In the thesis we analyze sixteen commodity futures markets belonging to four families (energy type, grains, metals and other agricultural commodities) utilizing futures prices of front, back and roll futures contracts. As the tests for cointegration between front and back futures prices give us contradictory results we concentrate on roll contracts defined as the difference between front and back commodity futures contracts. We found that all commodity roll futures except natural gas and wheat futures exhibit long memory, which is usually connected with the fractal market hypothesis. Further, we employ specific ARMA and ARFIMA models and rolling window one-day-ahead technique to predict roll futures contract prices. Based on analysis of relation between resulting predictability and liquidity of roll futures contracts we concluded that lowest predictability is linked with the lowest liquidity among all commodities except metals and found evidence that predictability is positively dependent on liquidity among all commodities except metals, lumber, soybean oil and soybeans. The revealed dependence is strongest for energy type commodities. The relations and dependencies on the commodity futures markets are of high importance for all market participants such as hedge managers, investors, speculators and also for...

In the thesis, we investigate whether hedge fund managers have liquidity timing skills in the fixed income market, foreign exchange market and commodity market, respectively. Managers with the liquidity timing skills can strategically adjust hedge funds exposure to the target financial market based on their forecasts about the future changes in market liquidity. We find empirical evidence that hedge funds in certain categories have the skills to time the liquidity levels in the fixed income market, foreign exchange market and commodity market. We conduct a range of robustness tests, which show that hedge funds still exhibit liquidity timing skills after controlling for the factors that may affect timing ability. In particular, our findings are robust to the usage of leverage, funding constraints, investor redemption restrictions, hedge funds trades on market liquidity, financial crisis, hedge fund data biases, market return and volatility timing, liquidity risk factor, systematic stale pricing and option factors. We also conduct bootstrap analysis to ensure the results are not dependent on the normality assumption. Our investigation is helpful to understand the importance of market liquidity to hedge funds professional portfolio management.

Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. Therefore, understanding the benefits that commodities could give to an investment portfolio might alleviate investors’ concerns. Several previous studies, as Belousova and Dorfleitner (2012) suggest, that the commodities with higher benefits are precious metals and gold, in particular. The purpose of our work is to understand which possible benefits are for equity investors and if they are common for certain commodities with different physical characteristics. The first part of our empirical work focuses on the main descriptive statistics of the return distribution (mean, variance, volatility, skewness, kurtosis and correlation) for 8 stock indices and 7 commodity futures. The main goal of this is to understand the differences among the commodities and between the commodities and the stock indices. In the second part of the empirical work, we test the safe-haven and the hedge properties of these commodities on a weekly basis for all of them with stock indices, and we do the same on a daily and monthly basis for only commodities which are negatively correlated on average with the stock indices. In the last part of our work, we combine these 7 commodities, following the principles of Bloomberg Commodity Index (BCOM), in order to create a well-balanced and well-diversified commodity index. Additionally, we create some mixed portfolios using this index and a different stock index every time. After that we look at the volatilities and the returns of these mixed portfolios with different weight combinations. Our main goals in this section are to understand the characteristics of the commodity index in comparison with stock indices and then, finding which weight combinations give the mixed portfolios the optimal risk-return trade off. Understanding which are efficient weights, can lead to conclusions about the weight that commodities should have in a portfolio according to the risk tolerance of the investors.  The research is done considering three time frequencies: daily, weekly and monthly; in line with the ones used by Baur and McDermott (2010). The sample size differs among these three different time basis. In fact, daily data started in January 2007 and the other two time frequencies data began with January 1997. All the time samples ended in March 2016. The results of the first part show that gold is the only commodity with a volatility similar to the stock indices (it also has a higher average return) and that on the daily, weekly and monthly basis. Whereas, the other commodities are much riskier than stock indices since they have higher volatility for all the three time-frequencies analyzed.  The results of the second part suggest that only gold is both a safe-haven and hedging commodity in line with the methodology used by Baur and McDermott (2010), but only for DAX 30 on a weekly basis. Furthermore, our results also show that natural gas is strong hedge in some cases such as natural gas for STI (Singapore) on a monthly basis or gold for Nikkei 225 on daily, weekly and monthly basis. Other commodities are neither safe-haven nor hedge in any case, except for silver which is a safe-haven commodity for DAX 30 and Sensex which at its worst, 1% and 5%, declines in the market respectively. The results of the last part of our work show that all the minimum variance mixed portfolios (the ones with the weights give the lowest risk) - made on a weekly basis - reduce the portfolio volatility and make the portfolio returns higher than the stock indices returns in 5 cases out of 8. Additionally, the results show how investors, who add a well-balanced and well-diversified commodity index to their portfolios, are able to observe several weight combinations and choose the one which suits their risk tolerance. Moreover, our results show that the optimal-weight combinations for commodity weights are lower than 0,5 only for FTSE 100 and S&P 500 (both values are 0,49) and higher than 0,62 but lower than 0,7 for DAX 30, Nikkei 225, Hang Seng, Sensex, SSEC. Furthermore, the optimal weight for STI is 0,54.

