دانلود مقاله ISI انگلیسی شماره 94442
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94442 2017 12 صفحه PDF سفارش دهید 11075 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Resources Policy, Volume 53, September 2017, Pages 135-146

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

This study examines the hypothesis of Tilton et al. (2011) that asserts investor demand affects commodity prices when spot and futures prices are closely correlated during strong contango in a hard commodity like copper. However, using daily data of crude palm oil (CPO) spot and futures prices from January 2000 to July 2016, after taking into account the variance of the increments in a random walk as measured by variance ratio, our study finds that spot and futures prices are highly correlated during backwardation period. It is further observed that: First, investor demand on the futures market is highly correlated with spot and futures prices during backwardation, but lesser during weak contango, and the least correlated during strong contango. Second, the efficiency of the futures market is related to the degree of correlation between spot and futures price changes. High efficient information transmission in the futures market is linked to a high correlation between spot and futures markets and vice versa. Therefore, we extend the hypothesis that the preference of holding a long position in the futures market is due to the anticipation of insufficient supply of CPO which happens during the backwardation period.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.