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Part I of this dissertation examines the effect of financing costs on the efficiency of the T-bill futures market. The cost-of-carry model is used and three types of financing costs are selected as proxies for RP (repurchase agreement) rates. The results suggest that the cost-of-carry model assuming a constant RP rate is unreliable in explaining the pricing of T-bill futures. A search for "true" financing costs shows that such financing costs could be a nonlinearly weighted rate of the term RP rate (or the 90-day-maturity T-bill rate) and the federal funds rate. Theoretically implied RP rates in the year of 1983 are also generated for comparisons. Part II examines the impact of inflation uncertainty on the futures-forward rate differential. The cost-of-carry model assuming a constant RP rate ignores the future fluctuations of financing costs. A "risk premium" could arise due to inflation uncertainty. This part provides evidence that there exists a systematic relationship between the daily futures-forward rate differences and the inflation rate. Part III provides a theoretical treatment of the optimal arbitrage investment under uncertainty and of equilibrium pricing in the T-bill futures market. A dynamic stochastic programming model shows that a "myopic" property exists in the T-bill futures market in the sense that expectations of the future one-period price movements do not exert an impact on the current optimal arbitrage investment decision under uncertainty. It shows, however, that such a "myopic" property is not pure in that expectations of financing costs in the next period affect the investment decision in the current period. Equilibrium pricing of the T-bill futures is obtained under arbitrage arguments. It shows that an equilibrium price is achieved at the point where the expected current one-period arbitrage profits are zero when cost-of-carry is required, even in a multi-period setting.

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M.Com. (Taxation) / Financial prices such as interest rates, currency exchange rates and equity prices have become more volatile In recent years making financial costs more difficult to predict and control. Just as commodity Mures exchanges grew out of the need for a mechanism to protect producers and users of commodities from the effects of fluctuations In prices, so the financial futures markets have developed to provide a means of lessening the Impact of fluctuations in interest rates, currency exchange rates and share Indices. A futures contract Is a transferable agreement to buy or sell a standardised amount of a commodity of standardised quality at a fixed price on a specific future date underterms and conditions ofarecognised exchange. A significant milestone was reached in the development of South Africa's financial markets with the simultaneous publication and the release to the public of the reports of the Stals and Jacobs Committees in July 1988. The road had not been all that smooth up to that point. The 1985 debt standstill and all the implications which flowed therefrom had made for a somewhat bumpy ride. However, by mid·1988 the markets were once again picking up the threads and making furtherstrides forward. Flowing from the recommendations of these two committees has been the establishment of the South African Futures Exchange and the South African Futures Clearing Company where financial Mures will be freely traded. The South African tax authorities could not provide the above committee with clear guidelines as to how Mures transactions would be treated for tax purposes In the South African context, except that Receivers of Revenue, having regard to decisions handed down by the courts In a variety of cases considered over a period of many years, would decide whether any particular transaction, or series of transactions, Is ofe~her a ·revenue" or "capital" nature. If the transaction is considered to be on "revenue" account, then the profit (or loss) Is taken Into account In the determination of taxable Income for Income tax purposes. The distinction becomes of paramount Importance when dealing In futures as no capital gains tax exists In South Africa and personal and company tax rates are relatively high.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / This study provides an analysis of the effectiveness of the foreign currency hedging abilities afforded by the futures market. The focus is on the currencies of six emerging markets, namely; Brazil, India, Mexico, Russia, South Africa and Turkey. By examining emerging market currencies we can examine the effect that possible mispricing and lack of liquidity can have on hedging effectiveness. To this effect, this article uses the regression method, as allowed by the accounting standard FAS 133, to assess the effectiveness of futures contracts as a hedging mechanism for emerging market currencies. The methods follow previous studies such as Hill and Schneeweis (1982) which consider the length of the hedging horizon and time to expiration due to their effect on hedge effectiveness. Results indicate consistent hedge effectiveness in only South Africa and Turkey, with reasonable hedge effectiveness exhibited by Mexico and Russia. Sensible explanations are given for the extreme hedge ineffectiveness that can be seen in the Brazilian and Indian tests.

Thesis. 1980. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Includes bibliographies. / by Kenneth S. Rogoff. / Ph.D.

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Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 102-104). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 102-104). Also available on the Internet.

This dissertation investigates various issues of interest regarding the workings and uses of commodity futures markets. Chapter II evaluates the relative performances of various estimators of bid-ask spreads in futures markets using commonly available transaction data. Results indicate a wide divergence in the performance of the competing estimators. This chapter also examines the effect of automating trading on spreads in commodity futures markets. Results indicate that spreads generally widened after trading was automated on the markets considered, and the tendency for spreads to widen during periods of high volatility increased. These results are in contrast to those found in higher volume financial futures markets. Chapter III investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. I find no evidence supporting the generalized version of Keynes's theory of normal backwardation. I find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. My evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation. Chapter IV examines partial equilibrium and statistical approaches to hedging. Different types of hedgers have traditionally used each of two approaches: derivatives dealers and market makers have typically used the former approach to hedge their portfolios, while commodity producers and consumers more commonly use the latter. This research provides the first known comparison of the out-of-sample hedging performance of the two approaches. Results indicate that for a simple derivative with a linear payoff function (a futures contract), the statistical models significantly outperform the partial equilibrium models considered here.