Time Series Volatility of Commodity Futures Prices

Article Abstract:

This article examines the volatility of commodity futures prices over time and proves the hyphothesis that the variability of futures prices grows as the futures contract maturity date arrives.

United States, Statistical Data Included, Models, Statistics, Pricing, Commodities industry, Rational expectations (Economics)

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Linkages between agricultural commodity futures contracts

Article Abstract:

An empirical test is done on the independence of futures prices of six agricultural products traded at the Chicago Board of Trade, namely, corn, wheat, oats, soybean, soybean meal and soybean oil. Using data on daily settlement prices for the period Jan. 2, 1981 to Oct. 24, 1991 involving 2,734 observations for each contract, it is hypothesized that the prices of these commodities move independently. Results indicate that the price discovery function of a commodity futures contract is important information to other related commodity futures contracts.

Soybean oil mills, Soybean Processing, Corn, Corn Farming, Soybean Farming, Fats and Oils, Starch and Vegetable Fats and Oils Manufacturing, Cash grains, not elsewhere classified, Other Grain Farming, Wheat, Wheat Farming, Soybeans, Oats, Soybean Oil, Soybean Meal, Agriculture, Securities, Futures, Soybean, Soy oil, Soybean cake and meal

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Asymmetric information in commodity futures markets: theory and empirical evidence

Article Abstract:

The basis gives information regarding future spot market rates but sometimes these price estimates could be prejudiced. On the one hand, the price data can favorably be brought about by the asymmetries in the precision of futures spot prices forecasts, which the basis can completely disclose. However, additional asymmetries, in the predictions for the future spot quantities, can lead to unclear disclosures. The findings were revealed by a futures market model applied with the trading of canola, barley, and oats on the Winnipeg Commodity Exchange.

Basis (Taxation), Winnipeg, Manitoba

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