1 edition of Determinants of liquidity costs in commodity futures markets found in the catalog.
by College of Commerce and Business Administration, University of Illinois at Urbana-Champaign in [Urbana, Ill.]
Written in English
Includes bibliographical references (p. 26-28).
|Statement||Sarahelen Thompson, Mark L. Waller, Joseph E. Finnerty|
|Series||BEBR faculty working paper -- no. 1474, BEBR faculty working paper -- no. 1474.|
|Contributions||Waller, Mark L., Finnerty, Joseph E., University of Illinois at Urbana-Champaign. College of Commerce and Business Administration|
|The Physical Object|
|Pagination||31 p. ;|
|Number of Pages||31|
New Order Latency in the E-Mini Futures Market Raymond P. H. Fishe Richard Haynes and Esen Onur* This version: November future markets, commodity options markets, and the expanded mandate to regulate the swaps markets pursuant to the Dodd- Both of these actions remove liquidity from the order book. Importantly, both actions admit. Downloadable! Estimation of liquidity costs in agricultural futures markets is challenging because bid-ask spreads are usually not observed. Spread estimators that use transaction data are available, but little agreement exists on their relative accuracy and performance. We evaluate four conventional and a recently proposed Bayesian estimators using simulated data based on Roll’s standard.
The stock market has loved President Trump. His policies have been the major factor behind the market’s rise. Some people think that if there is . Downloadable! The major finding is that liquidity costs in futures options market are two to three times higher than liquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosing between hedging with a futures contract or with an option contract. While there is considerable research that estimates liquidity costs of futures trading, there is little.
The All Futures page lists all open contracts for the commodity you've ay futures prices are delayed 10 minutes, per exchange rules, and are listed in CST. Overnight (Globex) prices are shown on the page through to 7pm CST, after which time it will list only trading activity for the next day. One of the basic concepts of investing is the bid-ask spread, which can be used in different facets of a person's financial life, from buying a home or car.
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Determinants Of Liquidity Costs In Commodity Furures Markets Article (PDF Available) in Review of Futures Markets 7() January with Reads How we measure 'reads'. Henry Bryant & Michael Haigh, "Bid-ask spreads in commodity futures markets," Applied Financial Economics, Taylor & Francis Journals, vol.
14(13), pages Craig Pirrong, "Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(5), pages.
Daily price co-movement across different commodity classes and its key determinant are investigated in this paper. Using co-integration and Granger causality analysis, we identify a common liquidity factor which drives prices of five commodities (oil, silver, gold, corn, live Cited by: 1.
Turning to commodity markets, Marshall et al.  test a large number of monthly liquidity proxies calculated from Datastream daily commodity futures data against monthly liquidity benchmarks.
Liquidity of the Chinese Agricultural Futures Market and Its Impact on Futures Price—Based on High-Frequency Data Article (PDF Available) in Sustainability 10(12) December with 77 Reads. Liquidity plays a crucial role in many empirical studies, so it is important that researchers measure it accurately.
The purposes of this article are two-fold: (1) to identify the liquidity Determinants of liquidity costs in commodity futures markets book that best capture the costs of trading commodities; and (2) to document actual transaction costs of commodities for different trade sizes and order execution approaches.
A futures market has recently been established for Atlantic salmon, and in this paper we examine the risk premium in salmon futures prices. Recent studies suggest that industry-specific production factors as well as the basis can influence the relationship between spot and futures prices.
Determinants of Trader Profits in Commodity Futures Markets 1. Introduction Recent price volatility in commodity markets has renewed interest among academics, practitioners and policymakers in the role and impact of derivatives traders, especially speculators, in these markets.
Highlights We examine liquidity commonality in commodity futures markets. Liquidity commonality was present in – and during the recent price boom. There is some support for both “supply-side” and “demand-side” explanations.
There is no evidence of a consistent link between stock and commodity liquidity. Determinants of volatile commodity prices Introduction: Global concern on high and volatile commodity prices has attracted researchers, research institutions and multilaterals to delve into deeper thought and analysis.
Recent hikes and fluctuations in global commodity prices in have raised many issues. Researchers. All four mechanisms work to reduce the real market price of commodities, as happened when real interest rates where high in the early s.
A decrease in real interest rates has the opposite effect, lowering the cost of carrying inventories, and raising commodity prices, as. 1. Introduction. The determinants and pricing of stock liquidity commonality have important implications for international asset pricing (Chordia et al.,Chordia et al., ).Recent research using single-market and multiple-market datasets finds that liquidity commonality is a pervasive global phenomenon (e.g., Karolyi et al., ).However, research to discover the determinants.
Futures contracts allow hedgers and speculators to trade the price of an asset that will settle for delivery at a future date in the present. Futures are known as derivatives contracts, since. Speculators play an important role by providing liquidity to the futures market, but it is possible that they can distort prices.
For a futures market to be a success in South Africa there needs. Previous studies of and Anderson () found no significant effect of maturity on liquidity costs in grain futures markets.
A negligible negative impact of moneyness of the option was found on. processing cost are three main determinants of costs to attract market makers to provide liquidity to the market (Stoll, ; Copeland and Galai, ). Hence, if there is a common component to this liquidity cost, changes in this will cause market-wide effects and impact individual stocks causing liquidity commonality.
Futures markets have been successful in attracting liquidity because they meet all of these characteristics. When it comes to commodities, one can measure the liquidity of specific futures products by examining daily trading volumes and open interest, the number of open but not closed long and short positions.
In addition to being liquid, many futures markets trade beyond traditional market hours. Extended trading in stock index futures often runs overnight, with some futures markets trading 24/7. Goldstein and Yang theoretically study how commodity financialization affects trading behavior, prices and welfare through affecting risk sharing and price discovery in futures markets.
In their model, the general equilibrium feature makes financial traders either provide or demand liquidity in the futures market, depending on the information. more heavily traded markets. Brorsen  estimated the liquidity costs in the corn futures market using data on transactions and revealed a liquidity cost nearly equal to the tick size.
With the introduction of the electronic trading platform to agricultural commodity markets, studies involving electronic data on transactions and quotes have. Liquidity is a crucial factor in determining the success of a futures market. A futures market must have enough participants with competing price goals (buyers and sellers) to ensure a turnover high enough to permit the buying and selling of contracts at a moment's notice without direct price distortion.Downloadable (with restrictions)!
Daily price co-movement across different commodity classes and its key determinant are investigated in this paper. Using co-integration and Granger causality analysis, we identify a common liquidity factor which drives prices of five commodities (oil, silver, gold, corn, live cattle) to move along a common trend.Downloadable!
This dissertation contributes to the existing literature by examining trading behaviour around security-level and market-wide events. The research focuses on equity and futures options and continues by providing insights into the price discovery process of futures and options in commodity markets.
The first essay examines informed options trading around a sample of Food and.