Marginal speculation and hedging in commodity markets

Ulusoy, Veysel; Onbirler, Özgür Ünal

doi:10.1016/j.frl.2017.07.020

Cited by 9 publications

(6 citation statements)

References 10 publications

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“…Nonlinear Granger causality tests, continuous Granger causality tests, and more complex GARCH variants (EGARCH, EPGARCH, M-GARCH, and so on) can also be used in the research. These methods have already been applied by other authors, but this also includes other product markets (Palazzi et al, 2020;Ulusoy & Onbirler, 2017).…”

Section: Discussionmentioning

confidence: 99%

“…These are various time elution methods: the Granger causality test (Wellenreuthe & Voelzke, 2019); the Diks-Panchenko test (Palazzi et al, 2020). Other authors also use GARCH methods to analyze variability, including their modifications EGARCH (Czudaj, 2019), TGARCH (da Silveira et al, 2017), DCC GARCH (Ulusoy & Onbirler, 2017), stochastic volatility modeling (Du & Dong, 2016), and HAR models (Brunetti et al, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

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The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

Staugaitis,

Christauskas

2023

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Research background: The study analyzes whether financial speculation destabilizes commodity prices in light of recent price volatility and spikes in agricultural commodities. The study delves deeper into the US dairy futures markets, which are less studied by other authors in their research and relatively new in comparison to other agricultural commodity markets. These dairy commodity futures contracts provide dairy businesses and farmers the chance to hedge against price risks, which are particularly crucial in uncertain economic times such as the post-2020 COVID-19 pandemic timeframe. The analysis makes use of the weekly returns on futures contracts for nonfat milk powder, butter, milk class III, and cheese that are obtained from the Chicago Mercantile Exchange (CME). Purpose of the article: Conduct an empirical study to evaluate the effect of financial speculation on dairy product prices on US commodity markets, including the post-2020 timeframe. Methods: Time series analysis is used in the investigation: the generalized auto-regressive conditional heteroskedasticity (GARCH) method, the Granger causality test, and the Augmented Dickey-Fuller (ADF) test. Findings & value added: Our analysis's findings show that, even though most commodities experienced an increase in return volatility during the post-2020 period, there is no evidence for financial speculation being the cause of increased returns from dairy futures contracts. The research also suggests that financial speculation, in some cases, even lowers the volatility of dairy futures prices. Therefore, non-commercial market participants may help to distribute price risks, making these markets more liquid.

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Section: Discussionmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

Staugaitis,

Christauskas

2023

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“…(1) conditional mean equation for conditional variance and (2) conditional mean equation for conditional error distribution. A GARCH (1,1) specification used in this paper is as follows (Katsiampa 2018;Ulusoy and Onbirler 2017): Exploring the Nexus Between Inflation Expectations, LIBOR, and Coinbase Index, Fig. 2 Short-run changes in Coinbase Index, LIBOR, and FYIE.…”

Section: Garch/tgarch and Egarchmentioning

confidence: 99%

Exploring the Nexus Between Inflation Expectations, LIBOR, and Coinbase Index

Naidu

Patel

Chand

et al. 2019

Global Encyclopedia of Public Administration, Public Policy, and Governance

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DefinitionsCoinbase Index (CBI): This index tracks the performance of the digital assets listed by Coinbase, which is weighted by the market capitalization.One-month London Interbank Offered Rate (LIBOR): The London Interbank Offered Rate is the average interest rate at which the large banks borrow money from other banks in the London market. It is also used as a proxy for the short-term interest rate.Five-year inflation expectations (FYIE): Measures the expected inflation for the 5-year period that starts from today.

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“…Another benefit of the coverage is presented by Fok, Carroll, and Chiou [1] who argue that covering a company generates less volatility in profits; however, they improve the value of the company because the coverage reduces the likelihood of financial problems, reduces the costs of the debt agency and reduces some equity costs. Ulusoy & Onbirler [4] for their part indicate that it is the use of options together with futures in the case of cash flows and that they are already stabilized.…”

Section: Introductionmentioning

confidence: 99%

Stock portfolio hedging with financial options

Jaramillo-Restrepo

Jiménez-Gómez

Acevedo-Prins

2020

IJEECS

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<span lang="EN-US">The financial market currently offers derivative products whose characteristics allow investors to reduce the negative impact of natural market fluctuations on the value of their assets. Hedging with financial options is one of the possible strategies that an investor can implement in order to reduce the exposure or risk of their investments. This paper aims to assess the real impact of financial options as a hedging instrument on an investment portfolio made up of variable income assets of the Colombian market. The results show that for options with an upward trend, call options allow future losses to be hedged; on the other hand, for bearish trends, coverage is made with put options.</span>

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Marginal speculation and hedging in commodity markets

Cited by 9 publications

References 10 publications

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

Exploring the Nexus Between Inflation Expectations, LIBOR, and Coinbase Index

Stock portfolio hedging with financial options

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