Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / Recent unexpected variability in the earnings of agribusinesses in South Africa has led stakeholders to ask as to why projected financial performance tended to be so different from the actual results achieved. This paper aims to make an empirical contribution to the discussion on the effects of soft commodity price volatility on the returns of entities whose major business involves derivatives trading in agricultural commodity products. Firstly, mathematical models for commodity price volatility are determined for the major agricultural commodities on the South African Futures Exchange (SAFEX) using the autoregressive conditional heteroskedasticity (ARCH) and the generalised autoregressive conditional heteroskedasticity (GARCH) type of approaches. Secondly, the study then seeks to ascertain whether there are causality links between the commodity price volatility and the returns or earnings realised by selected agribusinesses over time. The paper then discusses some trading strategies that are applicable given that commodity price volatility can be forecasted using the statistical models identified under the study.

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Thesis (L.L.M.)--University of Hong Kong, 1990. / Includes bibliographical references (leaf 186).

Thesis (L.L.M.)--University of Hong Kong, 1990. / Includes bibliographical references (l. 186). Also available in print.

Dissertation Submitted in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy in Management Graduate School of Business Administration University of the Witwatersrand April 2016 / This thesis examined commodity futures on the South African Futures Exchange (SAFEX) from two angles; the investors’ perspective and that of the futures exchange. For the former, the research looked at market inefficiencies and resultant arbitrage opportunities while for the latter, extraordinary market movements are examined by exploring how extreme value analysis (EVA) is ideal for exchange risk management and maintaining market integrity. This broadly leads to four empirical contributions to the literature on commodity futures. Using a variety of time series models, wheat contract anomalies are identified by developing new trading rules whose outcomes are superior to any approach based on chance. Monte Carlo simulation employed in an out-of-sample period after accounting for transaction costs establishes that the trading rules are financially profitable. An examination of information flows across four major markets indicated that the Zhengzhou Commodity Exchange (ZCE) is the most endogenous market, Euronext and the London International Financial Futures Exchange (LIFFE) the most exogenous, while Kansas City Board of Trade (KCBT) is the most influential and sensitive wheat market. SAFEX is a significant receiver of information but does not impact the other markets. Another contribution, analysing maturity effects by incorporating traded volume, change in open interest, and the bid-ask spread while accounting for multicollinearity and seasonality indicates that only wheat supports the so called maturity effect. Lastly, asymmetry is found in long and short positions in SAFEX contracts, and using extreme value theory (EVT) in margin optimization, evidence is found that price limits significantly impact large contract returns. Several implications arise from these results. SAFEX wheat contract inefficiencies could be attractive to speculators. Wheat margins should be higher nearer maturity. Optimizing margins using EVT could reduce trading costs, increase market attractiveness and liquidity while enhancing price discovery. South Africa should increase wheat production since reducing imports will lower vulnerability to adverse price transmission. JEL Classification: C13, C14, C58, G01, G13, G17 Keywords: Futures market; commodities; volatility; seasonality; information flows, margins / MB2016

This paper investigates the liquidity and the bid-ask spread components of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts, Taiwan Stock Exchange Electronic Sector Index futures contracts, and Taiwan Stock Exchange Banking and Insurance Sector Index futures contracts traded on the Taiwan Futures Exchange, which switched from an electronic periodic call auction market to an electronic continuous auction market on July 29th 2002. It is a rare opportunity to deeply examine the liquidity and transaction cost components of financial derivatives under different trading mechanisms. Using intraday transaction data of transaction and quotes covering from March 2002 to May 2002 for the old trading mechanism and from October 2002 to December 2002 for the new trading mechanism, liquidity measures and bid-ask spread components are examined before and after the enforcement of the electronic continuous auction mechanism. First, for each type of futures contracts, liquidity measures including bid-ask spread, trading volume, trade number, trade size, volatility, and liquidity ratio are explored to show the multifacet of liquidity. Next, the model of Lin, Sanger, and Booth (1995) is used to decompose the spreads of each product in the two periods. The empirical results show that quote spreads, effective spreads, percentage effective spreads, and dollar-weighted percentage effective spreads of the new system are all significantly lower than those measures in the old system for all of the three types of futures contracts. However, other liquidity measures do not show the same patterns. Overall, improvement of liquidity is found for futures contracts but not very consistent though. Multifacet of liquidity is showed by different measures, although two of these measures, including trade size and trade number, may not be suitable for this study. Moreover, the adverse selection is the most important component in the call auction market, which decreases in the continuous auction market. However, the change of other components, including order processing cost and order persistence, does not demonstrate the same pattern. The results indicate that the electronic continuous auction system protects uninformed traders from being hurt by informed traders. However, we also show that each type of futures contracts has its own specific component structure.

Master´s thesis deals with possibilities of exchange rates risk reduction in the company FLÍDR, s.r.o. Exchange rate volatility has begun to be a serious problem of many business entities. Unfortunately, the Czech Republic will not join Economic and Monetary Union of the European Union for longer time. The outcome of Master´s thesis is the suggestion of utilization of financial derivatives and proposal of new financial derivatives. Proposed financial derivatives are composed to minimize exchange rate risk in the company FLÍDR, s.r.o., and to minimize losses caused by exchange rate volatility of Euro currency.