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D N Rao - One of the best experts on this subject based on the ideXlab platform.

  • efficiency of indian commodities market a study of agricultural Commodity Derivatives traded on ncdex
    Social Science Research Network, 2010
    Co-Authors: Gurbandini Kaur, D N Rao
    Abstract:

    Since Commodity “futures” trading was permitted in 2003, the Commodity Derivative market in India has witnessed phenomenal growth. Though the volume of Commodity futures trade increased exponentially since its launch in 2003, the functioning of the futures market came under scrutiny during 2008-2009 due to price rise and the role of futures market in stabilizing spot prices was widely discussed. The study aims at testing the weak form of Efficient Market Hypothesis in the context of an emerging Commodity market - National Commodity Derivatives Exchange (NCDEX), which is considered as the prime Commodity Derivatives market in India. The study considered daily spot and futures prices of four agricultural commodities traded on NCDEX over a 13 month period (the futures contracts originating and expiring during the period July 2008 to July 2009). The four commodities chosen are Pepper, Refined Soya Oil, Guar seed and Chana as they account for almost two-thirds of the value of agricultural Commodity Derivatives traded on NCDEX. 27 Future Contracts for the above four commodities were analyzed for the period of study. Autocorrelation and Run test have been used to test the efficiency of the agricultural Commodity market. It has been observed that the coefficients are high for lags in the beginning and the values continue to fall as the lags increase. However, the fall in values of autocorrelation coefficients is not much. This may suggest that information embedded in longer period of lags would be as influential in determining future price as that of information embedded in short lag periods. The results of Autocorrelation and Run test indicate that both spot and futures prices are weak form efficient.

Anna Chadwick - One of the best experts on this subject based on the ideXlab platform.

  • gambling on hunger the right to adequate food and Commodity Derivatives trading
    Human Rights Law Review, 2018
    Co-Authors: Anna Chadwick
    Abstract:

    Non-governmental organizations (NGOs) have claimed that financial speculators, by gambling on food prices via Commodity Derivative instruments, contributed to the global food crisis from 2007 to 2011. Commodity futures contracts began life as a form of agricultural insurance and were predominantly used to stabilize Commodity prices. How did it then come about that these instruments were turned against agricultural production, leading to violations of the human right to adequate food? This article draws on the history of Commodity futures trading to explore the claims of NGOs regarding the causal significance of speculation in the recent crisis. It finds that the financialization of futures markets in recent decades has created new channels of influence whereby activity in Commodity Derivatives markets can impact on underlying food prices. The implications for efforts to realize the human right to adequate food are elaborated in the final section.

Gurbandini Kaur - One of the best experts on this subject based on the ideXlab platform.

  • efficiency of indian commodities market a study of agricultural Commodity Derivatives traded on ncdex
    Social Science Research Network, 2010
    Co-Authors: Gurbandini Kaur, D N Rao
    Abstract:

    Since Commodity “futures” trading was permitted in 2003, the Commodity Derivative market in India has witnessed phenomenal growth. Though the volume of Commodity futures trade increased exponentially since its launch in 2003, the functioning of the futures market came under scrutiny during 2008-2009 due to price rise and the role of futures market in stabilizing spot prices was widely discussed. The study aims at testing the weak form of Efficient Market Hypothesis in the context of an emerging Commodity market - National Commodity Derivatives Exchange (NCDEX), which is considered as the prime Commodity Derivatives market in India. The study considered daily spot and futures prices of four agricultural commodities traded on NCDEX over a 13 month period (the futures contracts originating and expiring during the period July 2008 to July 2009). The four commodities chosen are Pepper, Refined Soya Oil, Guar seed and Chana as they account for almost two-thirds of the value of agricultural Commodity Derivatives traded on NCDEX. 27 Future Contracts for the above four commodities were analyzed for the period of study. Autocorrelation and Run test have been used to test the efficiency of the agricultural Commodity market. It has been observed that the coefficients are high for lags in the beginning and the values continue to fall as the lags increase. However, the fall in values of autocorrelation coefficients is not much. This may suggest that information embedded in longer period of lags would be as influential in determining future price as that of information embedded in short lag periods. The results of Autocorrelation and Run test indicate that both spot and futures prices are weak form efficient.

Vadim Linetsky - One of the best experts on this subject based on the ideXlab platform.

