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

博士（経営） / 甲第735号 / 162 p. / 一橋大学

This study examines the relationship between unemployment rates and oil price, oil price uncertainty, and interest rates. This relation is examined by testing for both cointegration and causality between the variables. By employing the Autoregressive Distributed Lag (ARDL) method this study managed to examine the long-run cointegration between unemployment rates oil price, oil price uncertainty, and interest rates. A modification of the ARDL method is the error correction method which was used to find the short-run dynamics and the speed of convergence back to equilibrium after a shock. Fully modified ordinary least squares (FMOLS) regression was then applied to find the optimal estimates of the long-run coefficients for the regressions. The Toda-Yamamoto Granger causality test is used to find the direction of causality between the variables. These tests were conducted on Sweden, Norway, Denmark, and Finland on monthly data from January 2008 to February 2020. A cointegration relationship was found for Sweden, Norway, and Denmark. The long-run coefficients from the FMOLS regression showed that increased oil prices lead to increased unemployment rates for Sweden and Denmark. All countries except Denmark show evidence of causality from oil prices on unemployment indicating a strong relationship between these two variables. Some countries show causality from oil price uncertainty and interest rates on unemployment rates. These results provide important guidance for policymakers on how to design good economic policies.

The nexus among foreign direct investment (FDI) inflows and the Mexican economic growth has been the subject of a number of recent papers. Yet, previous studies frequently overlook its relationship to human capital and consequently ignore potential interlinkages between the variables. By running an ARDL model and thereafter applying the Granger causality technique derived by Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996) this paper investigates the relationship among FDI and economic performance in Mexico during 1970-2018 after incorporating human capital into the framework. When including human capital, measured as gross enrolment ratio in tertiary education, FDI inflows and real GDP per capita have an insignificant long-run relationship. However, this paper finds a Granger-causal relationship running from FDI inflows to human capital. Human capital, on the other hand, precedes real GDP per capita and the main implication is thus that FDI may not spur economic performance directly, but indirectly through its significant effect on the enrolment ratio in tertiary education. Therefore, to ignore the influence of human capital may result in deceptive conclusions regarding the Mexican FDI-growth nexus.

In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. With a statistical focus, a trading algorithm is built which is then evaluated on data between the years 2018 to 2021. The statistical concepts this thesis is based on are stationarity and cointegration and it is the Augmented Dickey-Fuller test that forms the basis for being able to test these concepts. The risk-adjusted return for the strategy is evaluated using the popular measure Sharpe ratio, which is then compared to the Sharpe ratio for the OMXSBPI-index. The results obtained in this study can not confirm that the pairs trading strategy is better than a buy-and-hold strategy on the OMXSBPI-index in terms of risk-adjusted return. One indication, however, is that the strategy seems to perform better in conditions when the market is declining. In 2018, the index went down by 7.7060 while the strategy went up by 7.5100 percent. As it is data for only one year, it is not possible to determine whether it is due to chance or a potential edge of the strategy.

In this study we analyse the relationship between renewable energy, electricity prices, and the stock market. The impact from electricity prices on stock markets have previously been thoroughly analysed. However, our study evaluates if a country’s share of renewable energy in their electricity production impacts the strength and size of the relationship in question. We use data from eight countries of rather equal economical sizes but that uses very opposed energy sources. Sweden, Norway, Finland, and Latvia represent countries with high amounts of renewable energy. While Belgium, Netherlands, Poland, and Hungary constitute countries with low shares of renewable energy. By using daily data between January 2016 and December 2021, we aim to understand the relationship of electricity prices and stock market indices and the role of renewable energy in this relationship. We do this by using Johansen’s cointegration test as well as analysing the correlation between volatilities through a DCC-GARCH(1,1). We find that both tests indicate a negative correlation between the electricity and stock markets as well as for their volatilities. In addition, we find some disparities between countries depending on their share of renewable energy. The impact of electricity prices on the stock market tends to be more pronounced for countries that use larger shares of renewable energy. Finally, findings suggest that the energy source used for electricity production also constitute an important factor in the connectivity of the markets. Wind power was found to be the main cause to the larger fluctuations on the electricity market leading to stronger relationship to the stock market. While hydro power is the more stable option of renewable energy with smaller variances and large storage capacity, weakening the link between the electricity market and stock market.

This study examines the lagged short run and long-term relationships between output growth and related index returns of the industrial and financial sectors of the G-7 economies. This study examines this relationship using quarterly data for a maximum time period of 22 years ranging from 1994(Q4) to 2017(Q4). The relationship between sector specific output growth and related index returns of the G-7 is investigated within this study, in order to determine whether passive investors should incorporate expected growth prospects into their decision making in order to earn superior returns. In order to examine the relationship between sector specific output growth and the related index returns of the G-7, this study uses correlation, cointegration as well as causality testing. This study finds weak non-lagged correlation relationships between output growth and related index returns of the industrial and financial sectors of the G-7 economies, with the correlation relationships becoming stronger in all cases when lags are incorporated within the correlations analysis. This study also finds cointegrating relationships between financial sector output growth and related index returns of Italy and the United Kingdom and that financial index return data of the United Kingdom serves as a leading indicator for financial sector growth within the United Kingdom. The overall Implication of these results is that investors should not incorporate growth prospects into their decision making of which passive funds to invest in, of which these passive funds examined track the performance of industrial and the financial firms within the G-7 economies.

The U.S. furniture industry has faced the challenge from increasing imports of furniture from foreign countries over the last decades. In the first part of this thesis, the import pattern of wooden bedroom furniture and the antidumping investigation against China were summarized, and furthermore, intervention analysis was employed to assess its impacts on the import value and unit price of China. The results revealed that the impact on import values was temporary but there was no significant impact on unit prices. The traditional suppliers have been substituted by the newly developing countries such as China and Vietnam. In the second part of this thesis, to explain the market structure change, a dynamic AIDS model was used to analyze the consumer behavior and evaluate the impacts of antidumping investigation on the major competitors in the second part. The results indicated that most imported wooden bedroom furniture can be substituted between suppliers and trade diversion occurred from China to Vietnam, Indonesia, and Brazil.

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This paper examines the long-run relationship between exchange rates and prices in ten countries in Southwest Asia, Africa, and the Pacific Rim for the post-Bretton Woods period. It uses cointegration tests to investigate the thesis that relative purchasing power parity exists as a long-run equilibrium condition between country-pairs. It expands upon tests for relative purchasing power parity suggested by previous authors by pretesting price index time series for structural breaks, in addition to pretesting the price indices and exchange rates for compatible stochastic properties. It compares the results of conventional cointegration tests for parity with a weaker form of the relationship suggested by Pippenger (1993) and Patel (1990), and finally, examines purchasing power parity by testing real bilateral exchange rates for stationarity. / Master of Arts