The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of op...

The reorganization of the electricity industry in Spain completed a new step with the start-up of the Derivatives Market. One main characteristic of MIBEL’s Derivatives Market is the existence of physical futures contracts; they imply the obligation to settle physically the energy. The market regulation establishes the mechanism for including those physical futures in the day-ahead bidding of t...

This paper describes a set of experiments performed with an artiicial futures market simulation. The non-rational market participants, which evolve simple strategies using genetic algorithms, compete against each other to make proots by buying and selling futures contracts. The dynamic and equilibrium behavior of the participants is studied under a variety of conditions. The results suggest tha...

This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder’s timing options to exercise the shipping certificate delivery item and subsequently liquidate the physical grain. In our proposed approach, we incorporate stochastic spot price and storage cost,...

This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the reve? nues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is...

This paper examines the relationships among Hangseng index and its related derivatives in a bear market. The Johansen Co-integration and vector error correction model are used to analyze the relationships between markets. The main results are as follows: 1) The lead-lag relationships show that Hangseng index futures and option markets play a more important price discovery role; 2) The pricing e...

Article history: Received 7 May 2011 Received in revised form 3 November 2012 Accepted 16 January 2013 Available online 26 January 2013 We analyze how gender and age, internal characteristics of retail futures traders—one that remains fixed while the other changes over a lifetime—and the security being traded and bull– bear market conditions, two external factors, are related to the disposition...

We present evidence of the efficiency in an emergent futures market before, during and following the Asian crisis. Our approach is to comprehensively test price formation and informational efficiency in markets which play a leading role in the price discovery process. Our contribution is to examine the impact of the Asian crisis from a derivative markets perspective, thereby furthering the deba...