  • time changed ornstein uhlenbeck processes and their applications in Commodity Derivative models
    Mathematical Finance, 2014
    Co-Authors: Vadim Linetsky
    Abstract:

    This paper studies subordinate Ornstein–Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Levy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent measure transformations, and the spectral representation of their transition semigroups in terms of Hermite expansions. As an application, we propose a new class of Commodity models with mean-reverting jumps based on subordinate OU processes. Further time changing by the integral of a Cox–Ingersoll–Ross process plus a deterministic function of time, we induce stochastic volatility and time inhomogeneity, such as seasonality, in the models. We obtain analytical solutions for Commodity futures options in terms of Hermite expansions. The models are consistent with the initial futures curve, exhibit Samuelson's maturity effect, and are flexible enough to capture a variety of implied volatility smile patterns observed in commodities futures options.

  • time changed ornstein uhlenbeck processes and their applications in Commodity Derivative models
    Research Papers in Economics, 2012
    Co-Authors: Vadim Linetsky
    Abstract:

    This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent measure transformations, and the spectral representation of their transition semigroups in terms of Hermite expansions. As an application, we propose a new class of Commodity models with mean-reverting jumps based on subordinate OU process. Further time changing by the integral of a CIR process plus a deterministic function of time, we induce stochastic volatility and time inhomogeneity, such as seasonality, in the models. We obtain analytical solutions for Commodity futures options in terms of Hermite expansions. The models are consistent with the initial futures curve, exhibit Samuelson's maturity effect, and are flexible enough to capture a variety of implied volatility smile patterns observed in commodities futures options.

Momčilović Mirela - One of the best experts on this subject based on the ideXlab platform.

  • Development of Derivative Trading on Financial Market and Agribusiness Sector in Serbia
    'Centre for Evaluation in Education and Science (CEON CEES)', 2018
    Co-Authors: Kuzman Boris, Ercegovac Dajana, Momčilović Mirela
    Abstract:

    Transactions with futures and other Derivatives began their development in the XIX century on the exchanges in USA and other developed countries, but financial market in Serbia is still underdeveloped with exchange materials, volumes and number of participants. Investors on the Belgrade Stock Exchange mostly trade with stocks and government bonds. Also, Agrar Product Novi Sad has organized only spot trading of agricultural products. The paper goal is to present all relevant assumptions and significance of Derivative trading development in Serbia with discussion about choice to start Derivative trading on the already existing exchanges or to establish a new futures exchange that is going to be specialized for Derivative trading. As the research method authors use content analysis and comparison of significant national and foreign literature with analyses of trading volumes on international and domestic exchanges. Authors recommend that Agrar Product Novi Sad be the first in expansion of market listing with Commodity futures and options. On this way market is going to be deeper, creating efficient mechanisms for investor’s protection from price risks, creating conditions for safer and long term production planning, with increase in market attractivity that could set the Agrar Product Novi Sad as a leader in Commodity Derivative trading in the South-East Europe

  • Development of Derivative trading on financial market and agribusiness sector in Serbia
    Naučno društvo agrarnih ekonomista Balkana Beograd; Institut za ekonomiku poljoprivrede Beograd i Akademija ekonomskih nauka Bukurešt, 2018
    Co-Authors: Kuzman Boris, Ercegovac Dajana, Momčilović Mirela
    Abstract:

    Transactions with futures and other Derivatives began their development in the XIX century on the exchanges in USA and other developed countries, but financial market in Serbia is still underdeveloped with exchange materials, volumes and number of participants. Investors on the Belgrade Stock Exchange mostly trade with stocks and government bonds. Also, Agrar Product Novi Sad has organized only spot trading of agricultural products. The paper goal is to present all relevant assumptions and significance of Derivative trading development in Serbia with discussion about choice to start Derivative trading on the already existing exchanges or to establish a new futures exchange that is going to be specialized for Derivative trading. As the research method authors use content analysis and comparison of significant national and foreign literature with analyses of trading volumes on international and domestic exchanges. Authors recommend that Agrar Product Novi Sad be the first in expansion of market listing with Commodity futures and options. On this way market is going to be deeper, creating efficient mechanisms for investor's protection from price risks, creating conditions for safer and long term production planning, with increase in market attractivity that could set the Agrar Product Novi Sad as a leader in Commodity Derivative trading in the South-East Europe