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Three essays on futures markets.

Fu, Luyang.

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Three essays on futures markets.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three essays on futures markets./
Author:	Fu, Luyang.
Description:	92 p.
Notes:	Source: Dissertation Abstracts International, Volume: 63-11, Section: A, page: 4029.
Contained By:	Dissertation Abstracts International63-11A.
Subject:	Economics, Agricultural. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3069994
ISBN:	0493899081

Three essays on futures markets.
Fu, Luyang.

Three essays on futures markets. - 92 p.

Source: Dissertation Abstracts International, Volume: 63-11, Section: A, page: 4029.

Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2002.

This study investigates the price behavior and optimal hedging strategies in futures markets. In essay one, we assess the presence of long-run mean reversion in agricultural and related futures prices. Using the fads model proposed by Summers (1986), and Fama and French (1988), and multiple-testing and nonparametric simulation techniques, we find slowly decaying mean-reverting components in 1 (corn) of 16 markets. However, out-of-sample assessment of economic returns in the corn market doesn't support mean reversion. Overall, our results confirm the importance of Monte Carlo simulation and the use of appropriate specification and testing procedures in assessing mean reversion, and provide evidence that supports efficiency in these agricultural and related futures prices in the long run.

ISBN: 0493899081Subjects--Topical Terms:

626648
Economics, Agricultural.

Three essays on futures markets.
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100 1 $a Fu, Luyang. $3 1905527
245 1 0 $a Three essays on futures markets.
300 $a 92 p.
500 $a Source: Dissertation Abstracts International, Volume: 63-11, Section: A, page: 4029.
500 $a Adviser: Philip Garcia.
502 $a Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2002.
520 $a This study investigates the price behavior and optimal hedging strategies in futures markets. In essay one, we assess the presence of long-run mean reversion in agricultural and related futures prices. Using the fads model proposed by Summers (1986), and Fama and French (1988), and multiple-testing and nonparametric simulation techniques, we find slowly decaying mean-reverting components in 1 (corn) of 16 markets. However, out-of-sample assessment of economic returns in the corn market doesn't support mean reversion. Overall, our results confirm the importance of Monte Carlo simulation and the use of appropriate specification and testing procedures in assessing mean reversion, and provide evidence that supports efficiency in these agricultural and related futures prices in the long run.
520 $a Essays two and three explore optimal hedging strategies within the mean-variance framework. In essay two, we examine the non-linear relationship between optimal hedge ratios and transaction fees under different market conditions (spot returns). In essay three, we extend the study by Working (1962) and examine the sensitivity of optimal hedging ratios to heterogeneous expectations. The empirical results in both papers indicate that the optimal hedging ratio is an increasing function of the spot return and the correlation between futures and spot prices. The studies identify that the optimal hedge ratios are relatively sensitive to transaction fees and heterogeneous expectations of futures returns particularly when the spot returns are low. In addition, the optimal transaction fee, which maximizes the revenue of futures exchanges, is derived in essay two. The results reveal that futures exchanges should consider adjusting transaction fees in accordance to the spot returns, and that improving the hedging effectiveness may enhance the revenue of the exchange by providing an opportunity to increase transaction fees.
590 $a School code: 0090.
650 4 $a Economics, Agricultural. $3 626648
690 $a 0503
710 2 0 $a University of Illinois at Urbana-Champaign. $3 626646
773 0 $t Dissertation Abstracts International $g 63-11A.
790 1 0 $a Garcia, Philip, $e advisor
790 $a 0090
791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3069994