ntil very recently, commodity futures markets were largely ignored by the U vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance. This article describes an area which overlaps the two v
A test of the intertemporal hedging model of the commodities futures markets
β Scribed by Stacie E. Beck
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 703 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The ability of futures markets to predict subsequent spot prices has been a controversial topic for a number of years. Empirical evidence to date is mixed; for any given market, some studies find evidence of efficiency, others of inefficiency. In part, these apparently conflicting findings reflect d
choles' paper begins with the assertion that hedging and spreading are S economically identical activities. While not common trade use of these terms, what is meant is that both hedging and spreading are arbitrages, recognizing that what is being arbitraged is very different in each case. By the con
futures contracts specifying a negotiable certificate of deposit S C D ) as the deliverable instrument have been traded at the International Monetary Market of the Chicago Mercantile Exchange. Before this time, commercial banks often resorted to using other futures contracts-usually Treasury-bill fu
## Abstract This study investigates the efficiency of the New York Mercantile Exchange (NYMEX) Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased