The empirical research of Chinese agricultural policy effects on commodity price volatility of spot and futures markets

2011 ◽  
Author(s):  
Da-Li Gan
Keyword(s):  
Empirical Research ◽  
Agricultural Policy ◽  
Futures Markets ◽  
Price Volatility ◽  
Commodity Price ◽  
Policy Effects ◽  
Commodity Price Volatility

Factors Affecting Efficiency of Feeder Cattle Hedging in Kentucky

1977 ◽  
Vol 9 (1) ◽  
pp. 185-189 ◽  
Author(s):  
Stephen L. O'Bryan ◽  
Barry W. Bobst ◽  
Joe T. Davis
Keyword(s):  
Futures Markets ◽  
Price Volatility ◽  
Commodity Price ◽  
Oklahoma City ◽  
Futures Contracts ◽  
Cattle Production ◽  
Factors Affecting ◽  
Feeder Cattle ◽  
Ex Post ◽  
Commodity Price Volatility

Recent commodity price volatility and development of new futures contracts has kindled interest in hedging among farmers in many parts of the country. Due to the importance of feeder cattle production in Kentucky and in the South generally, recent development of a feeder cattle contract is of special interest. This paper addresses some potential problems associated with use of feeder cattle futures markets by Kentucky producers. Specifically, it tries to: (1) determine the effect, if any, of location basis variability on ex post hedging results in Kentucky markets versus delivery markets at Omaha and Oklahoma City, (2) assess the ability of hedging to reduce revenue variability as compared to cash marketing and (3) determining the presence of bias in feeder cattle futures prices.

scholarly journals Discussion: Commodity Price Discovery: Problems That Have Solutions or Solutions That Are Problems

2009 ◽  
Vol 41 (2) ◽  
pp. 393-402 ◽  
Author(s):  
T. Randall Fortenbery
Keyword(s):  
Futures Markets ◽  
Market Failure ◽  
Commodity Prices ◽  
Price Volatility ◽  
Commodity Price ◽  
Price Risk ◽  
Futures Trading ◽  
Unacceptable Behavior ◽  
Commodity Price Volatility ◽  
Negative Impacts

This paper examines three invited papers focused on commodity prices. Public responses to high nominal commodity prices and perceived increases in price risk have ranged from attempts to assign blame, attempts to change contracting arrangements, and development of public policy that “protects“ the market from future occurrences of unacceptable behavior. Interestingly, a result of increased commodity price volatility has suggested that futures markets no longer “work.“ This is ironic given that futures markets initially came into existence as tools for managing the negative impacts of commodity price risk. In response to perceptions of market failure some are looking for strategies to regulate the who and how of futures trading.

Do seasonality, break and spillover effects explain commodity price volatility

2018 ◽  
Vol 8 (1) ◽  
pp. 144-170 ◽  
Author(s):  
Debashish Maitra
Keyword(s):  
Futures Markets ◽  
Structural Breaks ◽  
Price Volatility ◽  
Spillover Effects ◽  
Commodity Price ◽  
Commodity Futures ◽  
Spot Markets ◽  
Content Type ◽  
Commodity Price Volatility ◽  
Variance Equation

Purpose The purpose of this paper is to understand the volatility in commodity futures and spot markets. The study starts with a few questions: first, the effect of seasonality on the volatility is studied. Thereafter, the presence of structural breaks in the variance is identified. At last the seasonality, structural shifts and spillover effects are examined together to find out their effects on volatility. Design/methodology/approach The methodology heavily employs econometric tools and techniques. The monthly seasonal dummies are incorporated to identify the effects of seasonality on volatility. Then, the presence of break in volatility is tested by cumulative sum of squares (CUSUM test), followed by generalized autoregressive conditional heteroscedastictity and EGARCH models are measured by including seasonal dummies, break dummies and the residuals of other market in the variance equation to determine spillover effects. Findings It is found that the effects of seasonality on volatility cannot be ignored as the effects are significant. The presence of asymmetry is detected in all the commodities. The presence of seasonality and structural breaks in the variance equation are statistically able to reduce the volatility but the magnitude is very negligible with an exception in cumin futures markets. Bi-directional volatility spillover between futures and spot markets is observed in all the commodities and the effect of spillover is more from spot markets to the futures markets. Research limitations/implications This study is limited to a few agro commodities which are well traded. This study could have been extended to the other thinly traded commodities. This study has also taken only near month futures contracts as it contains more information but the same could have been studied by taking far month contracts also. Originality/value The present study attempted to understand the conjugated effects of seasonality, structural breaks and spillover on volatility of commodity markets which is not apparent in the previous studies. This study has also employed methodological rigor to identify the breaks in the variance equation. In addition to this it has also investigated whether Indian commodity futures markets are informationally more efficient than the spot markets.

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