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Futures Markets (future + market)
Kinds of Futures Markets Selected AbstractsFUTURES MARKETS AND BUBBLE FORMATION IN EXPERIMENTAL ASSET MARKETS*PACIFIC ECONOMIC REVIEW, Issue 2 2006Charles Noussair In addition to a spot market, there are futures markets in operation, one maturing at the beginning of each period of the life of the asset. We find that when futures markets are present, bubbles do not occur in the spot markets. The futures markets seem to reduce the speculation and the decision errors that appear to give rise to price bubbles in experimental asset markets. [source] Intradaily Patterns in the Korean Index Futures MarketASIAN ECONOMIC JOURNAL, Issue 2 2002Laurence Copeland This paper extends the research on intraday patterns in stock and futures exchanges into the Korean market. Similar patterns to those found previously in the heavily investigated Western markets are observed, despite the differing microstructures, institutional framework and time zones between East and West. In addition, we investigate the effect of the Asian financial crisis on intraday variables. In the Korean market, both volume and volatility were found to be consistently higher at the start of the trading day during the crisis, presumably due to a rapid reaction to overnight news. [source] Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures MarketASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010Hsiu-Chuan Lee G14; G15; G18 Abstract This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results indicate that information regarding stock market liquidity is useful in predicting the optimal hedge ratio under different market conditions. In a bear market, the conditional OLS model with stock market liquidity provides the best hedging performance for the out-of-sample period. Although the OLS model outperforms the generalized autoregressive conditional heteroskedasticity and conditional OLS models for the out-of-sample period in a bull market, the conditional OLS model with stock market liquidity outperforms the conditional OLS model without stock market liquidity in terms of downside risks (lower partial moment). [source] Information and Noise in U.K. Futures MarketsTHE JOURNAL OF FUTURES MARKETS, Issue 8 2004Phil Holmes This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized method of moments approach demonstrates that the link between futures volume and volatility can be attributed to the flow of information. More importantly, it is shown that price movements are dominated by informed rather than noise trading for the FTSE-100, the Long Gilt, and the Brent Oil futures contracts. The results suggest that further regulation based on the notion that noise traders dominate futures trading is unwarranted. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:711,731, 2004 [source] Investor Sentiment and Return Predictability in Agricultural Futures MarketsTHE JOURNAL OF FUTURES MARKETS, Issue 10 2001Changyun Wang This study examines the usefulness of trader-position-based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:929,952, 2001 [source] Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X FrameworkTHE JOURNAL OF FUTURES MARKETS, Issue 9 2001Ramaprasad Bhar This article provides evidence of linkages between the equity market and the index futures market in Australia, where the futures market has experienced a major structural event due to the futures contract respecification. A bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The conditional mean returns from both markets are influenced by the long-run equilibrium relationship, and these markets are informationally linked through the second moments. The crossmarket spillovers exhibit asymmetric behavior in that the volatility responses to past standardized innovations are different for market advances and market retreats. An intervention analysis shows that some of the parameters describing the return-generating process have shifted after the contract respecification by the futures exchange. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:833,850, 2001 [source] Out-of-sample Hedge Performances for Risk Management in China Commodity Futures Markets,ASIAN ECONOMIC JOURNAL, Issue 3 2009Sang-Kuck Chung C13; C32; G13 We consider a new time-series model that describes long memory and asymmetries simultaneously under the dynamic conditional correlation specification, and that can be used to assess an extensive evaluation of out-of-sample hedging performances using aluminum and fuel oil futures markets traded on the Shanghai Futures Exchange. Upon fitting it to the spot and futures returns of aluminum and fuel oil markets, it is found that a parsimonious version of the model captures the salient features of the data rather well. The empirical results suggest that separating the effects of positive and negative basis on the market volatility, and the correlation between two markets as well as jointly incorporating the long memory effect of the basis on market returns not only provides better descriptions of the dynamic behaviors of commodity prices, but also plays a