344
Views
19
CrossRef citations to date
0
Altmetric
Original Articles

Rational speculative bubbles and commodities markets: application of duration dependence test

, &
Pages 581-596 | Published online: 06 Feb 2012

References

  • Adrangi , B and Chatrath , A . 2003 . Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange . Applied Financial Economics , 13 : 245 – 56 .
  • Antoniou, A. and Foster, A. J. (1992) The effect of futures trading on spot price volatility: evidence for Brent crude oil using GARCH, Journal of Business Finance and Accounting, 19, 473–84
  • Antoshin , S and Samiei , H . 2006 . Has speculation contributed to higher commodity prices? IMF World Economic Outlook
  • Barrett , BW and Kolb , R . 1995 . Analysis of spreads in agricultural futures . The Journal of Futures Markets , 15 : 69 – 86 .
  • Bertus , M and Stanhouse , B . 2001 . Rational speculative bubbles in the gold futures market: an application of dynamic factor analysis . The Journal of Futures Markets , 21 : 79 – 108 .
  • Brenner , RJ and Kroner , KF . 1995 . Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets . Journal of Financial and Quantitative Analysis , 30 : 23 – 56 .
  • Brorsen , WB . 1989 . Liquidity costs and scalping returns in the corn futures market . The Journal of Futures Markets , 9 : 225 – 50 .
  • Bryant , HL and Haigh , MS . 2004 . Bid-ask spreads in commodity futures markets . Applied Financial Economics , 14 : 923 – 36 .
  • J. Cai, Cheung, Y-L. and Wong, M. C. S. (2001) What moves the gold market?, Journal of Futures Markets, 21, 257–78
  • Casassus , J and Collin-Dufresne , P . 2005 . Convenience yields implied from interest rates and commodity futures . The Journal of Finance , 60 : 2283 – 331 .
  • Chatrath , A , Liang , Y and Song , F . 1997 . Commitment of traders, basis behavior, and the issue of risk premia in futures markets . The Journal of Futures Markets , 17 : 707 – 31 .
  • Chan , K , McQueen , G and Thorley , S . 1998 . Are there rational speculative bubbles in Asian stock markets? . Pacific-Basin Finance Journal , 6 : 125 – 51 .
  • Chang , EC , Chen , C and Chen , S . 1990 . Risk and return in copper, platinum and silver futures . The Journal of Futures Markets , 10 : 29 – 51 .
  • Chowdhury , AR . 1991 . Futures market efficiency: evidence from cointegration tests . The Journal of Futures Markets , 11 : 577 – 601 .
  • Christie-David, R. and Chaudhry, M. (1998) Liquidity and maturity effects around news releases, Journal of Financial Research, 22, 47–67
  • Cochrane , JH . 2000 . Money as stock: price level determination with no money demand NBER Working Paper Series No. w7498
  • Considine , TJ and Larson , D . 2001 . Risk premiums on inventory assets: the case of crude oil and natural gas . The Journal of Futures Markets , 21 : 109 – 21 .
  • H. R. Dutt, Fenton, J., Smith, J. D. and Wang, G. H. (1997) Crop year influences and variability of the agricultural futures spreads, The Journal of Futures Markets, 17, 341
  • Fama , EF and French , KR . 1988 . Business cycles and the behavior of metals prices . The Journal of Finance , 43 : 1075 – 93 .
  • Franses , PH and Kofman , P . 1991 . An empirical test for parities between metal prices at the LME . The Journal of Futures Markets , 11 : 729 – 45 .
  • Geman , H . 2005 . Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy , Hoboken, NJ : Wiley .
  • Gibson , R and Schwartz , ES . 1990 . Stochastic convenience yield and the pricing of oil contingent claims . The Journal of Finance , 45 : 959 – 76 .
  • Gilbert , CL . 2010 . Speculative influences on commodity futures prices 2006–2008 UNCTAD Discussion Paper No. 197
  • Heaney , R . 2002 . Approximation for convenience yield in commodity futures pricing . The Journal of Futures Markets , 22 : 1005 – 24 .
  • Herring , RJ and Wachter , S . 1999 . Real estate booms and banking busts: an international perspective Working Paper No. 99-27, Wharton School Center for Financial Institutions, University of Pennsylvania
  • Holmes , P and Tomsett , M . 2004 . Information and noise in UK futures markets . Journal of Futures Markets , 24 : 711 – 31 .
  • Irwin , SH , Sanders , DR and Merrin , RP . 2009 . Devil or angel? The role of speculation in the recent commodity price boom (and bust) . Journal of Agricultural and Applied Economics , 41 : 377 – 91 .
