Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Meth...Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Methods:One commodity future from each group of futures is chosen for the analysis.The select commodities are potato,gold,crude oil,and mentha oil.The data are collected from MCX India over the period 2004–2012.This study uses several econometric techniques for the analysis.The GARCH model is introduced for examining the volatility of commodity futures.One of the key contributions of the paper is the use of theβterm of the GARCH model to address the Samuelson hypothesis.Result:The Samuelson hypothesis,when tested by daily returns and using standard deviation as a crude measure of volatility,is supported for gold futures only,as per the value ofβ(the GARCH effect).The values of the rolling standard deviation,used as a measure of the trend in the volatility of daily returns,exhibits a decreasing volatility trend for potato futures and an increasing volatility trend for gold futures in all contract cycles.The result of the GARCH(1,1)model suggests the presence of persistent volatility and the prevalence of long memory for the select commodity futures,except potato futures.Conclusions:The study sheds light on significant characteristics of the daily return volatility of the commodity futures under analysis.The results suggest the existence of a developed market for the gold and crude oil futures(with volatility clustering)and show that the maturity effect is only valid for the gold futures.展开更多
This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most ...This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.展开更多
This study investigates the efficiency of the Chinese metal futures （i.e. copper and aluminum） traded on China＇s Shanghai Futures Exchange. First, we thoroughly analyze the development of China＇s commodity futures...This study investigates the efficiency of the Chinese metal futures （i.e. copper and aluminum） traded on China＇s Shanghai Futures Exchange. First, we thoroughly analyze the development of China＇s commodity futures markets, which provides a fundamental background. Then we examine the random walk and unbiasedness hypotheses for two metal futures during 1999-2004. Based on the empirical evidence, we argue that China＇s copper and aluminum futures markets are efficient, and that they aid the process of price discovery because futures prices can be considered as unbiased predictors of future spot prices. We attribute this efficiency to the regulatory changes made in 1999 and the increased financial skills and acumen of the participants in the market.展开更多
In this paper we construct a set of indices that capture the special features of the Chinese commodity futures market for the period from January 2000 to December 2011 to analyze the general properties of China＇s com...In this paper we construct a set of indices that capture the special features of the Chinese commodity futures market for the period from January 2000 to December 2011 to analyze the general properties of China＇s commodity futures market. Using these indices we investigate the risk premiums of Chinese commodity futures and verify that the commodity futures can act as an effective diversification tool for Chinese asset management. It is found that the commodity futures can hedge both expected and unexpected inflation in China, and agricultural commodity futures are found to signal inflation 2 months beforehand. Finally, we explore the relationship between Chinese and US commodity futures markets in the years 2000 and 2010, and find that their interactions strengthen over time. Our research reveals an increasingly important role of the Chinese commodity futures market in both the domestic and the global economy. Some policy changes are suggested in response to this trend.展开更多
This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors.We find that 6 out of 13 individual factors produce positive and significant return...This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors.We find that 6 out of 13 individual factors produce positive and significant returns.To aggregate the information among these factors,we apply not only the traditional Fama-Mac Beth regression(FM),but also a set of alternative methods,including the forecast combination method(FC),principal component analysis(PCA),principle component regression(PCR)and partial least squares(PLS).It turns out that PLS outperform other methods in forecasting the cross-section of Chinese expected futures returns.The equally weighted combination of 5 methods produces an even higher annualized return and lower standard deviation compared to each single method.The investigation of factor importance reveals that the skewness(SKEW)factor is more important than other factors in predicting expected futures returns in Chinese markets.展开更多
The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to Dec...The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.展开更多
Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with e...Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.展开更多
文摘Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Methods:One commodity future from each group of futures is chosen for the analysis.The select commodities are potato,gold,crude oil,and mentha oil.The data are collected from MCX India over the period 2004–2012.This study uses several econometric techniques for the analysis.The GARCH model is introduced for examining the volatility of commodity futures.One of the key contributions of the paper is the use of theβterm of the GARCH model to address the Samuelson hypothesis.Result:The Samuelson hypothesis,when tested by daily returns and using standard deviation as a crude measure of volatility,is supported for gold futures only,as per the value ofβ(the GARCH effect).The values of the rolling standard deviation,used as a measure of the trend in the volatility of daily returns,exhibits a decreasing volatility trend for potato futures and an increasing volatility trend for gold futures in all contract cycles.The result of the GARCH(1,1)model suggests the presence of persistent volatility and the prevalence of long memory for the select commodity futures,except potato futures.Conclusions:The study sheds light on significant characteristics of the daily return volatility of the commodity futures under analysis.The results suggest the existence of a developed market for the gold and crude oil futures(with volatility clustering)and show that the maturity effect is only valid for the gold futures.
文摘This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.
基金This research is sponsored by theGuangdong Natural Science Foundation (No. 5300541).
文摘This study investigates the efficiency of the Chinese metal futures （i.e. copper and aluminum） traded on China＇s Shanghai Futures Exchange. First, we thoroughly analyze the development of China＇s commodity futures markets, which provides a fundamental background. Then we examine the random walk and unbiasedness hypotheses for two metal futures during 1999-2004. Based on the empirical evidence, we argue that China＇s copper and aluminum futures markets are efficient, and that they aid the process of price discovery because futures prices can be considered as unbiased predictors of future spot prices. We attribute this efficiency to the regulatory changes made in 1999 and the increased financial skills and acumen of the participants in the market.
基金supported by the HSBC Financial Research Institute at Peking University
文摘In this paper we construct a set of indices that capture the special features of the Chinese commodity futures market for the period from January 2000 to December 2011 to analyze the general properties of China＇s commodity futures market. Using these indices we investigate the risk premiums of Chinese commodity futures and verify that the commodity futures can act as an effective diversification tool for Chinese asset management. It is found that the commodity futures can hedge both expected and unexpected inflation in China, and agricultural commodity futures are found to signal inflation 2 months beforehand. Finally, we explore the relationship between Chinese and US commodity futures markets in the years 2000 and 2010, and find that their interactions strengthen over time. Our research reveals an increasingly important role of the Chinese commodity futures market in both the domestic and the global economy. Some policy changes are suggested in response to this trend.
基金supported by the National Natural Science Foundation of China(71971164,91646206,71703114)Major Program of the National Social Science Foundation of China(No.18ZDA092)+1 种基金MOE(Ministry of Education in China)Project of Humanities and Social Sciences(18YJCZH072)the Fundamental Research Funds for the Central Universities(2020AI010)
文摘This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors.We find that 6 out of 13 individual factors produce positive and significant returns.To aggregate the information among these factors,we apply not only the traditional Fama-Mac Beth regression(FM),but also a set of alternative methods,including the forecast combination method(FC),principal component analysis(PCA),principle component regression(PCR)and partial least squares(PLS).It turns out that PLS outperform other methods in forecasting the cross-section of Chinese expected futures returns.The equally weighted combination of 5 methods produces an even higher annualized return and lower standard deviation compared to each single method.The investigation of factor importance reveals that the skewness(SKEW)factor is more important than other factors in predicting expected futures returns in Chinese markets.
基金Project(71071166)supported by the National Natural Science Foundation of China
文摘The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.
文摘Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.