statistically significant role in determining dynamic hedging strategies. [source] Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets,ASIAN ECONOMIC JOURNAL, Issue 2 2009Young-Rae Song G1; F3 The present paper analyzes the behavioral relations of major investor groups in the stabilized Korean stock and futures markets after the 1997 Asian financial crisis. Investor groups cannot be classified as positive or negative feedback traders on market returns when both stock and futures markets are considered, which is inconsistent with the results in Ghysels and Seon (2005). Foreign investors and domestic institutions tend to take opposite positions in both markets. The impact of foreign investors on the basis change is significantly negative in the futures market, whereas domestic institutions have a negative relation in the stock market. This supports the view that selling activity of foreign investors in the futures market pulls the futures price down compared with the index value and, consequently, induces the reverse cash-and-carry trade of domestic institutions. This relationship, which negatively influenced the Korean economy during the crisis, as shown in Ghysels and Seon (2005), still exists in the Korean financial markets. [source] Hedge Ratio Stability and Hedging Effectiveness of Time-Varying Hedge Ratios in Volatile Index Futures Markets: Evidence from the Asian Financial Crisis,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2010Janchung Wang C10; G13; G15 Abstract Hedge ratio stability is especially important because hedgers are likely to use the estimate of historical hedge ratios to hedge future positions of their portfolios. One main purpose of the present study is to examine hedge ratio stability during the Asian financial crisis and post-crisis, periods characterized by high price volatility, using the Nikkei 225, Hang Seng, and KOSPI 200 index futures contracts. Empirical results from the Hang Seng and the KOSPI 200 futures markets indicate that during the two periods of high price volatility, hedge ratios appeared to be unstable. Additionally, both in-sample and out-of-sample evidences indicate that, for hedging effectiveness, the time-varying hedge ratios clearly outperform the constant hedge ratios for the Hang Seng and the KOSPI 200 index futures, consistent with the findings of hedge ratio instability. The comparison results of different time-varying hedge ratios support the conclusion that the bivariate error correction generalized autoregressive conditional heteroskedastic (1,1) model enhances hedging effectiveness compared to other time-varying hedge ratios. Finally, this study examines the impact of hedge duration on hedging effectiveness and hedge ratios. The empirical results indicate that hedging effectiveness improves with increasing hedge duration. [source] Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures MarketASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010Hsiu-Chuan Lee G14; G15; G18 Abstract This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results indicate that information regarding stock market liquidity is useful in predicting the optimal hedge ratio under different market conditions. In a bear market, the conditional OLS model with stock market liquidity provides the best hedging performance for the out-of-sample period. Although the OLS model outperforms the generalized autoregressive conditional heteroskedasticity and conditional OLS models for the out-of-sample period in a bull market, the conditional OLS model with stock market liquidity outperforms the conditional OLS model without stock market liquidity in terms of downside risks (lower partial moment). [source] The Productive Life of RiskCULTURAL ANTHROPOLOGY, Issue 3 2004Caitlin Zaloom Contemporary social theorists usually conceive of risk negatively. Focusing on disasters and hazards, they see risk as an object of calculation and avoidance. But we gain a deeper understanding of risk in modern life if we observe it in another setting. Futures markets are exemplary sites of aggressive risk taking. Drawing upon extensive fieldwork on trading floors, this article shows how a high modern institution creates populations of risk-taking specialists, and explores the ways that engagements with risk actively organize contemporary markets and forge economic actors. Financial exchanges are crucibles of capitalist production. At the Chicago Board of Trade, financial speculators structure their conduct and shape themselves around risk; and games organized around risk influence the social and spatial dynamics of market life. [source] Trading activity in stock index futures markets: The evidence of emerging marketsTHE JOURNAL OF FUTURES MARKETS, Issue 10 2002Yu Chuan Huang This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX-DT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which may explain such patterns, is examined. Overall, the trading pattern appears to be U-shaped for the TAIFEX futures and U+W-shaped for the SGX-DT. For the SGX-DT futures, volatility follows the same pattern as that of the number of price changes. For the TAIFEX futures, however, after the peak at the close of the spot market, the volatility in the TAIFEX futures drops consistently until the end of the day while volatility in the SGX-DT still reaches a smaller peak at the close of the futures market. In addition, a visual inspection of the intraday patterns of these two markets shows that the market closure theory can effectively explain the intraday patterns of these two markets. The empirical results support the market closure theory in that liquidity demand from traders rebalancing their portfolios before and after market closures creates larger volume and volatility at both the open and close. