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Phd thesis on commodity derivatives
studied regarding the diversification benefit during the financial turmoil period. When the forecast horizon increases to 60-days, the efficiency measure drops to 50 in all the metal and energy futures markets, but not in the agricultural and financial markets. And in the short-run, inefficiencies are found in the metal and energy future markets but not in the agricultural and financial markets. The inventory is found to have a negative relationship with volatility of up to 6-month maturity; while writing a proposal for wgi a positive relationship emerges for futures contracts with 12 and 18-month maturity. Actions (login required view Item). Moreover, results from a quantitative measure of short-run inefficiency indicate that all markets studied are at least 90 efficient along the futures curve for a 30-day forecast horizon.
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The constant-distant maturity also brings more benefit than a traditional buy and hold long-maturity futures contract does. Moreover, we found that investors would be better off using a constant-distant maturity futures contract as it has higher return accompanied with lower volatility in comparison to a short-maturity futures contract. Speculative activities are found to be partially responsible for the high volatility in the post-crisis period. Adopting a commodity futures curves perspective, we found that commodities are still useful in portfolio diversification even after the recent increase in the correlation between returns of commodities and equities. We analyse the effect of inventory, trading volume, open interest and speculative activities on the volatility of futures with different maturities. In this dissertation, I study sigmund freud dreams essay if financialization of the commodities futures market. Invested in commodity derivatives via these new financial instruments. It has been accepted for inclusion in Graduate Theses and Dissertat ions. Seasonality affects the model s prediction about the price of commodity derivatives with short and long. This is to certify that this synopsis for thesis entitled A relational study OF spot AND.