This dissertation consists of two essays. First essay investigates the implications of researcher data requirement on the risk-adjusted returns of firms. Using the monthly CRSP data from 1925 to 2013, we present evidence that firms which survive longer have higher average returns and lower standard deviation of annualized returns than the firms which do not. I further demonstrate that there is a positive relation between firms’ survival and average performance. In order to account for the positive correlation between survival and average performance, I model the relation of survival and pricing errors using a Farlie-Gumbel-Morgenstern joint distribution function and fit resulting the moment conditions to the data. Our results show that even a low correlation between firm survival time and pricing errors can lead to a much higher correlation between the survival time and average pricing errors. Failure to adjust for this data selection biases can result in over/under estimates of abnormal returns by 5.73 % in studies that require at least five years of returns data. Second essay examines diversification benefits of commodity futures portfolios in the light of the rapid increase in investor participation in commodity futures market since 2000. Many actively managed portfolios outperform traditional buy and hold portfolios for the sample period from January, 1986 to October, 2013. The evidence documented through traditional intersection test and stochastic discount factor based spanning test indicates that financializaiton has reduced segmentation of commodity market with equity and bond market and has increased the riskiness of investing in commodity futures markets. However, diversifying property of commodity portfolios have not disappeared despite the increased correlation between commodity portfolios returns and equity index returns.

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017 / This paper provides an empirical analysis of the effect of commodity price volatility on the volatility of the South African exchange rate and subsequently the returns on the equity of commodity producing firms listed on the JSE. GARCH and VAR models evaluate South African exchange rate and stock market data between the years 1995 and 2015. Results show that there exists a spill over and bidirectional relationships between the equity returns volatility and the volatility of the exchange rate. Findings also indicated that international commodity price shocks transmitted into the South African Rand. / MT2017

The general debate around political advertising on television has been that the political advertisements on television concentrate more on the images rather than the political issues and thus, create an electorate who is entertained by the catchy slogans and this hinders a well informed decision. The study investigates the rise of political advertising on television in South Africa and its implications for democracy. It is focused on the 2009 pre-elections and specifically on the political advertisements which appeared on national television during the pre-election period beginning from 30th March 2009 up until 20th April 2009. The study also examines the extent to which political advertisements on television commodify politics. Furthermore, it explores the themes covered in the political advertisements on television and the extent to which these political advertisements focus on the images than the themes. In addition, the study also looks into the underlying issues and complexities, such as regulation and funding and financing issues which are hidden from the public glare, accompanying the images and messages seen on television around election time. Qualitative methods are used and the study is both descriptive and explorative and as means of interpreting the data, thematic content analysis is used. The critical political economy of the media theory is employed as well as the democratic theories of the media, with a key focus on liberal democracy and deliberative democracy. Thus the findings showed that the political advertisements on television in South Africa were informative as they concentrated more on the themes than the images and, in many instances where the images were used it was mainly to support the message. However, the political advertisements had some emotional appeals which communicated emotions of sadness and despair as well as emotions of happiness and success. Character appeals were used at minimum and it was only three political parties which made use of their leaders with only one political party, out of the three, using their leader throughout the advertisement. The issue of commodity in politics was very prominent in the political advertisements on television thus it can be concluded that political advertising on television commodify politics to a large extent in the production and distribution process but to a minimum extent in the content. The implications of the rise of political advertising on television for democracy are twofold because they are both positive and negative. It is recommended that the regulations on political advertising on television be re-visited and reviewed. Thus, a prospective model for the regulation of political advertising on television is also illustrated in the study.

