by Leung Wai-Lun, Ma Chuen. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 74-75.

This thesis is a collection of four separate papers with a core theme: commodity futures manipulation. It aims to answer three important questions. How vulnerable are futures markets to manipulation? What are the effects of manipulation? How should futures markets be regulated? We first set up a one-shot game-theoretical model (Chapter 2) with certain classes of heterogeneously informed traders to consider how vulnerable a futures market to manipulation is, what influences this vulnerability and how manipulation affects the functioning of the market. This model predicts that futures manipulation may occur in equilibrium with a positive possibility if the deliverable supply is less than perfectly elastic, and the large trader possesses a certain amount of private information (here relating to his "type"), and more important, the functioning of futures markets is adversely affected by manipulation. In Chapter 3, we attempt to extend the above analysis into a dynamic context with a slightly modified market structure with the purpose to show how a large trader can manipulate a market through dynamically strategic trading when the hedger trades rationally, observes contract delivery process and may opt out of futures trading. This model also predicts a positive probability of manipulation in equilibrium. One interesting result from this model is that the adverse effects of manipulation may be lessened due to the introduction of exogenous uncertainty in a futures market. This may justify certain types of regulation against manipulation initiated by exchanges or regulators, such as trading for liquidation only, emergency price or position limits, etc. Chapter 4 moves to investigate empirically the economic effects of the alleged Sumitomo manipulation on the London Metal Exchange (LME). The results support our theoretical analysis. We find the evidence that the manipulation not only reduced the accuracy of "price discovery", but also influenced the basis and basis risk in the futures market. Thus the functioning of the LME was undermined. Furthermore, by comparing the actual LME cash price with a VAR forecast, we find that the LME cash prices were generally above the forecast prices during the period of alleged manipulation, but not significantly. Finally, we discuss the regulatory implications of futures manipulation in Chapter 5, and argue that manipulation should be one of the major concerns for futures regulation. We also undertake a comparative study of futures regulation in the US and the UK, and propose specifically how cost-effective futures (derivatives) regulation may be achieved in the UK.

The 2008 financial crisis provides a valuable opportunity to study empirical data of market volatility during severe financial crisis. In this thesis, we study the implied volatility of VIX options during the crisis (2008) and a relatively calm period (2011). We present a method of calculating the implied volatility of VIX options and fit the implied volatilities using a 4th degree spline interpolation and propose method of extracting risk neutral density from fitted data. We analyze the slope and the level of the fitted implied volatility of VIX options during those periods. The results show that the level of the implied volatility of VIX options is higher and the slope is flatter during the distressed market compared to the relative calm periods.

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Thesis (doctoral)--Universität St. Gallen, 2001.

Thesis (M. Econ..)--University of Hong Kong, 2001. / Includes bibliographical references.

Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2003. / Includes bibliographical references (leaves 95-99). Also available in electronic version. Access restricted to campus users.

This paper is intended to better understand the effects of speculation on crude oil prices. While speculation has many benefits such as increasing market liquidity and bearing market risks that other wish to offset, speculation can also create unwanted market volatility and economic bubbles. During the past decade, crude oil prices have been extremely volatile causing increased controversy between investors and regulators regarding the role that oil speculation has played in the price of crude oil. This report examines the relationship between crude oil spot and futures prices to determine the role arbitragers, speculators, and hedgers have had in crude oil pricing. / text

Commodity futures markets are often thought of as good examples of perfectly competitive markets. However, there are many commodities that are produced in concentrated industries and traded on large commodity exchanges. Nickel, aluminum, lead, zinc, tin, oil, and coffee are some examples. This thesis examines the effects of concentrated production on output and prices in these markets. The analysis includes the possibility that firms can trade futures contracts for their output and also store their output. A dynamic model is developed that examines how a duopoly could use futures trading and storage strategically to affect outcomes in subsequent periods. I examine futures trading for a perishable good and storage with no futures trading separately in order to highlight the potential stategic use of these activities on their own. I also analyse a model in which both futures trading and storage are allowed. I show that both futures positions and storage would be used strategically by the duopolists, in contrast to the results of previous work that used two-period models only. By allowing for uncertainty in the form of demand and cost shocks, the solution to the model can be used to provide some implications for correlations among industry level variables. These correlations are examined for the world lead, zinc, and copper industries. Weak support for the model is found, however, estimation of the vector auotregression implied by the model suggests the model in its present form is unable to fit the data very well.

Thesis (M.S.)--Virginia Polytechnic Institute and State University, 1993. / Vita. Abstract. Includes bibliographical references (leaves 65-66). Also available via the Internet.