Commodity Market Structures, Evolving Governance and Policy Issues

Nissanke, Machiko

doi:10.1057/9780230274020_4

Cited by 7 publications

(3 citation statements)

References 14 publications

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“…For the past decade, the price efficiency of future contracts had been one of the most dominant themes in commodity research. While the claim of future market prices discover the spot market prices have been a well-established theory in the literature, it is still seriously questioned, primarily due to the excessive volatilities in commodity prices contributing to the global financial crisis of 2008 (Nissanke, 2010). Undoubtedly, the main criticism against the use of derivatives is their potential impact on the volatility of spot markets (Capelle-Blancard, 2010).…”

Section: Theory and Backgroundmentioning

confidence: 99%

“…The debate over return and volatility spillovers between commodity spot and futures markets raises a valid argument that the market participants with interests in physical commodities are facing challenges in estimating the risk, deciding storage and trading as the information from the commodity futures markets are complex and uncertain. The increased interactions of financial and commodity markets have served as one fast transmission channel of the global financial crisis to the developing world (Nissanke, 2010). Hence, this paper derives its motivation from the following considerations.…”

Section: Theory and Backgroundmentioning

confidence: 99%

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Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India

Nair

2021

IGDR

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Purpose This paper aims to investigate price responses and volatility spillovers between commodity spot and futures markets. The study ultimately seeks the evidence-based claims on the efficiency of the long run and short run horizontal price transmissions from futures markets to spot markets. Design/methodology/approach This study used the most recent daily price series of pepper, cardamom and rubber, during the period 2004–2019, use “cointegration-ECM-GARCH framework” and verify the persisting validity of the “expectancy theory” of commodity futures pricing. Findings The results offer overwhelming evidence of futures market dominance in the price discoveries and volatility spillovers in spot markets. However, this paper finds asymmetric responses between cash and futures prices across markets. The hedging efficiency of futures contracts is commodities specific’ where spices futures are more efficient than the rubber futures. Practical implications The study passes on vital information to the producers and traders of spices and rubber who have a potential interest in the use of futures contracts to make profits from arbitrage between futures and cash markets. Originality/value The paper is unique in terms of understanding asymmetric price linkages in markets for plantation crops.

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Section: Theory and Backgroundmentioning

confidence: 99%

Section: Theory and Backgroundmentioning

confidence: 99%

Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India

Nair

2021

IGDR

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“…Of course the process of concentration as an element of creative destruction might have at least a temporary depressing effect on prices rather than the increasing effect associated with monopoly in static equilibrium. 12 10 See Nissanke (2010b) for an extensive discussion of the impact of government policies on prices of primary commodities. 11 In the case of both gold and oil the absence of a statistically significant positive trend in real price can be attributed to falling prices in years prior to the cycles shown in Table 2.…”

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confidence: 99%