Revised rollover measure: an application to Euronext’s wheat futures contract

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This article extends an existing model on contracts rollover, that allows us to lower the bound measuring the number of contracts rolled by verifying that the difference between the number of contracts opened and closed is non negative. This new model is later applied to a futures contract (on milling wheat), to better understand the hedging activity that takes place, and in particular to increase our knowledge on the behavior of hedgers.

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Ce travail doctoral vise à rapprocher le céréalier français des marchés financiers à travers un serious game. Pour un producteur agricole, l’incertitude sur le prix et les quantités induit un risque important. La négociation d’un contrat avec un intermédiaire (stockeur ou courtier) permet de transférer une partie du risque mais augmente la dépendance des céréaliers envers des tiers. La couverture financière contre les risques de variations des prix est étudiée dans le cas du marché européen Euronext, afin d’évaluer sa pertinence : les contrats à terme et les options sont analysés d’un point de vue micro-structural (volume, position ouverte, volatilité, transferts d’information et de volatilité, détenteurs des contrats, roulements de positions) et sont comparés. Les marchés sont ensuite mis de côté pour s’intéresser aux caractéristiques des céréaliers à travers des enquêtes qualitatives. Pour finir, un outil numérique sous forme de serious game est développé pour initier les céréaliers aux marchés financiers.
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This study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.
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This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price variability directly attributed to volatility in the crude oil market are generally between 10%-20%, but reached nearly 45% during the financial crisis, when world demand for oil changed dramatically. Volatility transmission is also found from the corn to the ethanol market, but not the opposite. The findings provide insights into the extent of volatility linkages among energy and agricultural markets in a period characterized by strong price variability and significant production of corn-based ethanol.
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This research examines whether mandatory price reporting (MPR) impacted price relationships among U.S. hog markets. Markets are cointegrated before and after MPR enactment, but not fully integrated in either period. Terminal markets adjust to shocks in the Iowa-Southern Minnesota market more quickly and Iowa-Southern Minnesota prices adjust to shocks in terminal markets more slowly following MPR enactment. Granger causality tests indicate a causal flow from terminal markets to Iowa-Southern Minnesota prices before MPR and a causal reversal after MPR enactment. These results likely reflect decreases in volume of negotiated sales, particularly in terminal markets, and greater reliance on mandatorily reported prices for market information.
Roll, Schwartz, and Subrahmanyam (2007) investigate the linear relationship between stock market liquidity and index futures‐cash basis. We extend their work and examine nonlinear relationship between the two variables of interests, in particular, tail dependence. We find that the tail dependence is asymmetric and varies significantly over times. The lower tail dependence between changes in (il) liquidity measured by bid–ask spread of S&P 500 index and changes in absolute value of S&P 500 index futures‐cash basis is almost zero and the upper tail dependence is positive and significantly different from zero. The results suggest that an increase in liquidity is not always associated with a decrease in basis. However, a reduction in liquidity is significantly associated with an increase in basis. At the extreme situation, the link between changes in basis and changes in liquidity can break down. Arbitrage profits cannot be realized and hedging becomes less effective. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:327‐342, 2013
Futures trading volume data display strong quarterly seasonality due to the ‘rolling over’ of positions close to the expiry date of the near contract. This undermines the use of volume as a proxy for information arrival. By making explicit the relationship between trading volume and change in open interest, we provide an upper bound for this rollover. Empirical analysis of the S&P500, the UK Long Gilts and the Brent Crude contracts shows that our upper bound can be used to remove expiry-related seasonality from trading volume data.
Options, futures et autres actifs dérivés
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Hull J., Roger P., Hénot C., Deville L., 2007. Options, futures et autres actifs dérivés. Pearson education
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Le marché des céréales
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