Thesis (Ph. D.)--University of North Texas, Dec., 2007. / Title from title page display. Includes bibliographical references.

Thesis (Ph.D.)--George Mason University, 2008. / Vita: p. 75. Thesis director: Willem Thorbeck. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Economics. Title from PDF t.p. (viewed Aug. 27, 2008). Includes bibliographical references (p. 70-74). Also issued in print.

Thesis (M.S.)--Rutgers University, 2008. / "Graduate Program in Electrical and Computer Engineering." Includes bibliographical references (p. 80-82).

Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures market volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crisis. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators.

LL.M. / Die doel van hierdie verhandeling is om die reguleringsisteem in Suid-Afrika te beskryf soos wat dit betrekking het op termynkontrakte. Termynkontrakte vorm deel van 'n groep finansiele instrumente algemeen bekend as afgeleide instrumente. Die term 'afgeleide instrumente' is 'n generiese begrip wat gebruik word om verskeie finansiele instrumente te beskryf wie se waarde afgelei word van 'n onderliggende kommoditeit, wisselkoers of indeks. Termynkontrakte word op die Suid-Afrikaanse termynbeurs (SATEB) verhandel. Ter inleiding sal die sleutelaspekte rondom termynkontrakte en termynhandel kortliks bespreek word ten einde die leser 'n oorsig te bied. Die aspekte word egter in die loop van die verhandeling, onder die toepaslike hoofstukke, meer volledige verduidelik.

No description available.

Soybean crushing plants operate on a crush margin, which is the monetary difference between the combined sales value of mainly soybean meal and soybean oil and the cost of raw soybeans. However, given the high volatility in the prices of these three products, crushing plants normally secure these prices simultaneously. If not, they are vulnerable to the relative price variation between these three products. Futures markets, such as the Johannesburg Stock Exchange (JSE) Commodities Derivatives Market (CDM) (previously known, and hereafter referred to, as the South African Futures Exchange (SAFEX)), provide futures contracts that can be used as a mechanism for securing these prices. Soybean crushing plants would usually buy soybean futures contracts whilst simultaneously selling soybean meal and soybean oil futures contracts (in a ratio aligned with production), thereby securing the processing plant’s gross margin or better known in the industry as the ‘crush margin’. But this is only viable given adequate liquidity within these futures contracts (which is not the case for SAFEX soybean oil futures contracts). Furthermore, if South Africa is a net importer of the underlying commodity, as is the case with soybean oil, the CBOT contract, as traded on SAFEX futures’ price normally represents the majority of the import cost also known as the import parity cost. Therefore, with most soybean oil usually being imported from Argentina, one would expect SAFEX soybean oil futures contracts to reflect the cost of imported soybean oil from Argentina (which are significantly different at times through the season). However, currently (2020), the SAFEX soybean oil futures contract is a CBOT contract, that is dual listed and cash-settled . The research study seeks to determine whether this is a misspecification and whether or not SAFEX soybean oil futures contracts should rather be based on the Argentina fob soybean oil prices which is a much better representation of South Africa’s import parity and local industry prices. If correct, it may also explain why market participants are reluctant to utilize SAFEX listed CBOT soybean oil futures contracts, explaining the low trading volumes and inadequate liquidity. Hence, the study used the Engle-Granger (1987) cointegration approach, alongside a range of diagnostic tests to evaluate the existence of adequate long and short-run cointegration relationships amongst a linear combination of data variables underlying the current specifications of SAFEX soybean oil futures contracts versus that of an alternative linear combination of data variables that are cash settled of Argentina fob prices (settlement values). Essentially evaluating its efficiency under Eugene Fama’s semi-strong-form of market efficiency, in an attempt to identify possible misspecification by referencing CBOT settlement values as opposed to Argentina settlement values that could ultimately lead to greater participation and improved liquidity. The study however failed to produce overwhelming statistical evidence for using Argentina settlement values as opposed to CBOT settlement values. Diagnostic tests revealed possible misspecification amongst the long-run equilibrium relationships for both CBOT and Argentinian soybean oil future prices, while concluding for no-misspecification amongst CBOT soybean oil future prices in the short-run. These results suggest that SAFEX soybean oil futures contracts does not incorporate all the information used by market participants in forming a prediction of subsequent spot market prices in the long-run. But does however incorporate sufficient information for such practices in the short-run, attracting speculators who hope to profit from short-term price variations in the absence of hedgers (typically soybean crushers) who in turn seek to employ effective long-term hedging strategies. Therefore, the study rather pointed towards using CBOT settlement values until South Africa becomes self-sustainable, meeting local demand with local production. In such case, a local physically settled soybean oil futures contract should be listed that accurately reflects local supply and demand conditions, given the collective participation amongst the majority of market participants within the South African soybean industry. / Dissertation (MScAgric (Agricultural Economics))--University of Pretoria, 2021. / African Economic Research Consortium / Agricultural Economics, Extension and Rural Development / MScAgric (Agricultural Economics) / Unrestricted

This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.

Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and shed light on issues of market efficiency.

No description available.