Author: Norzalina Ahmad
Publisher:
ISBN:
Category :
Languages : en
Pages : 332
Book Description
This thesis contributes to the existing literature by presenting the substantive essays on the Malaysian CPO futures market. In the first essay, the market efficiency test for the long-run, short-run and relative efficiency is applied under both open-outcry and electronic trading systems in the Malaysian Derivatives Markets. The findings reveal that the Malaysian CPO futures market is efficient in the long-run but inefficient in the short-run for both trading systems. The relative efficiency ratio test suggests that the level of inefficiency is higher in the electronic trading system and tends to increase with time to maturity. The second essay examines price discovery by utilizing the cost-of-carry model with incorporating an endogenously convenience yield. This model also is able to detect the market characteristics whether in backwardation or contango. The main result shows that the futures price is the main contributor to the price discovery function in the Malaysian CPO market. Furthermore, the long-run backwardation is significantly exist in the CPO futures market. Another finding reveals the positive CPO convenience yields and its value increases with time to maturity. The third and final essay explores the long memory properties of futures-spot basis and interest cost on market efficiency. The empirical result shows that the CPO futures basis can be characterised by both long memory and structural breaks. Moreover, the interest cost also shows the evidence of the long memory component. These findings are not consistent with unbiasedness hypothesis and therefore, past prices can be used to predict the future spot price. A new finding reveals that the level of persistence in futures basis and interest cost, increases when time to maturity increases.
Essays on the Crude Palm Oil Futures Market
Author: Norzalina Ahmad
Publisher:
ISBN:
Category :
Languages : en
Pages : 332
Book Description
This thesis contributes to the existing literature by presenting the substantive essays on the Malaysian CPO futures market. In the first essay, the market efficiency test for the long-run, short-run and relative efficiency is applied under both open-outcry and electronic trading systems in the Malaysian Derivatives Markets. The findings reveal that the Malaysian CPO futures market is efficient in the long-run but inefficient in the short-run for both trading systems. The relative efficiency ratio test suggests that the level of inefficiency is higher in the electronic trading system and tends to increase with time to maturity. The second essay examines price discovery by utilizing the cost-of-carry model with incorporating an endogenously convenience yield. This model also is able to detect the market characteristics whether in backwardation or contango. The main result shows that the futures price is the main contributor to the price discovery function in the Malaysian CPO market. Furthermore, the long-run backwardation is significantly exist in the CPO futures market. Another finding reveals the positive CPO convenience yields and its value increases with time to maturity. The third and final essay explores the long memory properties of futures-spot basis and interest cost on market efficiency. The empirical result shows that the CPO futures basis can be characterised by both long memory and structural breaks. Moreover, the interest cost also shows the evidence of the long memory component. These findings are not consistent with unbiasedness hypothesis and therefore, past prices can be used to predict the future spot price. A new finding reveals that the level of persistence in futures basis and interest cost, increases when time to maturity increases.
Publisher:
ISBN:
Category :
Languages : en
Pages : 332
Book Description
This thesis contributes to the existing literature by presenting the substantive essays on the Malaysian CPO futures market. In the first essay, the market efficiency test for the long-run, short-run and relative efficiency is applied under both open-outcry and electronic trading systems in the Malaysian Derivatives Markets. The findings reveal that the Malaysian CPO futures market is efficient in the long-run but inefficient in the short-run for both trading systems. The relative efficiency ratio test suggests that the level of inefficiency is higher in the electronic trading system and tends to increase with time to maturity. The second essay examines price discovery by utilizing the cost-of-carry model with incorporating an endogenously convenience yield. This model also is able to detect the market characteristics whether in backwardation or contango. The main result shows that the futures price is the main contributor to the price discovery function in the Malaysian CPO market. Furthermore, the long-run backwardation is significantly exist in the CPO futures market. Another finding reveals the positive CPO convenience yields and its value increases with time to maturity. The third and final essay explores the long memory properties of futures-spot basis and interest cost on market efficiency. The empirical result shows that the CPO futures basis can be characterised by both long memory and structural breaks. Moreover, the interest cost also shows the evidence of the long memory component. These findings are not consistent with unbiasedness hypothesis and therefore, past prices can be used to predict the future spot price. A new finding reveals that the level of persistence in futures basis and interest cost, increases when time to maturity increases.
Two Essays on Crude Oil Futures and Options Markets
Author: Bingxin Li
Publisher:
ISBN:
Category : Finance
Languages : en
Pages :
Book Description
This dissertation consists of two essays on crude oil futures and options markets. The first essay investigates whether aggregate risk aversion and risk premiums in the crude oil market co-vary with the level of speculation. Using crude oil futures and option data, I estimate aggregate risk aversion in the crude oil market and find that it is signi ficantly lower after 2002, when speculative activity started to increase. Using speculation index as a state variable, risk premiums implied by the state-dependent risk aversion estimates confi rm the negative correlation between speculative activity and risk premiums, and indicate that risk premiums in the crude oil market are on average lower and more volatile after 2002. These findings suggest that index-fund investors who demand commodity futures for the purpose of portfolio diversi fication are willing to accept lower compensation for their positions. Estimated state-dependent risk premiums have substantial predictive power for subsequent futures returns and outperform commonly used predictors. The second essay exams the economic importance of jumps, jump risk premiums, and dynamic jump intensities in crude oil futures and options markets. Existing pricing models for crude oil options are computationally intensive due to the presence of latent state variables. Using a panel data of crude oil futures and options, I implement a class of computationally e fficient discrete-time jump models. I find that jumps account for about half of the total variance in crude oil futures and options prices, and a substantial part of the risk premiums is due to jumps. Jumps are large and rare events in crude oil futures and options markets. The main role of jumps and jump risk premiums in crude oil futures and options markets is to capture excess kurtosis in the data. These findings suggest that it is critical to include jumps in pricing models for crude oil futures and options, and there is strong evidence in favor of time-varying jump intensities.
