The Return and Volatility Spillover between Carbon Futures Market and Global Financial, Energy and Commodity Futures Markets

2015 ◽  
Author(s):  
Ziran Li ◽  
Mengchen Ji ◽  
Han Qiao ◽  
Shouyang Wang
Keyword(s):  
Futures Markets ◽  
Futures Market ◽  
Commodity Futures ◽  
Volatility Spillover ◽  
Commodity Futures Markets

scholarly journals Brokers and brokerage in the process of trading in commodity futures markets

2003 ◽  
Vol 44 (159) ◽  
pp. 63-94 ◽  
Author(s):  
Milan Eremic
Keyword(s):  
Futures Markets ◽  
Stock Exchange ◽  
Futures Market ◽  
Commodity Futures ◽  
Necessary Condition ◽  
Clearing House ◽  
Futures Trading ◽  
Whole Process ◽  
Commodity Futures Markets ◽  
Contractual Obligations

This paper mainly deals with the analysis of a very complex process of brokerage in commodity futures markets. Unlike a classical commodity market in which brokers are not a necessity, sales and purchases in commodity futures markets cannot be carried out without brokers. Brokers who act as agents of buyers and sellers of futures are a necessary condition for trading in organized markets, such as commodity futures markets. The structure of brokers in futures trading is multilayer and involves participants in futures trading from floor brokers, immediate futures traders and the members of clearing and the clearing house itself, on the one hand, to numerous other necessary actors whose activities out of the stock exchange and the clearing house contribute to the efficient functioning of futures market. The fact that transactions between buyers and sellers in futures markets are not carried out directly but through brokers means that the obligations of buyers and sellers are formally conveyed to brokers, providing at the same time the guarantee by the broker that the actual buyer and the actual seller will fulfill their contractual obligations. At the very beginning of futures trading, the relationship between the seller and the buyer is transformed into a relationship between two brokers. Since that moment on, the original relationship is conveyed to higher levels of brokerage reaching the level of the clearing house. In the process of transformation of the buyer-seller relationship and transmitting obligations and guaranteeing their fulfillment, the clearing house itself becomes the buyer relative to all sellers and the seller relative to all buyers. In this way, it guarantees that obligations regarding all transactions in futures market will be fulfilled. The whole process is carried out in accordance with the prescribed procedures conducted on the floor of commodity exchange, in its administrative departments and in the clearing house itself.

scholarly journals The system of margins and the clearing house in the system of commodity futures markets

2004 ◽  
Vol 44 (161) ◽  
pp. 63-100
Author(s):  
Milan Eremic
Keyword(s):  
Futures Markets ◽  
Stock Exchange ◽  
Futures Market ◽  
Commodity Futures ◽  
Clearing House ◽  
Trading System ◽  
Hedging Strategies ◽  
Total Capital ◽  
Commodity Futures Markets ◽  
Capital Value

In a commodity futures trading system, the clearing house is of great importance. This paper describes and analyses in detail its essence functions and numerous activities. The main goal and a major task of such activities is to preserve financial integrity and stability of the market place. Clearing houses accomplish this task by means of a financial safeguard system of the futures markets. In order to preserve financial integrity and stability of the commodity futures markets, the clearing house uses three mechanisms. First, the membership in a clearing corporation requires a certain business and professional profile of a firm or an individual member accompanied by a minimal amount of capital determined by special regulations of a clearing corporation and the stock exchange. Second, the clearing house provides a financial safeguard through self-insurance schemes: funded and unfounded ones. Third, the clearing house uses a developed system and mechanism of margins through which it most efficiently exerts permanent control and sustains financial stability of the trading system as a whole. The third system of preserving financial integrity and stability of commodity futures markets is undoubtedly of the greatest importance, as it simultaneously embodies the true nature and essence of commodity futures markets. The development of margin system in commodity futures market has been a long process through which the clearing house has become a general partner and a guarantee of all stock exchange transactions. As a general partner the clearing house embodies the total amount of capital on the stock exchange. In this way, the system of margins appears to be acting not only as an element of the commodity market financial safeguard, but also to have a completely new function, that of imposing capital as a homeostatic subject which maintains its total capital value. The preservation of the total capital value flowing into the commodity futures market is the first and the basic function of the system of margins. However, it has an additional function: to guarantee historical cost of the goods, thereby maintaining the value of individual capitals, the function which is accomplished through various hedging strategies of individual capital.

Anomalies in Commodity Futures Markets: Risk or Mispricing?

2020 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Björn Tharann
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Commodity Futures Markets

Financialization of Commodity Markets

2018 ◽  
Author(s):  
Kyle J. Putnam
Keyword(s):  
Business Cycle ◽  
Futures Markets ◽  
Commodity Price ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Futures Prices ◽  
Price Behavior ◽  
Risk And Return ◽  
Commodity Futures Markets ◽  
Asset Class

In the early 2000s, financial investors began pouring billions of dollars into the commodity futures markets seeking the unique investment benefits of this distinct asset class. This “financialization” process has called into question the fundamental risk and return properties of commodity futures as evidence has emerged favoring the idea that the massive increase in investor flows caused a rise in futures prices, volatility, and intra- and intermarket return correlations. However, a contrarian line of research contends that the effects of the new “speculative” capital on the futures markets are unsubstantiated and the increased participation of financial investors poses little consequence to the economics of the marketplace. This latter line of literature maintains that the investment benefits of commodity futures have not been diminished and that fundamental factors and business cycle variations can explain the observed changes in commodity price behavior.

Anomalies in Commodity Futures Markets

2021 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Björn Tharann
Keyword(s):  
Factor Structure ◽  
Futures Markets ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Idiosyncratic Volatility ◽  
Large Set ◽  
Jump Risk ◽  
Commodity Futures Markets

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

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