Support for aspiring veterinary leaders and those seeking information on veterinary careers will soon be available under the auspices of the Vet Futures initiative.
At last year's London Vet Show BVA joined forces with the RCVS to launch the Vet Futures project to help the profession prepare for, and shape, its future. Twelve months, thousands of miles of ...travelling to roadshows and hundreds of survey questions later, we're ready to publish the Vet Futures report.
We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers' hedging ...demand or speculators' capital constraints increase hedging costs via price-pressure on futures. These in turn affect producers' equilibrium hedging and supply decision inducing a link between a financial friction in the futures market and the commodity spot prices. Consistent with the model, measures of producers' propensity to hedge forecasts futures returns and spot prices in oil and gas market data from 1979 to 2010. The component of the commodity futures risk premium associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage generate limits to hedging by producers, and affect equilibrium commodity supply and prices.
Bitcoin Futures—What use are they? Corbet, Shaen; Lucey, Brian; Peat, Maurice ...
Economics letters,
11/2018, Volume:
172
Journal Article
Peer reviewed
Open access
Early analysis of Bitcoin concluded that it did not meet the economic conditions to be classified as a currency. Since this conclusion, interest in Bitcoin has increased substantially. We investigate ...whether the introduction of futures trading in Bitcoin is able to resolve the issues that stopped Bitcoin from being considered a currency. Our analysis shows that spot volatility has increased following the appearance of futures contracts, that futures contracts are not an effective hedging instrument, and that price discovery is driven by uninformed investors in the spot market. We therefore argue that the conclusion that Bitcoin is a speculative asset rather than a currency is not altered by the introduction of futures trading.
•This article investigates the effect of the introduction of Bitcoin futures.•The introduction of Bitcoin futures has increased the spot volatility of Bitcoin.•Bitcoin futures are not an effective hedging tool.•Price discovery is driven by uninformed investors in the spot market.•Bitcoin futures did not affect the nature of Bitcoin as a speculative asset rather than a currency.
We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices. Institutional investors care about their ...performance relative to a commodity index. We find that all commodity futures prices, volatilities, and correlations go up with financialization, but more so for index futures than for nonindex futures. The equity-commodity correlations also increase. We demonstrate how financial markets transmit shocks not only to futures prices but also to commodity spot prices and inventories. Spot prices go up with financialization, and shocks to any index commodity spill over to all storable commodity prices.
This paper explores the impact of investor flows and financial market conditions on returns in crude oil futures markets. I argue that informational frictions and the associated speculative activity ...may induce prices to drift away from "fundamental" values, and may result in price booms and busts. Particular attention is given to the interplay between imperfect information about real economic activity, including supply, demand, and inventory accumulation, and speculative activity in oil markets. Furthermore, I present new evidence that there were economically and statistically significant effects of investor flows on futures prices, after controlling for returns in the United States and emerging-economy stock markets, a measure of the balance sheet flexibility of large financial institutions, open interest, the futures/spot basis, and lagged returns on oil futures. The largest impacts on futures prices were from intermediate-term growth rates of index positions and managed-money spread positions. Moreover, my findings suggest that these effects were through risk or informational channels distinct from changes in convenience yield. Finally, the evidence suggests that hedge fund trading in spread positions in futures impacted the shape of term structure of oil futures prices.
This paper was accepted by Wei Xiong, finance.
This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed ...to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The flows are not based on information about futures price movements but nonetheless cause increases and decreases in commodity futures prices when they are passed through to and withdrawn from the futures markets. These finding are consistent with the hypothesis that non-information-based financial investments have important impacts on commodity prices.
This paper examines spillover effects among six commodity futures markets – gold, silver, West Texas Intermediate crude oil, corn, wheat, and rice – by employing the multivariate DECO-GARCH model and ...the spillover index. Specifically, we investigate the dynamics of return and volatility spillover indices to reveal the intensity and direction of transmission during the recent global financial and European sovereign debt crises. Our empirical results are as follows. First, we estimate a positive equicorrelation between commodity futures market returns and find that it increased sharply during the crises. This effect can persist during periods of economic and financial turmoil, diminishing the benefits of international portfolio diversification for investors. Second, we identify bidirectional return and volatility spillovers across commodity futures markets, and find more pronounced trends in their levels in the post-crisis period. This indicates the strong impact of spillovers during crisis periods. Third, both gold and silver are information transmitters to other commodity futures markets, while the remaining four commodity futures investigated were receivers of spillovers during recent periods of financial stress. Finally, we analyse the optimal portfolio weights and time-varying hedge ratios between metal and other commodities futures markets. Overall, our findings provide new insights into channels of information transmission, which may improve investment decisions and inform portfolio investors' trading strategies.
•We investigate return and volatility spillover effects among six commodity futures.•We examine the intensity and direction of information transmission.•We employ both the multivariate DECO-GARCH model and spillover index.•Spillover effects are particularly intensified during recent financial crises.•We evaluate and compare optimal portfolio weights and time-varying hedge ratios.
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