  • Jirasakuldech , B , Emekter , R and Went , P . 2006 . Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies . Applied Financial Economics , 3 : 233 – 43 .
  • Kocagil , AE . 1997 . Does futures speculation stabilize spot prices? Evidence from metals markets . Applied Financial Economics , 7 : 115 – 25 .
  • Krehbiel , T and Adkins , LC . 1993 . Cointegration tests of the unbiased expectations hypothesis in metals markets . The Journal of Futures Markets , 13 : 753 – 65 .
  • Krugman , P . 2008 . The oil nonbubble The New York Times, 12 May 2008
  • Lavin , AM and Zorn , TS . 2001 . Empirical tests of the fundamental-value hypothesis in land markets . Journal of Real Estate Finance and Economics , 22 : 99 – 116 .
  • Lien , D and Tse , YK . 1988 . Hedging time-varying downside risk . Journal of Futures Markets , 18 : 705 – 22 .
  • Lo , AW and MacKinley , AC . 1990 . When are contrarian profits die to stock market overreaction . Review of Financial Studies , 3 : 175 – 205 .
  • Longstaff , FA . 1995 . How much can marketability affect security values? . The Journal of Finance , 50 : 1767 – 74 .
  • Ludkovski , M and Carmona , R . 2004 . Spot convenience yield models for energy markets . AMS Mathematics of Finance , 351 : 65 – 80 .
  • Ma , CK and Soenen , LA . 1988 . Arbitrage opportunities in metal futures markets . The Journal of Futures Markets , 8 : 199 – 218 .
  • Masters , MW and White , AK . 2008 . The Accidental Hunt Brothers – Act 2 Special Report. Available at www.accidentalhuntbrothers.com (accessed 10 September 2011)
  • McGrattan , ER and Prescott , EC . 2001 . The stock market crash of 1929: Irving Fisher was right! NBER Working Paper Series No. w8622
  • McQueen , G and Thorley , S . 1994 . Bubbles, stock returns, and duration dependence . Journal of Financial and Quantitative Analysis , 29 : 379 – 401 .
  • Milonas , NT . 1986 . Price variability and the maturity effect in futures markets . The Journal of Futures Markets , 6 : 443 – 60 .
  • Milonas , NT and Henker , T . 2001 . Price spread and convenience yield behaviour in the international oil market . The Journal of Futures Market , 11 : 23 – 36 .
  • Ng , VK and Pirrong , SC . 1994 . Fundamentals and volatility: storage, spreads and the dynamics of metals prices . The Journal of Business , 67 : 203 – 29 .
  • Poterba , JM and Summers , L . 1988 . Mean reversions in stock prices: evidence and implications . Journal of Financial Economics , 22 : 27 – 59 .
  • Robles , M . 2009 . Torero, M. and Braun, J. V. , When speculation matters, IFPRI Issue, Brief 57, February 2009
  • Rougier , J . 1996 . An optimal price index for stock index futures contracts . The Journal of Futures Markets , 16 : 189 – 99 .
  • Schwartz , ES . 1997 . The stochastic behavior of commodity prices: implications for valuation and hedging . The Journal of Finance , 52 : 923 – 74 .
  • Sequeira , JM and McAleer , M . 2000 . A market-augmented model for SIMEX Brent crude oil future contracts . Applied Financial Economics , 10 : 543 – 53 .
  • Simon , DP . 2002 . Implied volatility forecasts in the grains complex . The Journal of Futures Markets , 22 : 959 – 81 .
  • Stevans , LK and Sessions , DE . 2008 . Speculation futures prices, and the US real price of crude oil, Munich Personal RePEc Archive Paper No. 9456
  • Senate , US . 2007 . The role of market speculation in rising oil and gas prices The United States Senate Permanent Subcommittee on Investigations, Report dated 27 June 2006
  • Wahab , M . 1995 . Conditional dynamics and optimal spreading in the precious metals futures . The Journal of Futures Markets , 15 : 131 – 66 .
  • Wang, G. H. K. and Yau, J. (2000) Trading volume, bid-ask spread, and price volatility in futures markets, Journal of Futures Markets, 20, 943–70
  • Westerhoff , F . 2003 . Speculative markets and the effectiveness of price limits . Journal of Economic Dynamics and Control , 28 : 493 – 508 .
  • Wray , LR . 2008 . The commodities market bubble: money manager capitalism and the financialization of commodities Public Policy Brief 96, Levy Economics Institute

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.