scholarly journals Trading Institutions and Price Discovery: The Cash and Futures Markets for Crude Oil

2004 ◽  
Author(s):  
Albert Ballinger ◽  
Gerald P. Dwyer ◽  
Ann B. Gillette
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Price Discovery ◽  
Trading Institutions

scholarly journals Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 115
Author(s):  
Osama Ahmed
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
The United States ◽  
The Black Sea ◽  
Correction Model ◽  
Black Sea Region ◽  
Dynamic Copula ◽  
Wheat Market ◽  
The World ◽  
Market Leadership

This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and semi-parametric dynamic copula methods are used for this purpose. The results indicate a positive link between U.S. and Europe price discovery which is stronger, fluctuating less after August 2010 because of a drought occurring in the Black Sea region, and then lessens, fluctuating more after 2015 with the changing wheat trade map. Furthermore, after 2015, wheat market leadership moved from the U.S. to the European market, meaning price discovery is primarily located by the Marché à Terme International de France (MATIF) futures market.

Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

2018 ◽  
Vol 51 (5) ◽  
pp. 422-443 ◽  
Author(s):  
Jiawen Luo ◽  
Langnan Chen ◽  
Weiguo Zhang
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Oil Futures ◽  
Crude Oil Futures
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