Publisher:
ISBN:
Category : Finance
Languages : en
Pages :
Book Description
This dissertation consists of two essays on crude oil futures and options markets. The first essay investigates whether aggregate risk aversion and risk premiums in the crude oil market co-vary with the level of speculation. Using crude oil futures and option data, I estimate aggregate risk aversion in the crude oil market and find that it is signi ficantly lower after 2002, when speculative activity started to increase. Using speculation index as a state variable, risk premiums implied by the state-dependent risk aversion estimates confi rm the negative correlation between speculative activity and risk premiums, and indicate that risk premiums in the crude oil market are on average lower and more volatile after 2002. These findings suggest that index-fund investors who demand commodity futures for the purpose of portfolio diversi fication are willing to accept lower compensation for their positions. Estimated state-dependent risk premiums have substantial predictive power for subsequent futures returns and outperform commonly used predictors. The second essay exams the economic importance of jumps, jump risk premiums, and dynamic jump intensities in crude oil futures and options markets. Existing pricing models for crude oil options are computationally intensive due to the presence of latent state variables. Using a panel data of crude oil futures and options, I implement a class of computationally e fficient discrete-time jump models. I find that jumps account for about half of the total variance in crude oil futures and options prices, and a substantial part of the risk premiums is due to jumps. Jumps are large and rare events in crude oil futures and options markets. The main role of jumps and jump risk premiums in crude oil futures and options markets is to capture excess kurtosis in the data. These findings suggest that it is critical to include jumps in pricing models for crude oil futures and options, and there is strong evidence in favor of time-varying jump intensities.
Trading Crude Palm Oil Futures ( Bursa Malaysia Derivatives )
Author: Chiang Pheng Yeoh
Publisher: CP YEOH
ISBN: 9789833794478
Category : Commodity exchanges
Languages : en
Pages : 108
Book Description
Publisher: CP YEOH
ISBN: 9789833794478
Category : Commodity exchanges
Languages : en
Pages : 108
Book Description
Two Essays on Oil Futures Markets
How To Trade Malaysia Crude Palm Oil Futures 2
Author: GT Khoo
Publisher: Khoo Gent Tien
ISBN:
Category : Business & Economics
Languages : en
Pages : 111
Book Description
Master the art of trading Malaysia Crude Palm Oil Futures (FCPO) with this essential guide by seasoned trader GT Khoo. Whether you're a beginner or an experienced trader, this ebook offers practical strategies, in-depth market analysis, and advanced techniques to help you trade confidently and profitably. Key features: *Comprehensive insights into the FCPO market *Actionable trading strategies for all levels *Advanced volume analysis for precise entry timing *Tips on trading psychology and risk management Learn from a decade of trading experience and take your FCPO trading to the next level.
Publisher: Khoo Gent Tien
ISBN:
Category : Business & Economics
Languages : en
Pages : 111
Book Description
Master the art of trading Malaysia Crude Palm Oil Futures (FCPO) with this essential guide by seasoned trader GT Khoo. Whether you're a beginner or an experienced trader, this ebook offers practical strategies, in-depth market analysis, and advanced techniques to help you trade confidently and profitably. Key features: *Comprehensive insights into the FCPO market *Actionable trading strategies for all levels *Advanced volume analysis for precise entry timing *Tips on trading psychology and risk management Learn from a decade of trading experience and take your FCPO trading to the next level.
Essays on Volatility Estimation and Forecasting of Crude Oil Futures
The NYMEX Crude Oil Futures Market
Author: Christophe Chassard
Publisher: Pennwell Books
ISBN: 9780948061240
Category : Commodity exchanges
Languages : en
Pages : 49
Book Description
Publisher: Pennwell Books
ISBN: 9780948061240
Category : Commodity exchanges
Languages : en
Pages : 49
Book Description
Is the Volatility Information Transmission Process Between the Crude Palm Oil Futures Market and Its Underlying Instrument Asymmetric?
Essays in High Frequency Trading, Portfolio Selection and Oil Futures Markets
Modeling Dependence in Econometrics
Author: Van-Nam Huynh
Publisher: Springer Science & Business Media
ISBN: 3319033956
Category : Technology & Engineering
Languages : en
Pages : 570
Book Description
In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
Publisher: Springer Science & Business Media
ISBN: 3319033956
Category : Technology & Engineering
Languages : en
Pages : 570
Book Description
In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.