برآورد حق بیمه ریسک بازار کالای کانادا تحت محدودیت های قیمتی: رویکرد فازی دو مرحله ای
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|13678||2006||15 صفحه PDF||سفارش دهید||10367 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Omega, Volume 34, Issue 5, October 2006, Pages 477–491
This paper is written with two complementary purposes in mind. The first is to provide estimates of systematic risk for Canadian commodities futures (western barley, canola, flaxseed, feed wheat) using a market portfolio based on a similar weighting scheme suggested by Marcus. The second is to estimate systematic risk with the induction of price limits in the capital asset pricing model (CAPM) and the deployment of fuzzy regression method. A comparative investigation has been provided to show the importance of the fuzzy regression to estimate the existing risk premiums in the commodity futures.
The price limit bounds the daily commodity price to move within the predetermined level above or below the previous day's closing price. Therefore, the equilibrium price is unobserved when it moves outside the limits. Under price limitation, since the observed price is not equal to the equilibrium price, estimating using the observed price may yield biased parameter estimates. Actually, many studies propose econometric analysis to tackle the data distortion caused by price limits. Kodres  used the maximum likelihood approach to estimate the parameters of two limit robit models. Roll  adopted the proxy variable to substitute the limit move data. The daily commodity price on any trading day cannot be higher (lower) than the previous closing price plus (minus) a limit. The price limits bound the daily commodity price movements, and shorten the distribution of equilibrium price changes, allowing for the use of the fuzzy theory developed by Zadeh . Therefore, the equilibrium return may be treated as fuzzy random. The aim of this study is to estimate systematic risk using commodity futures prices with the existence of price limits. The estimation process has been conducted in two different phases. With the help of the ordinary least squares (OLS) method, the systematic risk has been estimated using the settlement price of the commodity futures, which are assumed to be sharply defined. The second phase is to investigate the impact and effectiveness of price limits on estimating the beta risk of commodities return by using an optimization model. In the following section, we present a short review of the literature related to price limits and to CAPM when applied to commodity futures. In Section 3, we present the modeling environment of both CAPM and a two-phase fuzzy regression approach, and in Section 4, the data and methodology are demonstrated. Our concluding remarks are offered in Section 5.