Phd thesis on commodity derivatives These findings indicate that the structure of markets and the forecast horizon are important factors to consider when assessing market efficiency. Recent trends in commodity market in india8/10(79) Jun 29, · Shodhganga: a reservoir of Indian theses @ INFLIBNET The Shodhganga@INFLIBNET Centre provides a platform for research students to deposit their Ph.D. theses and make it available to the entire scholarly community in open access From making a science the plan to be phd thesis on commodity derivatives you the most. When you decide to that will be fixed writer with a PhD. phd thesis on commodity derivatives and hence we really understand the theory be defended. Good phd thesis on commodity derivatives writers know dream to help the clients to understand the. This is because most of 45%(K)
Bentley Academic Technology Center | Bentley University
Akpak Aygul, Melek An examination of commodity derivative markets: efficiency, volatility and diversification benefits. PhD thesis, University of Essex. This thesis comprises three papers which all examine commodity derivative markets and have a particular focus on commodity futures markets. The first paper examines market efficiency in metal, phd thesis on commodity derivatives, financial and energy futures markets across different maturities.
In the long-run, we found all markets to be efficient. And in the short-run, inefficiencies are found in the metal and energy future markets but not in the agricultural and financial markets, phd thesis on commodity derivatives. These findings indicate phd thesis on commodity derivatives the structure of markets and the forecast horizon are important factors to consider when assessing market efficiency.
The second paper analyses the diversification benefits brought into traditional stock portfolios by adding commodities such as WTI Crude Oil, Copper or Soya Bean futures. Adopting a commodity futures curves perspective, we found that commodities are still useful in portfolio diversification even after the recent increase in the correlation between returns of commodities and equities.
Moreover, we found that investors would be better off using a constant-distant maturity futures contract as it has higher return accompanied with lower volatility in comparison to a short-maturity futures contract. The constant-distant maturity also brings more benefit than a traditional buy and hold long-maturity futures contract does.
Furthermore, we found the constant-distant maturity Copper futures to be the best among all the commodities that we studied regarding the diversification benefit during the financial turmoil period.
The third paper examines the determinants of volatility along WTI Crude Oil futures curves. We analyse the effect of inventory, trading volume, open interest and speculative activities on the volatility of futures with different maturities. We find that trading volume has a positive relationship with volatility and open interest has a negative relationship with volatility.
The inventory is found to have a negative relationship with volatility of up to 6-month maturity; while a positive relationship emerges for futures contracts with 12 and month maturity. Speculative activities are found to be partially responsible for the high volatility in the post-crisis period. Toggle Menu. Research Repository home About Accessibility Repository policies Open access Discover Latest additions Simple search Advanced search Browse by Year Browse by Subject Browse by Department Browse by Author.
Atom RSS 1. An examination of commodity derivative markets: efficiency, volatility and diversification benefits. pdf Download 4MB Preview, phd thesis on commodity derivatives. Melek Akpak Aygul.
Commodities \u0026 Commodity Derivatives - Chapter 1
, time: 31:13Phd Thesis On Commodity Derivatives✏️ Spain
In our Phd Thesis On Commodity Derivatives experience, it is better when the manager assigns the order manually. You can choose one of the suitable options in the order form: the best available writer, top writer, or a premium expert. Based on your selection, the manager finds a perfect match for your essay/10() Jun 29, · This thesis comprises three papers which all examine commodity derivative markets and have a particular focus on commodity futures markets. The first paper examines market efficiency in metal, agricultural, financial and energy futures markets across different maturities. In the long-run, we found all markets to be blogger.com: Melek Akpak Aygul Jun 29, · Shodhganga: a reservoir of Indian theses @ INFLIBNET The Shodhganga@INFLIBNET Centre provides a platform for research students to deposit their Ph.D. theses and make it available to the entire scholarly community in open access
No comments:
Post a Comment