This paper studies equilibrium in the futures market for a commodity in a single good economy, which is populated by heterogeneous producers and speculators. The commodity is traded only in the spot market at h
European Journal of Political EconomyTorricelli, C. (1994), "Future market and spot price volatility: A model for a storable commodity", European Journal of Political Economy, No. 10, pp. 339-355.Torricelli C., 1993. Futures market and spot price volatility: a model for a storable ...
Unlike futures prices, which represent the expected future value of an asset, spot prices reflect the present day’s actual market value. What is Spot Price? The spot price, also known as the cash price or current price, is the prevailing price at which a specific asset or commodity can b...
.We decompose the futures volume into expected and unexpected components using Hodrick-Prescott filter (HP filter) .To clearly understand the destabilization effect, the relationship of the unexpected liquidity of futures market is done with Unexpected volatility of spot market returns which is estimated...
There is a co-integration and bi-directional lead relationship between cornstarch futures price and corn futures price. The launch of cornstarch futures market can slightly reduce volatility of domestic corn futures market. However, the launch of cornstarch futures market has no significant impact ...
Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray's (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results...
futures. Still an equivocal situation exists i.e. which market is a leading market, whether spot market is leading the futures or vice versa? Price discovery is a process that allows market prices of the security to be determined by taking into ...
In particular, there is unidirectional causality from the futures market to the forward market and from the futures market to the spot market for 1-month- and 1-quarter-ahead maturities. This result may be indicative of the agents to use the price of the futures market as a valuable ...
The difference between a spot market and a futures market are: 1. The spot market is also called a cash market, and the transactions in it are... Learn more about this topic: Market Capitalization | Definition, Formula & Examples
The spot price is the current market price of an asset. In other words, it's the price the buyer pays on the spot. This article explains the importance of spot prices in the market.