| Description |
1 online resource (222 pages) |
| Series |
UA Ruhr Studies on Development and Global Governance Ser. ; v. 65 |
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UA Ruhr Studies on Development and Global Governance Ser
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| Contents |
Intro; 1. Introduction; 2. The Efficiency of Financial Markets With Special Reference to Commodity Futures Markets â#x80;#x93; A Review; 2.1 The Efficient Market Hypothesis vs. Behavioural Finance Theories: Insights into the Efficiency of Financial Markets; 2.1.1 The Efficient Market Hypothesis: The Theoretical Foundation; 2.1.2 Behavioural Finance Theories; 2.1.3 Efficient Market Hypothesis and Behavioural Finance Theories: The Empirical Evidence; 2.2 Assessing the Efficiency of Commodity Futures Markets with Cointegration Tests; 2.2.1 Cointegration Tests: The General Approach |
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2.2.2 Cointegration Tests Applied: Empirical Results about the Efficiency of (Agricultural) Commodity Futures Markets2.2.3 Some Remarks on the Cointegration Approach; 2.3 Increased Index Funds Activities on Commodity Markets; 2.3.1 Background of the Financialization of Commodity Markets; 2.3.2 How the Financialization of Commodity Futures Markets Can Affect Their Efficiency: The Transmission Channel; 2.3.3 Does the Financialization of Commodity Markets Affect Their Efficiency? The Empirical Evidence; 2.4 Summary of the Literature Review |
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3. The Competitive Storage Model â#x80;#x93; Interlinking Commodity Price Expectations and Current Spot Prices3.1. The Theory of the Competitive Storage Model; 3.2 The Empirical Evidence of the Competitive Storage Model; 4. The Storage Transmission Mechanism â#x80;#x93; Modelling the Effects of Overshooting Commodity Futures Prices on Spot Prices; 4.1 Excessive Storage and its Effects on Spot Prices; 4.2 Reflections on the Storage Transmission Mechanism under Consideration of the Literature; 4.3 Research Hypotheses; 5. Methodology and Data; 5.1 Maize as Object of Investigation and its Cultivation Periods |
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5.2 Test Methods5.2.1 Modelling the Effect of Production Shocks on the Current Spot Price (Hypothesis 1); 5.2.2 Modelling the Effect of Production Shocks on the Subsequent Spot Price (Hypothesis 2); 5.2.3 Illustrating the Effect of Production Shocks on Trading Activities (Hypothesis 3); 5.2.4 Measuring the Development of Futures Prices within Production Shock Affected Cultivation Periods (Hypothesis 4); 5.2.5 Modelling the Reaction of Storage to an Increase of the Futures Price (Hypothesis 5); 5.3 Data; 6. Statistical Characteristics of Maize Production and Prices |
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6.1 Global Maize Production and Yield â#x80;#x93; Long Term Trends and Shocks6.2 Properties of Spot Price Time Series; 7. The Empirics of Commodity Price Bubbles and Storage; 7.1 The Results of the Hypotheses Tests; 7.1.1 The Effect of Production Shocks on the Current Spot Price; 7.1.2 The Effect of Production Shocks on the Subsequent Spot Price; 7.1.3 Production Shocks and Trading Activities; 7.1.4 The Development of Futures Prices within Cultivation Periods; 7.1.5 The Reaction of Storage to Futures Price Increases; 7.2 Critical Reflections of the Empirical Results â#x80;#x93; Limitations of the Study |
| Notes |
8. Conclusion |
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Print version record |
| Subject |
Commodity futures.
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Farm produce.
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Prices.
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prices.
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Commodity futures
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Farm produce
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Prices
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| Form |
Electronic book
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| ISBN |
9783832594190 |
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3832594191 |
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