Price spread and convenience yield behaviour in the international oil market

Milonas, Nikolaos T.; Henker, Thomas

doi:10.1080/09603100150210237

Cited by 77 publications

(67 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This contradicts various results on other commodities where markets were in backwardation, e.g. Pindyck (2001), Considine and Larson (2001a,b) or Milonas and Henker (2001). Obviously, also the volatility term structure of spot and futures prices shows strong dynamics through time.…”

Section: Relationship Between Spot and Futures Pricescontrasting

confidence: 49%

“…Similar results were obtained by Botterud et al (2002) examining futures and spot prices in the Scandinavian Nordpool electricity market. Considine and Larson (2001a,b) also find backwardation with significant convenience yields in crude oil and natural gas markets, while Milonas and Henker (2001) get similar results for international oil markets. Investigating the Samuelson effect in an empirical study on the behavior of metal prices, Fama and French (1988) found that violations of this pattern may occur when inventory is high.…”

Section: Market Situationmentioning

confidence: 62%

See 1 more Smart Citation

Convenience Yields for Co2 Emission Allowance Futures Contracts

et al. 2006

View full text Add to dashboard Cite

In January 2005 the EU-wide CO 2 emissions trading system (EU-ETS) has formally entered into operation. Within the new trading system, the right to emit a particular amount of CO 2 becomes a tradable commodity -called EU Allowances (EUAs) -and affected companies, traders and investors will face new strategic challenges. In this paper we investigate the nature of convenience yields for CO 2 emission allowance futures. We conduct an empirical study on price behavior, volatility term structure and correlations in different CO 2 EUA contracts. Our findings are that the market has changed from initial backwardation to contango with significant convenience yields in future contracts for the Kyoto commitment period starting in 2008. A high fraction of the yields can be explained by the price level and volatility of the spot prices. We conclude that the yields can be interpreted as market expectation on the price risk of CO 2 emissions allowance prices and the uncertainty of EU allocation plans for the Kyoto period.

show abstract

Section: Relationship Between Spot and Futures Pricescontrasting

confidence: 49%

Section: Market Situationmentioning

confidence: 62%

Convenience Yields for Co2 Emission Allowance Futures Contracts

et al. 2006

View full text Add to dashboard Cite

show abstract

“…This estimation method is widely used in literature, see e.g., Milonas and Henker (2001). To check the sensitivity of our earlier results to this alternative measure, we replace the basis with convenience yield and then repeat the estimations for models II and III:…”

Section: Alternative Measure Of Arbitrage Opportunitiesmentioning

confidence: 99%

Arbitrage opportunities and feedback trading in emissions and energy markets

Chau

Kuo²,

Shi

2015

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

The full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. This finding is consistent with the notion that institutional investors are less susceptible to pursuing feedback-style investment strategies. In further analysis, our results show that the intensity of feedback trading is significantly related to the level of arbitrage opportunities, and that the significance of such relationship depends on the market regimes.

show abstract

“…Brennan, 1991;Milonas & Henker, 2001;Milonas & Thomadakis, 1997a;Sorensen, 2002). They can be compared with earlier studies because convenience yield was measured as the residual after subtracting storage costs from the intertemporal price spread.…”

Section: Literature Review-estimations Of the Supply Of Storagementioning

confidence: 99%

Updating the estimation of the supply of storage

Zulauf

Zhou²,

Roberts

2006

J. Fut. Mark.

View full text Add to dashboard Cite

An updated supply of storage is estimated to reflect recent developments in the literature. This study adds a measure of price variability, specifically implied volatility. It also adds a measure of the call-option value to sell stocks before the end of the storage period, specifically a measure developed by Heaney (2002). The model is estimated for U.S. soybean stocks carried between crop years. A quadratic relationship is found between stocks to use ratio and implied volatility. A statistically significant, inverse, linear relationship is found between the storage-cost-adjusted spread and the estimated call-option value. This finding is consistent with the much debated idea that convenience yield is a return to storage that can offset losses from storage when intertemporal price spreads are negative.

show abstract

Price spread and convenience yield behaviour in the international oil market

Cited by 77 publications

References 17 publications

Convenience Yields for Co2 Emission Allowance Futures Contracts

Convenience Yields for Co2 Emission Allowance Futures Contracts

Arbitrage opportunities and feedback trading in emissions and energy markets

Updating the estimation of the supply of storage

Contact Info

Product

Resources

About