In this paper, we study the efficiency of the Chinese wheat and soybeans futures markets and assess the conditions in agricultural commodity futures and cash markets in China. Formal statistical tests are conducted through Johansen's cointegration approach to identify the long-term equilibrium relationship between futures and cash markets. Three different cash prices from Zhengzhou Grain Wholes...

abstract one of the major risks in the agricultural sector is the price fluctuations risk of agricultural products. futures markets for agricultural products as one of the policies and executive approach have a significant impact on reducing price fluctuations of agricultural products. so in this study, in this study the factors affecting farmers likely to participate in the future market for p...

a r t i c l e i n f o We establish a theoretical model with informed trading in which both of individual stock futures and its underlying stock are traded in the market. With the introduction of the futures, the paper shows that an informed trader's position of futures usually motivates him or her to trade more aggressively in the stock market at the expiration day. This also worsens the advers...

This paper investigates the pricing efficiency and hedging effectiveness of the Winnipeg barley futures market, using the Chicago corn futures market as a norm. Several tests of pricing efficiency were conducted and the stability of the basis was studied. The barley futures market operates in a heavily regulated economic environment and this is shown to impact on both price behavior and hedging...

This paper examined the volatility spillover effects between futures market and spot market in China, using both VAR model and TVP-VAR model. This study found strong bi-directional volatility spillovers between CSI futures and spot markets, and the change of futures’ volatility decreased the change of spot market’s volatility. This results support the hypothesis that the risk management functio...

This paper studies equilibrium in the futures market for a commodity in a single good economy, which is populated by heterogeneous producers and speculators. The commodity is traded only in the spot market at harvest whereas futures contracts written on the commodity are traded continuously. The model illustrates the role of heterogeneity and non-tradeness in a futures market equilibrium. The r...

This paper proposes a convenience yield-based pricing for commodity futures, which embeds incompleteness of commodity futures markets in convenience yields. By using the pricing method, we conduct empirical analyses of the prices of WTI crude oil, heating oil, and natural gas futures traded on the NYMEX in order to assess the incompleteness of energy futures markets. We show that the fluctuatio...

This study is devoted to analyzing the development of the GKO market in Russia. The period of time considered is September 1996-September 1997. Interaction of two segments of the market is analyzed: futures market and secondary market. It is proved that there exists a risk premium on the futures market that leads to underpricing on the futures market. That is the futures price is no longer an u...