Price Formation in Commodities Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Price Formation in Commodities Markets PDF full book. Access full book title Price Formation in Commodities Markets by Diego Valiante. Download full books in PDF and EPUB format.
Author: Diego Valiante Publisher: ISBN: 9789461381835 Category : Business & Economics Languages : en Pages : 0
Book Description
The current rapid rise of commodity prices comes at a critical moment, as European and U.S. economies stagger in their attempts to regain ground lost in the recent financial crisis. Facing mounting worries and anger from both policymakers and the public, regulators at the most recent G20 summit agreed to address commodity price volatility worldwide. They are bringing forward a number of proposals to improve the regulation, functioning, and transparency of commodity markets. This book collects the findings of a task force composed of financial and nonfinancial firms as well as regulators and academics. It sheds new light on price formation mechanisms in spot and future commodities markets and highlights key drivers of price formation in main commodities markets.
Author: Diego Valiante Publisher: ISBN: 9789461381835 Category : Business & Economics Languages : en Pages : 0
Book Description
The current rapid rise of commodity prices comes at a critical moment, as European and U.S. economies stagger in their attempts to regain ground lost in the recent financial crisis. Facing mounting worries and anger from both policymakers and the public, regulators at the most recent G20 summit agreed to address commodity price volatility worldwide. They are bringing forward a number of proposals to improve the regulation, functioning, and transparency of commodity markets. This book collects the findings of a task force composed of financial and nonfinancial firms as well as regulators and academics. It sheds new light on price formation mechanisms in spot and future commodities markets and highlights key drivers of price formation in main commodities markets.
Author: Bernd Schlusche Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper reconsiders the process of price discovery in spot and futures markets. In our study, we examine the contribution of two derivative products of the German blue chip index DAX: Exchange traded funds and index futures. In order to eliminate noise caused by differences in the microstructure of the markets, we use transaction data only from electronic-trading markets. We apply a linear vector error correction model for our estimations and we use the common factor weights, first proposed by Schwarz and Szakmary (1994), to quantify the contribution of each market to the process of price discovery. Our results indicate that the futures market leads in the process of price discovery. Furthermore, we show that volatility, and not liquidity, as would be conjectured by the transaction-costs hypothesis, is the driving factor for relative price leadership between the two markets.
Author: Lucy F. Ackert Publisher: South Western Educational Publishing ISBN: 9780538752862 Category : Investments Languages : en Pages : 0
Book Description
The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Author: Barry Goss Publisher: Routledge ISBN: 1135639361 Category : Business & Economics Languages : en Pages : 187
Book Description
This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.
Author: Sarveshwar Inani Publisher: ISBN: Category : Languages : en Pages :
Book Description
The purpose of this study is to revisit price discovery process in Indian stock market for spot and futures of S&P CNX Nifty, by using high-frequency data to gain fresh insights. The sample consists of high-frequency data for the period from January 2014 to August 2015. Stationarity and cointegration test results reveal that spot and futures prices are I(1) and cointegrated. Three different econometric methodologies - component share method of (Gonzalo and Granger, 1995), information share method of (Hasbrouck, 1995), and modified information share of (Lien and Shrestha, 2009) - have been employed to determine the extent of price discovery contribution by spot and futures markets. The results reveal that futures market is performing its price discovery function. These results support the notion that futures market in more efficient vis-à-vis spot market in India. Price discovery is a main function of futures market and has implications for asset pricing, portfolio allocation, investment strategy formation, and market efficiency. This study might be helpful for regulators and policymakers to form market structure policies and guidelines for equity markets.
Author: Paul Weller Publisher: Wiley-Blackwell ISBN: 9780631171720 Category : Business & Economics Languages : en Pages : 313
Book Description
Increasing financial sophistication and the recent acceleration in the pace of financial innovation has led to a dramatic growth in the economic significance of futures markets. In particular, the volume of trade in financial futures has mushroomed over the last decade, and in the case of stock index futures now rivals that of trade in the stocks themselves. Given the greater prominence of these markets, it is important for both students and academics to be aware of recent advances in the theoretical understanding of their function and performance. This volume examines a wide range of issues which arise in the theory of futures markets. An introductory chapter analyses a simple equilibrium model of a futures market and focuses upon the role of the market in spreading risk. Other chapters examine such issues as the following: conditions under which trading in futures markets leads to a fully efficient reallocation of risk; the role of different assumptions about expectations formation on the nature of equilibrium; the affect of trading futures on price volatility in the spot market; the provision of liquidity and the role of transactions costs; the extent to which futures prices reveal traders' private information; determinants of hedging and speculative trading decisions; factors influencing the likelihood of a manipulation of the market i.e., a corner or squeeze; the importance of program trading and dynamic hedging strategies on price volatility in equity markets. The breadth and timeliness of the book will ensure it becomes a standard reference for academics and professionals working in financial markets.
Author: Diego Valiante
Author: Diego Valiante
Author: Bernd Schlusche
Author: Lucy F. Ackert
Author: Barry Goss
Author: Joseph M. Burns
Author: Sarveshwar Inani
Author: Paul Weller
Author: Bassam Fattouh
Author: Ronald Britto
Author: Daniel Friedman