O objetivo desta dissertação é apontar para a duplicidade narrativa a partir da qual a história Zelig (1983) é contada. Por um lado, tem-se um narrador tradicional de um documentário em voz over, no entanto, sua forma de narrar acaba por revelar aspectos deste gênero como produção dentro da Indústria Cultural. Por outro lado, tem-se outra instância narrativa, conhecida como autor implícito, que coloca elementos em cena para que o espectador consiga ter uma leitura totalizadora da obra. Ademais, o filme Zelig, como produção cultural do início dos anos 1980, revela os desdobramentos e consequências de viver segundo uma ordem social pós-moderna. Observa-se, dentre outros fatores, a forma-mercadoria dominando todas as instâncias da vida social, além da espetacularização da sociedade presente em diversos aspectos da vida moderna. / The aim of this dissertation is to point to the narrative duplicity from which the story Zelig (1983) is told. On the one hand, there is a traditional voiceover documentary narrator, however, his way of narrating ends up revealing aspects of this genre as a production within the Cultural Industry. On the other hand, there is another narrative instance, known as implied author, who adds elements in the scene so that the viewer can have a totalizing reading of the work. Furthermore, Zelig, as cultural production from the early 1980s, reveals the ramifications and consequences of living according to a post-modern social order. We observe, among other factors, the commodity-form dominating all levels of social life. Moreover, the spectacularization of this society found in many aspects of modern life.

Esta dissertação busca analisar o filme The Big Lebowski (O Grande Lebowski, 1998), escrito e dirigido por Joel e Ethan Coen. Devido à grande quantidade de recursos estilísticos utilizados na construção da narrativa, o filme é considerado um exemplo inequívoco de uma obra pós-moderna. A narrativa não apenas se alimenta de incontáveis referências culturais, por meio da reciclagem de textos anteriores e da mistura de gêneros e estilos, mas também se apoia no uso de várias outras técnicas, como a repetição de motivos visuais, o uso recorrente de clichês e a fragmentação do enredo. Por outro lado, apesar da estética pós-moderna, é difícil ignorar a existência de um conteúdo histórico, uma vez que muitos temas relevantes são inseridos no fluxo da narrativa. A guerra do Golfo, o Reaganismo e os movimentos políticos dos anos 60 são alguns dos temas encontrados no filme, que tem como cenário a cidade de Los Angeles no início da década de 90. Nesse sentido, a nossa hipótese é de que o filme revela uma contradição entre duas tendências opostas: a estética pós-moderna e a representação do conteúdo histórico. / This dissertation aims at analyzing the movie The Big Lebowski (1998), written and directed by Joel and Ethan Coen. Owing to the great amount of stylistic devices deployed to construct the narrative, the movie has been regarded as an unequivocal example of a postmodern work. Not only does the narrative feed on countless cultural references, through the recycling of former texts and the mixture of genres and styles, but it also relies on many other techniques, such as the repetition of visual motifs, the recurrent use of clichés and the fragmented storytelling. On the other hand, despite the postmodern aesthetics, it is difficult to overlook the existence of a historical content, as many relevant themes abound in the narrative flow. The Gulf War, the Reaganism and the political movements of the sixties are some of the themes found in the movie, which is set in the city of Los Angeles in the early nineties. In this sense, our hypothesis is that the movie brings forth a contradiction between two opposing tendencies: the postmodern aesthetics and the representation of the historical content.

