Looking for evidence of speculative stockholding in commodity markets
نویسندگان
چکیده
منابع مشابه
Speculative bubbles in agricultural commodity markets
Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 2007–2008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodolo...
متن کاملShorting in Speculative Markets
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuation of the asset decreases with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that followed the work by Harrison and Kreps, investors are risk-neutra...
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 کاملSpeculative Investment: Risk and Return Evidence From Thoroughbred Auction Markets
Pinhooking is a speculative investment where investors assume a risk position in the purchase and resale of Thoroughbred horses. Thoroughbred auction markets provide a unique data set to analyze investment risk. This study estimates the profitability of weanling to yearling pinhooks sold at the Keeneland September Sale using three years of sale data. Maximum-likelihood estimates of probability ...
متن کاملevidence of adverse selection in irans health insurance market
در این تحقیق به مطالعه وجود انتخاب نامساعد(کژ گزینی) در بازار بیمه درمان تکمیلی ایران پرداخته شده است. داده های مورد نیاز توسط پرسشنامه و به روش نمونه گیری خوشه ای جمع آوری شده است. پرسشنامه ها در میان افراد شاغل ساکن شهر تهران توریع شد. در این تحقیق با استفاده از تخمین دو مدل لجستیک و به دست آوردن ضریب همبستگی میان تقاضای بیمه درمان تکمیلی و رخداد خسارت به بررسی موضوع مورد نظر پرداخته شده است....
15 صفحه اولذخیره 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: Journal of Economic Dynamics and Control
سال: 1996
ISSN: 0165-1889
DOI: 10.1016/0165-1889(94)00846-8