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:983,1003, 2002 [source] Functional properties of microstructured cylinder liner surfaces for internal combustion enginesLUBRICATION SCIENCE, Issue 4 2005R. Golloch Abstract Internal combustion engines are still of major importance as propulsion systems. To fulfil future market and legislative demands it is necessary to improve engine performance, reduce fuel consumption, and limit exhaust emissions. Mechanical and thermodynamic losses, wear, and the emissions caused by lubricating oil combustion are principally influenced by the tribological behaviour of the piston assembly. The trend towards compact engines with high power densities and increased thermomechanical loads increases the importance of this tribological system and requires new approaches. One promising possibility is the utilisation of liner surfaces with specially machined microstructures. This paper describes a comparison between a conventional liner surface and a laser-structured liner as regards their tribological behaviour. Measurements of wear as well as of oil film thickness and friction force in operation have been carried out. The results show better tribological behaviour for the laser-structured liner surface than for the conventional plateau-honed surface. This leads to lower fuel consumption and less wear. [source] Improving the Quality of Information Flows in the Backend of a Product Development Process: a Case StudyQUALITY AND RELIABILITY ENGINEERING INTERNATIONAL, Issue 2 2005Jaring Boersma Abstract Considerable research has gone into designing effective product development processes. This, coupled with the increasing need for products that are able to deliver reliable, complex functionality with a high degree of innovation, presents a major challenge to modern day industries in the business of developing products. In order to incorporate relevant field experience in the design and manufacturing of new products, increasingly detailed information needs to be retrieved from the market in a very short amount of time. In one particular consumer electronics industry, business process models describing the information flow in the backend of the product development process indicated massive data loss and also serious data quality degradation. This paper attempts to show how such losses can be mitigated and also proposes a business model that can adequately capture information of a higher quality and in a more structured manner. The end result will be a product development process that provides better feedback on current product performance and is more responsive to future market needs. Copyright © 2005 John Wiley & Sons, Ltd. [source] Present and future development in plastics from biomassBIOFUELS, BIOPRODUCTS AND BIOREFINING, Issue 1 2010Li Shen Abstract Biobased plastics have experienced fast growth in the past decade thanks to the public concerns over the environment, climate change and the depletion of fossil fuels. This perspective provides an overview of the current global market of biobased plastics, their material properties, technical substitution potential and future market (for 2020). In addition, the technology and market development of three biobased plastics, namely polylactide (PLA), biobased polyethylene (PE) and biobased epoxy resin, are discussed in detail. The emerging biobased plastics market is still small compared to traditional biobased polymers and biomaterials. The global capacity of the emerging biobased plastics was only 0.36 million tonnes in 2007. However, the market grew strongly between 2003 and 2007 (approx. 40% per year). The technical substitution potential of biobased plastics replacing petrochemical plastics is estimated at 90%, demonstrating the enormous potential of biobased plastics. Global capacity of biobased plastics is expected to reach 3.45 million metric tonnes in 2020. Starch plastics, PLA, biobased PE, polyhydroxyalkanoates (PHA) and biobased epoxy resin are expected to be the major types of biobased plastics in the future. Copyright © 2009 Society of Chemical Industry and John Wiley & Sons, Ltd [source] The limits to stock index arbitrage: Examining S&P 500 futures and SPDRSTHE JOURNAL OF FUTURES MARKETS, Issue 12 2008Nivine Richie This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange-Traded Fund (ETF) as "underlying cash assets." Potential limits to arbitrage when using the cash index are the staleness of the underlying cash index, trading costs, liquidity (volume) issues of the underlying assets, the