Thesis advisor: Christopher Baum / Thesis advisor: Fabio Ghironi / Do events in the natural gas market cause repercussions in the crude oil market? In light of the enormous impact that price movements in the two largest U.S. energy markets have on the economy, it is important to understand not just the individual markets but also how they relate to one another. On this front, the literature presents a puzzle: while economic theory suggests that the oil and gas markets are interlinked through a bi-directional causal relationship, empirical research has concluded that the oil market affects the gas market but not vice versa. The first chapter of this dissertation improves on the previous studies in two ways: by using high-frequency, intraday oil and gas futures prices and by analyzing the effect of specific news announcements from the weekly oil and gas inventory reports. The results dispel the notion of one-way causality and provide support for the theory. The reaction of the futures volatility and returns is asymmetric, although this asymmetry does not follow the "good news" vs. "bad news" pattern from stock and bond markets; the response depends on whether the shock is driven by oil or gas inventory gluts or shortages. The two-way causality holds not only for the nearby futures contract but also for contracts of longer maturities. These findings underscore the importance of analyzing financial markets in a multi-market context. The second chapter of this dissertation asks whether volatility and trading volume evolve in a unidirectional or bidirectional, contemporaneous or lagged relationship in the crude oil and natural gas futures markets. This question is important because it affects trading and government regulation but previous studies have come to conflicting conclusions. Their main shortcoming is the low frequency of data used in the analysis. This chapter improves on the previous studies in three ways: by using high-frequency, intraday oil and gas futures prices and volume, by including trading not only during the day but also during the night, and by analyzing not only the nearby futures contract but also contracts with longer maturities. For the nearby contract, Granger-causality tests show that past values of volume help explain volatility which agrees with the Sequential Information Arrival Hypothesis. Past values of volatility have explanatory power for volume only when absolute return is used as the volatility measure; when the conditional variance from GARCH models is used as the volatility measure, the causality in this direction disappears. These results change when low-frequency daily data is applied. It is also shown that the volatility-volume relationship differs for contracts with longer maturities. These findings are relevant for regulations, such as trader position limits recently adopted by the U.S. Commodity Futures Trade Commission. The third chapter of this dissertation investigates whether the production structure of firms affects international optimal portfolios, risk-sharing, and response of terms of trade (TOT) to shocks. The answer to this question would enhance our understanding of the home equity bias, yet it has not been addressed in the theoretical literature. This chapter studies the question in a two-country dynamic stochastic general equilibrium model with endogenous portfolio allocation. It shows that the optimal portfolio includes more home equity as the production structure changes from exporter-only, i.e., firms operating in their home countries and serving foreign markets by exports, to multi-national-company-extreme (MNC), i.e., firms hiring labor in both countries and producing locally in both countries. This shift occurs because changing the firms' production structure eliminates exposure to technology differences and allows the home household to accomplish the same diversification with less foreign equity. The production structure also has implications for the effect of technology shocks on the TOT. Under the exporter-only setup, a shock to technology causes a standard TOT deterioration, whereas under the MNC-extreme setup, a shock to technology leads to a TOT improvement. By producing testable predictions, this chapter underscores the need to take firms' production structure into account when analyzing international optimal portfolios, risk sharing, and response of the TOT to technology shocks. This is especially important since empirical research has generated conflicting results. / Thesis (PhD) — Boston College, 2012. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

Esta pesquisa tem como orientação principal o debate sobre o lugar do Facebook como um monopólio comunicacional e suas possíveis consequências. Está organizada em quatro aproximações que, relacionadas, respondem a questão da afinidade entre imagens, dramatização e produção de valor na fórmula comunicacional disponibilizada aos usuários pela plataforma, fazendo com que a realidade individual e coletiva passe por um filtro tecnologicamente mediado, e que seja apreendida e (auto)reflexionada por intermédio dessas relações. De tal maneira, a abordagem do problema e a proposta analítica passam pela relação da imagem com o eu, a ficção, a própria imagem e o suposto estatuto de imortalidade. Como resultado, por meio do fetichismo metodológico, a tese debate diferentes camadas narrativas da decorrente ficcionalização da vida, passando pela (1) produção de si; à (2) incursão de si na realidade e sua interpretação; à (3) produção dos fatos e a transformação da realidade em registro; ao (4) mercado de imagens e pessoas. / This research has focused primarily the debate on the place of Facebook as a communicational monopoly and its possible consequences. It is organized in four approaches that, related, answer the question of the affinity between images, dramatization and production of value in the communicational formula made available to the users by the platform, causing the individual and collective reality to pass through a technologically mediated filter, and that is apprehended and (self) reflected through these relations. In such a way, the approach of the problem and the analytical proposal go through the relation of the image with the self, the fiction, the own image and the supposed status of immortality. As a result, through methodological fetishism, the thesis discusses different narrative layers of the resulting fictionalization of life, from the (1) production of self; to (2) incursion of oneself in reality and its interpretation; the (3) production of facts and the transformation of reality into ledger; and the (4) market of images and people.