Published in 2018 at "Energy Economics"
DOI: 10.1016/j.eneco.2017.11.005
Abstract: Abstract This study offers insights into the profitability of convergence trading in European commodity markets, thereby shedding light on the compensation for enforcing the Law of One Price. We analyze profits of a cointegration-based statistical… read more here.
Keywords: relative value; value arbitrage; arbitrage; european commodity ... See more keywords
The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.03.005
Abstract: This paper analyses the causal relationship between commodities funds and returns using monthly data for the period May 1997 to August 2015. Linear Granger causality tests fail to detect any evidence of causal relationships. However,… read more here.
Keywords: commodity; period; relationship commodity; causality ... See more keywords
The financialization of Chinese commodity markets
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DOI: 10.1016/j.frl.2020.101438
Abstract: Abstract This study investigates the financialization of China's futures market from a market-integration perspective. First, this study examines the integration between the commodity market and financial capital markets (stock/bond/foreign exchange markets) by using multivariate GARCH… read more here.
Keywords: chinese commodity; market; financialization chinese; commodity markets ... See more keywords
Variance risk in commodity markets
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DOI: 10.1016/j.jbankfin.2017.05.003
Abstract: We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity… read more here.
Keywords: risk commodity; variance risk; variance swaps; commodity markets ... See more keywords
Speculation and its impact on liquidity in commodity markets
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DOI: 10.1016/j.resourpol.2018.05.005
Abstract: Abstract In recent years, there has been extensive debate about the increasing speculative activity in commodity markets and passive index-investments, which are blamed for causing extreme long-term variations and price bubbles. This study sheds light… read more here.
Keywords: speculation impact; speculative activity; commodity markets; commodity ... See more keywords
Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach
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DOI: 10.1016/j.resourpol.2021.102049
Abstract: Abstract We examine the energy-food nexus using the dependence-switching copula model. Specifically, we look at the dependence for four distinct market states, such as, increasing oil–increasing commodity, declining oil–declining commodity, increasing oil–declining commodity, as well… read more here.
Keywords: oil agricultural; commodity markets; oil; commodity ... See more keywords
Intraday spillover between commodity markets
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DOI: 10.1016/j.resourpol.2021.102278
Abstract: Abstract The aim of this study is to investigate intraday interactions between commodity markets. Accordingly, we use Diebold and Yilmaz’s 2009, 2012 framework to estimate the returns and volatility spillovers across commodity subsectors (i.e., agriculture,… read more here.
Keywords: commodity markets; spillover commodity; intraday spillover; commodity ... See more keywords
Climate extremes and agricultural commodity markets: A global economic analysis of regionally simulated events
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DOI: 10.1016/j.wace.2019.100193
Abstract: Abstract Agroclimatic extremes can be seen as typical supply shifters that, on a par with economic and structural drivers, distort supply, demand, trade, and induce price variability. Economic simulation models typically operate under the assumption… read more here.
Keywords: commodity markets; extremes agricultural; agricultural commodity; markets global ... See more keywords
Regulation, financialization and fraud in Chinese commodity markets after the Global Financial Crisis
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DOI: 10.1080/00343404.2018.1537482
Abstract: ABSTRACT The Chinese government’s 2008 fiscal stimulus resulted in a surge of liquidity flowing into the country’s shadow banking system. The paper focuses on two financing channels: the Fanya Metal Exchange and the commodity collateral… read more here.
Keywords: financialization fraud; regulation financialization; commodity markets; commodity ... See more keywords
Asymmetric effect of oil prices on herding in commodity markets
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DOI: 10.1108/mf-01-2020-0028
Abstract: PurposeThis study aims to test the presence of herding behavior in commodity markets, including energy, metals and agriculture. Additionally, the authors investigate the possible asymmetric effect of oil price changes on the herding behavior in… read more here.
Keywords: asymmetric effect; commodity markets; commodity; effect oil ... See more keywords
METHODOLOGY OF FORMING MECHANISMS OF INTEGRATION OF COMMODITY MARKETS AS A DEVELOPMENT OF ECONOMY
Sign Up to like & getrecommendations! Published in 2018 at "Elektrotechnik Und Informationstechnik"
DOI: 10.31520/ei.2018.20.1(66).8-17
Abstract: Актуальність. В статті наведено дослідження сутності економічних механізмів ринкової інтеграції, інтеграційні механізми, які є рушійною силою та засобом прискореного розвитку ринків реального сектору економіки при керованому їх застосуванні. Наведено аналіз впливу різних інтеграційних механізмів на… read more here.
Keywords: integration commodity; methodology; mechanisms integration; forming mechanisms ... See more keywords