existence of sufficient time to execute profitable arbitrage transactions, short sale restrictions, and the extent to which volatility affects mispricing. Alternatively, using the SPDR ETF as the underlying asset mitigates staleness and trading cost problems as well as the effects of volatility associated with the staleness of the cash index. Minute-by-minute prices are compared over different volatility levels to determine how these factors affect the limits of S&P 500 futures arbitrage. Employing the SPDR as the cash asset examines whether a liquid tradable single asset with low trading costs can be used for pricing and arbitrage purposes. The analysis examines how long mispricing lasts, the impact of volatility on mispricing, and whether sufficient volume exists to implement arbitrage. The minute-by-minute liquidity of the futures market is examined using a new transaction volume futures database. The results show that mispricings exist regardless of the choice of the underlying cash asset, with more negative mispricings for the SPDR relative to the S&P 500 cash index. Furthermore, mispricings are more frequent in high- and mid-volatility months than in low-volatility months and are associated with higher volume during high-volatility months. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1182,1205, 2008 [source] An analysis of the failed municipal bond and note futures contractsTHE JOURNAL OF FUTURES MARKETS, Issue 7 2008Patrick J. CusatisArticle first published online: 2 MAY 200 This study analyzes the failure of the municipal bond and municipal note futures contracts. The municipal bond contract is shown to have been the most effective hedge in the municipal market over its tenure. Changes in volume in the municipal bond contract were closely related to changes in the volume in the U.S. Treasury bond futures contract, the spot,municipal-over-bonds (MOB) ratio, and visible supply. The failure of the municipal bond contract is mainly attributed to a decrease in trading volume in the U.S. Treasury futures market. This was impacted by the onset of electronic trading, which the municipal futures market was reluctant to embrace. The municipal note contract was a less effective hedge than U.S. Treasury note futures and ten-year London Interbank Offered Rate swaps. The failure of the municipal note futures contract is attributed to the existence of well-established alternative hedges, and segmentation in the municipal market. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:656,679, 2008 [source] Forecasting oil price movements: Exploiting the information in the futures marketTHE JOURNAL OF FUTURES MARKETS, Issue 1 2008Andrea Coppola Relying on the cost of carry model, the long-run relationship between spot and futures prices is investigated and the information implied in these cointegrating relationships is used to forecast out of sample oil spot and futures price movements. To forecast oil price movements, a vector error correction model (VECM) is employed, where the deviations from the long-run relationships between spot and futures prices constitute the equilibrium error. To evaluate forecasting performance, the random walk model (RWM) is used as a benchmark. It was found that (a) in-sample, the information in the futures market can explain a sizable portion of oil price movements; and (b) out-of-sample, the VECM outperforms the RWM in forecasting price movements of 1-month futures contracts. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:34,56, 2008 [source] Benchmark tipping and the role of the swap market in price discoveryTHE JOURNAL OF FUTURES MARKETS, Issue 10 2007Russell PoskittArticle first published online: 14 AUG 200 The author uses a high-frequency data set to investigate the roles of the sterling swap and futures markets in price discovery at the short-end of the sterling yield curve. Information flows between the futures and swap markets are found to be largely contemporaneous. Causal information flows are bidirectional, although the futures market dominates the information flow over the very short term. Thus, the futures market remains the primary locus of price discovery despite the increased use of swaps as a pricing benchmark and hedging instrument in recent years. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:981,1001, 2007 [source] A model of price discovery and market design: Theory and empirical evidenceTHE JOURNAL OF FUTURES MARKETS, Issue 12 2004Michael T. ChngArticle first published online: 11 OCT 200 Price discovery is an essential function performed by derivative markets. For a derivative exchange, its markets' ability to incorporate information into prices to "derive" the underlying asset's value is a key objective of market design. The J. Hasbrouck (1991a) model is applied to examine the design and price discovery of a futures market. First, the model is extended to consider a comprehensive dynamic interaction between the price-size coordinates of orders and trades. Second, floor and screen tick data from LIFFE's FTSE 100 index futures market is used to estimate the two models. The significance of order size variables in the extended model suggests that order flow transparency, which is supported by an electronic trading platform, improves price discovery. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1107,1146, 2004 [source] The contribution of a satellite market to price discovery: Evidence from the Singapore exchangeTHE JOURNAL OF FUTURES MARKETS, Issue 10 2004Vicentiu Covrig The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its continued success. Evidence is provided from information revelation and price discovery of three competing but informationally linked markets of the Nikkei 225 index,domestic spot (Tokyo Stock Exchange), domestic futures (OSE), and foreign futures (SGX), which represents the satellite market. Overall, the futures market contributes 77% to price discovery, with the satellite market contributing 42% of the futures and 33% of the total price discovery. These figures, surprisingly, far exceed the satellite market's share of trading volume. Support is provided for the extended trading hours on the SGX for three of the four non-overlapping trading sub-periods. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:981,1004, 2004 [source] An examination of the impact of macroeconomic news on the spot and futures treasuries marketsTHE JOURNAL OF FUTURES MARKETS, Issue 5 2004Marc W. Simpson In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated with the corresponding cash market. Second, of the 23 types of periodic macroeconomic announcements, 19 of them have a significant influence on either the cash or futures prices. Most notably, surprises in nonfarm payroll and Treasury budget significantly influence the cash and futures market across the entire maturity spectrum. Third, consistent with the Fisher and real activity hypotheses, macroeconomic news that conveys higher inflation and/or economic growth has a negative influence on cash and futures prices. Finally, hedging with Treasury futures appears to offer investors protection from inflation-related fluctuations in interest rates, but not against fluctuations arising due to variations in real output. Some important policy implications of the results are offered. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:453,478, 2004 [source] Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X FrameworkTHE JOURNAL OF FUTURES MARKETS, Issue 9 2001Ramaprasad Bhar This article provides evidence of linkages between the equity market and the index futures market in Australia, where the futures market has experienced a major structural event due to the futures contract respecification. A bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The conditional mean returns from both markets are influenced by the long-run equilibrium relationship, and these markets are informationally linked through the second moments. The crossmarket spillovers exhibit asymmetric behavior in that the volatility responses to past standardized innovations are different for market advances and market retreats. An intervention analysis shows that some of the parameters describing the return-generating process have shifted after the contract respecification by the futures exchange. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:833,850, 2001 [source] Using Markets to Inform Policy: The Case of the Iraq WarECONOMICA, Issue 302 2009JUSTIN WOLFERS Financial market-based analysis of the expected effects of policy changes has traditionally been exclusively retrospective. In this paper, we demonstrate by example how prediction markets make it possible to use markets to prospectively estimate policy effects. We exploit data from a market trading in contracts tied to the ouster of Saddam Hussein as leader of Iraq to learn about financial market participants' expectations of the consequences of the 2003 Iraq war. We conducted an ex-ante analysis, which we disseminated before the war, finding that a 10% increase in the probability of war was accompanied by a $1 increase in spot oil prices that futures markets suggested was expected to dissipate quickly. Equity price movements implied that the same shock led to a 1.5% decline in the S&P 500. Further, the existence of widely-traded equity index options allows us to back out the entire distribution of market expectations of the war's near-term effects, finding that these large effects reflected a negatively skewed distribution, with a substantial probability of an extremely adverse outcome. The flow of war-related news through our sample explains a large proportion of daily oil and equity price movements. Subsequent analysis suggests that these relationships continued to hold out of sample. Our analysis also allows us to characterize which industries and countries were most sensitive to war news and when the immediate consequences of the war were better than ex-ante expectations, these sectors recovered, confirming these cross-sectional implications. We highlight the features of this case study that make it particularly amenable to this style of policy analysis and discuss some of the issues in applying this method to other policy contexts. [source] Income Insurance in European AgricultureEUROCHOICES, Issue 1 