Re Examining The Futures Market Efficiency Using A New Approach In The Presence Of A Time Varying Risk Premium
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| Author | : Duminda Kuruppuarachchi |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
| Author | : Mr.Manmohan S. Kumar |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 1990-12-01 |
| Genre | : Business & Economics |
| ISBN | : 145194196X |
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
| Author | : Graciela Kaminsky |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
| Author | : Wing-Keung Wong |
| Publisher | : Mdpi AG |
| Total Pages | : 232 |
| Release | : 2022-02-17 |
| Genre | : Business & Economics |
| ISBN | : 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
| Author | : Shen Cao |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Gold, silver, and copper futures market efficiency is examined by looking at whether futures contract prices contain useful information about future spot prices. The Fama and French (1987) regression approach is applied to test whether the futures price has forecast power on the spot price or if it contains information about the premium to be realized at maturity. The result suggests that the futures price of gold has some forecast power while the futures price of copper contains information about the time-varying premium. Unit root and co-integration analysis indicates that futures prices and spot prices of gold, silver, and copper are co-integrated at 95% confidence level. This means that the futures contract prices are unbiased predictors of future spot prices. Thus, the efficiency of the gold, silver, and copper futures markets is supported. The univariate GARCH test finds evidence of conditional time-varying volatility for both futures and spot series. Also, positive asymmetry where positive price shocks are associated with greater volatility increases than negative price shocks is revealed. As the gold, silver and copper futures contract series and spot series are almost perfectly correlated, naïve or 1-1 hedging reduces almost all of the variance and realizes high hedging effectiveness. The strong correlation of futures and spot returns supports the hypothesis that futures markets are efficient. Keywords: futures; market efficiency; GARCH; hedge effectiveness.
| Author | : Dimitris Margaritis |
| Publisher | : |
| Total Pages | : 20 |
| Release | : 1991 |
| Genre | : Foreign exchange futures |
| ISBN | : |
| Author | : Linda Ginzel |
| Publisher | : Agate Publishing |
| Total Pages | : 154 |
| Release | : 2018-10-16 |
| Genre | : Business & Economics |
| ISBN | : 1572848456 |
Choosing Leadership is a new take on executive development that gives everyone the tools to develop their leadership skills. In this workbook, Dr. Linda Ginzel, a clinical professor at the University of Chicago’s Booth School of Business and a social psychologist, debunks common myths about leaders and encourages you to follow a personalized path to decide when to manage and when to lead. Thoughtful exercises and activities help you mine your own experiences, learn to recognize behavior patterns, and make better choices so that you can create better futures. You’ll learn how to: Define leadership for yourself and move beyond stereotypes Distinguish between leadership and management and when to use each skill Recognize the gist of a situation and effectively communicate it with others Learn from the experience of others as well as your own Identify your “default settings” and become your own coach And much more Dr. Linda Ginzel is a clinical professor of managerial psychology at the University of Chicago’s Booth School of Business and the founder of its customized executive education program. For three decades, she has developed and taught MBA and executive education courses in negotiation, leadership capital, managerial psychology, and more. She has also taught MBA and PhD students at Northwestern and Stanford, as well as designed customized educational programs for a number of Fortune 500 companies. Ginzel has received numerous teaching awards for excellence in MBA education, as well as the President’s Service Award for her work with the nonprofit Kids In Danger. She lives in Chicago with her family.
| Author | : Andrew Ang |
| Publisher | : Now Publishers Inc |
| Total Pages | : 99 |
| Release | : 2011 |
| Genre | : Business & Economics |
| ISBN | : 1601984685 |
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
| Author | : Robert A. Meyers |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 919 |
| Release | : 2010-11-03 |
| Genre | : Business & Economics |
| ISBN | : 1441977007 |
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
| Author | : Various |
| Publisher | : Routledge |
| Total Pages | : 10558 |
| Release | : 2021-12-02 |
| Genre | : Business & Economics |
| ISBN | : 1136264922 |
Current interest in the history of money and banking remains strong and it is opportune to survey developments both in the UK, USA, Europe and Asia. This set provides historical analysis which incorporates research from the early twentieth century onwards in a form that is both accessible to students of money & banking and economists, economic historians and bankers This set re-issues 38 volumes originally published between 1900 and 2000. It charts the history of early banking, discusses banking in the UK, Europe,Japan and the USA, analyses banks as multinationals, the UK mortgage market, banking policy and structure and examines specific sectors such as gilts and gold.
