Price discovery in commodity markets
نویسندگان
چکیده
منابع مشابه
Commodity Financialization: Risk Sharing and Price Discovery in Commodity Futures Markets
We theoretically study how commodity financialization affects trading behavior, prices and welfare through affecting risk sharing and price discovery in futures markets. In our model, the general equilibrium feature makes financial traders either provide or demand liquidity in the futures market, depending on the information environment. Consistent with recent evidence, commodity financializati...
متن کاملPrice Discovery in Fragmented Markets
This paper proposes a structural time series model for the intra-day price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multi-variate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.
متن کاملA fractionally cointegrated VAR analysis of price discovery in commodity futures markets
In this paper we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional integration) in the equilibrium errors, and, following Figuerola-Ferretti and Gonzalo (2010), we allow for...
متن کاملPrice discovery in restructured electricity markets
We empirically investigate the degree of integration that existed prior to the cost increases that caused emergency conditions in the Western Systems Coordinating Council (WSCC), particularly California, during the summer of 2000. Evidence from Granger causality tests and common features analysis over the period from December 1994 to September 1999 indicates a moderate degree of integration amo...
متن کاملCorrelations in Commodity Markets
In this paper we analyzed cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the ma...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2013
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504851.2012.709590