Search results for " Futures"
showing 10 items of 18 documents
Pricing of electricity futures based on locational price differences : The case of Finland
2018
We find that the pricing of Finnish electricity market futures has been inefficient during the latest 10 years, when the trading volumes of Electricity Price Area Differentials (EPADs) have more than doubled. Even though the calculated futures premium on EPADs is related to some risk measures and the variables capturing the demand and supply conditions in the spot electricity markets, there has been a significant positive excess futures premium in the Finnish market, and financial market participants should have been able to utilize this also in economic terms. This finding is new and relevant for the participants of the Nordic electricity markets also in the future, because both the specul…
Calendar Anomalies in Stock Index Futures
2011
There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes. In this paper, we present a comprehensive study of 188 possible cyclical anomalies in S&P 500, DAX and Nikkei stock index futures contracts from 1991 to 2008. Frictions in futures markets, unlike spot markets frictions, make it feasible to produce economically significant profits from trading rules based on calendar effects. By applying a percentile-t-bootstrap and Monte Carlo methods, our analysis rev…
The inconvenience yield of carbon futures
2021
Abstract Since 2009, the European Carbon Futures Market has been in a permanent contango situation that is characterised by systematic negative convenience yields that allow investors to exploit profitable arbitrage opportunities. The objective of this paper is to analyse the possible drivers of these negative convenience yields. Our empirical results indicate that although some carbon trading variables are behind this contango situation, the carbon inconvenience yield is better explained if other financial markets and variables are considered, suggesting a financialization of the European Carbon Futures Market.
On measuring speculative and hedging activities in futures markets from volume and open interest data
2010
This paper provides a critical assessment of the line of research that measures speculative and hedging activities in futures markets from volume and open interest data. It makes several contributions. First, a detailed theoretical analysis of the measures proposed in the previous literature as proxies for speculative activity clarifies the circumstances in which they fail, as well as the assumptions that have to be made, when they are used as intended. Second, we propose a new way of combining the volume and the open interest figures, which provides additional information regarding the type of trading activity that takes place in the market on a given date. Finally, we analyse empirically …
European Natural Gas Seasonal Effects on Futures Hedging
2015
Abstract This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price). This fact remains true for short …
Rural futures in developed economies: The case of Finland
2015
Abstract This study presents four possible images of rural futures in Finland: decentralized bio-economy, colonial countryside, museum countryside and rural business islets. They are distilled through literature reviews, futures workshops and futures tables. Alternative specifications of structures, contents and agencies result in highly divergent states of key dimensions and, consequently, divergent rural futures. This diversity challenges the conventional public wisdom or intellectual monoculture that considers decay as the only future for rural areas. Key challenges in crafting plausible but divergent futures images are finding an appropriate level of abstraction or “flight altitude”, es…
Teacher Agency and Futures Thinking
2022
Problems encountered in top-down school reforms have repeatedly highlighted the significance of teachers’ agency in educational change. At the same time, temporality has been identified as a key element in teachers’ agency, with teachers’ beliefs about the future and experiences of the past shaping their agentic orientations. However, research on teachers’ future orientations is typically limited to short-term trajectories, as opposed to long-term visions of education. To address this, we draw on a futures studies perspective to give more explicit attention to teachers’ long-term visions of their work. We argue that the method of future narratives, already well…
Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions
2022
We study the dependence of renewable energy production-related critical metal futures and producer equity returns, compared to the non-renewable energy (oil and natural gas) and some other globally relevant commodity markets. We find different asymmetric and symmetric dependencies in these commodity markets. The dependence is asymmetric in the most important critical metal markets, i.e., of silver, copper, and platinum. Still, surprisingly, for example, in the oil market, the relationship is symmetric, and no relationship is found in the natural gas market. Furthermore, the oil and agricultural markets have homogenous dependence structures in most market conditions, so the information trans…
The response of Brent crude oil to the European central bank monetary policy
2022
Este artículo examina el impacto de las decisiones de política monetaria del Banco Central Europeo (BCE) sobre los precios del petróleo y la liquidez mediante un estudio de eventos con datos intradía. Analizamos el período de enero de 1999 a diciembre de 2020, que incluye la crisis financiera que comenzó en agosto de 2007. Nuestros resultados muestran una respuesta significativa de los rendimientos del petróleo solo durante la crisis financiera. Específicamente, encontramos que los rendimientos de los futuros de petróleo crudo Brent respondieron negativamente a variaciones inesperadas en la prima de riesgo italiana como medida de acciones de política monetaria no convencionales, y positivam…
Rolling Over EUAs and CERs
2012
Whatever derivative contract has a finite life limited by their maturity. The construction of long series, however, is of interest for academic, hedging and investments purposes. In this study, we analyze the relevance of the choice of the rollover date on European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts. We have used five different methodologies to construct long series and the results show that, regardless of the criterion applied, there are not significant differences between the resultant return distribution series. Therefore, the least complex method, which is to roll on the last trading day, can be used in order to reach the same conclusions.…