Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.

An economic analysis of fertility, market participation and marriage behaviour in recent Japan.

Abstract: This research studies determinants of the gold futures price volatility in Thailand Futures Exchange using Linear Regression Model and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model. The data sample consists of daily settlement price, volume, and open interest of gold futures from the first trading day in Thailand Futures Exchange to June 26, 2013. We examine the nearby futures contract, which is switched over to the next maturing contract one day before the expiration date. The results of both models confirm that price returns volatility of gold futures increases when (1) the futures contract approaches expiration (2) trading volume increases and (3) open interest decreases. We also present an analysis of the role of covariance between changes in spot prices and carry costs in explaining the maturity effect in futures. Our results provide very strong evidence in favor of this negative covariance hypothesis. Therefore, the results of this study would be of interest to investors due to their importance to forecast future prices of gold. Hedgers should adjust their optimal hedging position according to volatility changes. The analysis of gold futures volatility also insists the Clearing House in setting different margin requirements as each contract approaches maturity differently. Margin requirements should be raised for nearby gold futures contract as its volatility increases. Either an increase in trading volume or a decrease in open interest should also increase margin requirements for gold futures.

A Note on the Normalization of Spanish Electricity Spot Prices

Abstract: Merit order of renewable generation has produced an increasing, relevant number of zero values in Spanish electricity spot prices since 2010, in contrast with the rest of markets which rarely present zero values. This letter shows that existing methodologies for normalizing the price distribution fail to yield a proper normalization. This letter proposes a new algorithm based on Nataf transformation which addresses this issue and ensures a correct normalization. Numerical results validate the proposed algorithm.

Price discovery in Indian commodity futures market: an empirical exercise

Abstract: The Indian commodity futures market is of recent introduction, albeit, it was in existence in a crude form a few centuries ago. After the opening of national level exchanges post 2002, the landscape of this market has witnessed phenomenal growth in terms of products on offer, trade volume, participation, and spatial distribution. In this paper, pepper has been selected as a commodity to explore the price discovery process through a series of tests, namely, Granger causality, co-integration, error correction with weak exogeneity, and forecast error variance decomposition. This paper sheds some light on existing methods of price discovery mechanism through some insightful inferences that unidirectional causality from futures to spot prices has been observed in the Indian pepper futures market. However, the adjustment of innovations or shocks in the futures market is relatively faster than that of the spot market.

Impact of Futures Trading on Indian Agricultural Commodity Market

Abstract: Besides the well-established fact towards the requirement of market based instrument, there is always been a doubt, as expressed by different bodies, on the usefulness and suitability of futures contract in developing the underlying agricultural commodity market, especially in agricultural based economy like India. Therefore, an attempt has been made to re-validate the impact of futures trading on agricultural commodity market in India. The daily price information in spot and futures markets, for a period of 7 years (2004 – 2010), for 9 major agricultural commodities, taken from different categories of Agri-products, are incorporated into various econometric models to test the concerned objective. Like most of the other studies undertaken on world and Indian commodity market, the present study have also exhibited that even though the inflationary pressure on commodity, especially agricultural commodity, prices have gone up sharply after the introduction of commodity futures contracts, the destabilizing effect of the futures contract is casual in nature and tends to vary over a long period of time. The empirical findings significantly shows that comparative advantage of futures market in disseminating information, leading to a significant price discovery and risk management, that can again help to successfully develop the underlying commodity market in India. Therefore instead of curbing the commodity futures market, it can always be suggested to strengthen the market structure to achieve the broader target.