Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets

2020 ◽  
Vol 42 (4) ◽  
pp. 611-652
Author(s):  
Nicole M. Moran ◽  
Scott H. Irwin ◽  
Philip Garcia
Keyword(s):  
Futures Markets ◽  
Risk Premiums ◽  
Agricultural Futures

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.

Macroeconomic Factors in Oil Futures Markets

2019 ◽  
Vol 65 (9) ◽  
pp. 4407-4421 ◽  
Author(s):  
Davidson Heath
Keyword(s):  
Economic Activity ◽  
Futures Markets ◽  
Price Shocks ◽  
Productivity Shocks ◽  
Macroeconomic Factors ◽  
Oil Futures ◽  
Risk Premiums ◽  
Crude Oil Futures ◽  
Future Consumption ◽  
New Evidence

This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil risk premiums. The estimates reveal a dynamic two-way relationship between oil futures and economic activity: productivity shocks are associated with higher oil prices, while oil price shocks affect economic activity by lowering future consumption spending. Unspanned macro factors also affect the valuation of real options. This paper was accepted by Karl Diether, finance.

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
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