A Note on Asymmetry in Commodity Futures Markets
โ Scribed by Rony S. Gravelines; Milton Boyd
- Book ID
- 111332050
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 76 KB
- Volume
- 47
- Category
- Article
- ISSN
- 0008-3976
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have
This article examines the theoretical and empirical implications of asymmetric information in commodity futures markets. In particular, it formulates and tests a theoretical model that recognizes two distinct categories of traders: hedgers, who participate in both spot and futures markets, and specu
## Introduction e of the most intriguing and long standing conjectures concerning the 0. pattern of prices on futures markets is that prices display "backwardation," at least on a seasonal basis. The term backwardation has a long history of use on the London stock exchange, and was adapted to futu