Asset storability and hedging effectiveness in commodity futures markets

Applied Economics Letters

Volumn 10, Issue 8, 2003, Pages 487-491

  Yang, Jian ^a   Awokuse, Titus O ^b  

^a PRAIRIE VIEW A AND M UNIVERSITY   (United States)

^b UNIVERSITY OF DELAWARE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMMODITY MARKET; MARKET DEVELOPMENT; RISK FACTOR;

EID: 0042315320     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485032000095366     Document Type: Article

References (17)

1. Baillie, R. T. and Myers, R. J. (1991) Bivariate GARCH estimation of the optimal commodity futures hedge, Journal of Applied Econometrics, 6, 109-24.
2. Black, F. (1976) The pricing of commodity contracts, Journal of Financial Economics, 3, 167-79.
3. Covey, T. and Bessler, D. A. (1995) Asset storability and the information content of intertemporal prices, Journal of Empirical Finance, 2, 103-15.
4. Darbar, S. M. and Deb, P. (1997) Co-movements in international equity markets, Journal of Financial Research, 20, 305-22.
5. Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987-1008.
6. Engle, R. F. and Kroner, K. F. (1995) Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122-50.
7. Fleming, J., Kirby, C. and Ostdiek, B. (1998) Information and volatility linkages in the stock, bond and money markets, Journal of Financial Economics, 49, 111-37.
8. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551-80.
9. Kavussanos, M. G. and Nomikos, N. K. (2000) Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract, Journal of Futures Markets, 20, 775-801.
10. Myers, R. J. (1991) Estimating time-varying optimal hedge ratios on futures markets, Journal of Futures Markets, 11, 39-53.
11. Peck, A. E. (1976) Futures markets, supply response and price stability, Quarterly Journal of Economics, 90, 407-23.
12. Purcell, W. D. and Hudson, M. A. (1985) The Economic Roles and Implications of Trade in Livestock Futures. In Futures Markets: Regulatory Issues, (Ed.) A. E. Peck, American Enterprise Institute for Public Policy Research, Washington.
13. Skadberg, J. M. and Futrell, G. A. (1966) An economic appraisal of futures trading in livestock, Journal of Farm Economics, 48, 1485-9.
14. Sephton, P. S. (1993) Optimal hedge ratios at the Winnipeg commodity exchange, Canadian Journal of Economics, 26, 175-93.
15. Yang, J., Bessler, D. A. and Leatham, D. J. (2001a) Asset storability and price discovery of commodity futures markets, Journal of Futures Markets, 21, 279-300.
16. Yang, J., Haigh, M. S. and Leatham, D. J. (2001b) Agricultural liberalization policy and commodity price volatility: A GARCH application, Applied Economics Letters, 8, 593-8.
17. Working, H. (1962) New concepts concerning futures markets and prices, American Economic Review, 52, 432-59.