2003Miranda P. M. Meuwissen Summary Income Insurance in EuropeanAgriculture The agricultural risk environment in Europe is changing, for example because of WTO agreements and governments increasingly withdrawing from disaster assistance in case of catastrophic events. In this context, some form of income insurance may be a useful risk management tool for farmers. Insuring farmers' incomes, however, is rather problematical for reasons of asymmetric information and high correlation of the risks amongst the would-be insured, for example risks due to price fluctuations, floods, droughts and livestock epidemics. It is concluded that the most aggregated forms of income insurance that are likely to be feasible include revenue insurance for field crops, especially if there are relevant futures markets and area yield data, and business interruption insurance for livestock commodities. In Europe, only a few such schemes currendy exist; some are purely private, others are subsidised. A somewhat larger involvement of the public sector, for example through public-private partnerships for reinsurance, could extend the availability of income insurance schemes throughout Europe. Governments, however, should tread warily in entering the field of subsidised agricultural insurance, which experience shows is beset with pitfalls. Pilot tests are useful in establishing the attractiveness of income insurance schemes and other income stabilising tools for the various parties involved. Le contexte du risque agncoie est en train de changer en Europe, en raison notamment des accords de 'OMC et d'un retrait croissant des gouvernements de , assistance sinistre en cas de catastrophes. Dans ce contexte, une certaine forme ? assurance sur le revenu peut être un outil utile de gestion des risques pour les agriculteurs. Assurer les revenus des agriculteurs, cependant, est une activitécute; assez délicate pour des raisons ? information asymétrique et de forte corrélation des risques chez les assurés potentiels, avec , exemple des risques dus aux fluctuations de prix, aux inondations, aux sécheresses et aux épidémies animales. On en conclut que les formes ? assurance revenu les plus complètes et les plus plausibles comprennent ľ assurance-revenu pour les récoltes, notamment s'il existe des marchés a terme appropriés et des données sur le rendement par région, et ,,assurance pour cessation ?'activite pour les produits de ,élevage;. En Europe, seuls quelques projets similaires existent; certains sont purement privés, ? autres sont subventionés. Une implication un peu plus importante du secteur public, par exemple par le biais de partenariats public-privé pour la réassurance, permettrait ?élargir la disponibilité des plans ? assurance-revenu dans toute , Europe. Les gouvernements, cependant, doivent aborder avec prudence le domaine de , assurance agricole subventionée qui, , expérience le montre, est semée ? embûches. Des expériences pilotes sont utiles pour définir , intérêt des projets ? assurance-revenu et des autres outils permettant de stabiliser les revenus pour les différentes parties impliquées. In Europa ändern sich zur Zeit die _ Rahmenbedingungen für die Landwirtschaft hinsichtlich des Risikos. Dies liegt zum Beispiel an WTO-Abkommen und Regierungen, die ihre Hilfsleistungen im Schadensfall zunehmend verweigern. In diesem Zusammenhang könnte irgendeine Form von Einkommenversicherung im Bereich des Risikomanagements für Landwirte von Nutzen sein. Eine solche Versicherung wirft jedoch Probleme auf, da asymmetrische Information und eine hohe Risikokorrelation bei den potenziellen Versicherungsnehmem vorliegen, wie beispielsweise Risiken, die auf Preisschwankungen, Flut- und Dürrekatastrophen oder Tierseuchen beruhen. Hieraus wird gefolgert, dass zu den umfassendsten realisierbaren Formen von Einkommenversicherungen die Erlösversicherung im Ackerbau - insbesondere bei Vorliegen von relevanten Warenterminmärkten und Flächenertragsdaten - und die Betriebsausfallversicherung für tieriscbe Erzeugnisse gehören. In Europa sind zur Zeit nur wenige solcher Programme vorhanden; bei einigen handelt es sich um ausschließlich private Versicherungen, andere werden subventioniert. Würde der öffentliche Sektor stärker mit eingebunden, zum Beispiel mit Hilfe von öffendich-privaten Rückversicherungsgesellschaften, könnten in ganz Europa weitere Programme zur Einkommenversicherung zur Verfügung gestellt werden. Für die Regierungen jedoch ist beim Etablieren subventionierter Versicherungen im Bereich der Landwirtschaft größte Vorsicht geboten, da dies erfahrungs-gemäß Schwierigkeiten aufwirft. Zunächst sollten Pilotprojekte durchgeführt werden, mit deren Hilfe die Attraktivität von Programmen zur Einkommen-aversicherung und von weiteren einkommensstabilisierendenMaßnahmen fÜr die verschiedenen beteiligten Parteien sicher gestellt wird. [source] Volatility linkages of the equity, bond and money markets: an implied volatility approachACCOUNTING & FINANCE, Issue 1 2009Kent Wang G12; G14 Abstract This study proposes an alternative approach for examining volatility linkages between Standard & Poor's 500, Eurodollar futures and 30 year Treasury Bond futures markets using implied volatility from the three markets. Simple correlation analysis between implied volatilities in the three markets is used to assess market correlations. Spurious correlation effects are considered and controlled for. I find that correlations between implied volatilities in the equity, money and bond markets are positive, strong and robust. Furthermore, I replicate the approach of Fleming, Kirby and Ostdiek (1998) to check the substitutability of the implied volatility approach and find that the results are nearly identical; I conclude that my approach is simple, robust and preferable in practice. I also argue that the results from this paper provide supportive evidence on the information content of implied volatilities in the equity, bond and money markets. [source] European monetary policy surprises: the aggregate and sectoral stock market responseINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2009Don Bredin Abstract In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in the UK and German/Euro area policy rates on the UK and German aggregate and sectoral equity returns in an event study. The decomposition of (un)expected changes in policy rates is based on futures markets. Overall, our results suggest that, the UK monetary policy surprises have a significant negative influence on both aggregate and industry level returns in both countries. The influence of German/Euro area monetary policy shocks appears insignificant for both Germany and the UK. Copyright © 2007 John Wiley & Sons, Ltd. [source] Did Futures Markets Stabilise US Grain Prices?JOURNAL OF AGRICULTURAL ECONOMICS, Issue 1 2002Joseph Santos Though economists are divided over whether, in practice, futures markets reduce spot price volatility, observers of nascent nineteenth century US futures markets essentially praised the stabilising effects of this financial innovation. Indeed, such praise is understandable, particularly if, as the Chicago Board of Trade (CBOT) and others assert, "violent" spot price fluctuations were common prior to, but not after, the 1870s; the same decade that grain trade historians typically associate with the birth of the modern futures contract. And whereas these events may be unrelated, the claim is intriguing because it requires that nineteenth century futures prices fulfil their price discovery function, a property that many modern futures markets do not possess. This paper explores what role, if any, the advent of futures trading may have had on spot price volatility. I corroborate the CBOT's assertion regarding diminished spot price volatility around the 1870s and show that early futures prices did indeed fulfil their price discovery function. Moreover, I address two alternative hypotheses that relate the decline in spot price volatility to the Civil War. Ultimately, I maintain that the evolution of futures markets is the principal proximate reason why commodity spot price volatility diminished. [source] WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?JOURNAL OF ECONOMIC SURVEYS, Issue 4 2007Cheol-Ho Park Abstract The purpose of this paper is to review the evidence on the profitability of technical analysis. The empirical literature is categorized into two groups, ,early' and ,modern' studies, according to the characteristics of testing procedures. Early studies indicate that technical trading strategies are profitable in foreign exchange markets and futures markets, but not in stock markets. Modern studies indicate that technical trading strategies consistently generate economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 95 modern studies, 56 studies find positive results regarding technical trading strategies, 20 studies obtain negative results, and 19 studies indicate mixed results. Despite the positive evidence on the profitability of technical trading strategies, most empirical studies are subject to various problems in their testing procedures, e.g. data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies. [source] Econometric modelling of non-ferrous metal pricesJOURNAL OF ECONOMIC SURVEYS, Issue 5 2004Clinton Watkins Abstract., This article evaluates the significance of the empirical models and the distributional properties of prices in non-ferrous metal spots and futures markets published in leading refereed economics and finance journals between 1980 and 2002. The survey focuses on econometric analyses of pricing and return models applied to exchange-based spot and futures markets for the main industrially used non-ferrous metals, namely aluminium, copper, lead, nickel, tin and zinc. Published empirical research is evaluated in the light of the type of contract examined, frequency of data used, choice of both dependent and explanatory variables, use of proxy variables, type of model chosen, economic hypotheses tested, methods of estimation and calculation of SEs for inference, reported descriptive statistics, use of diagnostic tests of auxiliary assumptions, use of nested and non-nested tests, use of information criteria and empirical implications for non-ferrous metals. [source] | |||||||||||||||||||||||||||||||