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Optionshandel Und Maispreisvolatilitat: Does the Tail Wag the Dog?

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  • Dannemann, Tebbe
  • Prehn, Soren
  • Brümmer, Bernhard

Abstract

In dieser Arbeit werden Auswirkungen von Agar-Optionen auf die Volatilität des den Optionen zugrundeliegenden Futuresmarktes analysiert. Bisherige Analysen bezogen sich nahezu ausschließlich auf den Finanzmarkt. Für den Agrarmarkt scheinen noch keine empirischen Erkenntnisse zu existieren. Es besteht die Sichtweise, dass Optionen exzessive Volatilität im zugrundeliegenden Basismarkt hervorrufen könnten. Die vorliegende Arbeit soll einen Teil zur Diskussion um die Agrarpreisspekulation und den damit verbundenen Auswirkungen auf die Preisentwicklung beitragen. Gegenstand ist der Mais-Derivatemarkt der französischen Terminbörse MATIF. Zur Analyse wird auf ein EGARCH-Modell zurückgegriffen. Die auf zwei Untersuchungszeiträume von Dezember 2000 bis Dezember 2007 und Dezember 2007 bis Dezember 2013 geschätzten Ergebnisse lassen keine signifikanten Zusammenhänge der Volatilität des Futuresmarktes und dem Optionshandel erkennen.

Suggested Citation

  • Dannemann, Tebbe & Prehn, Soren & Brümmer, Bernhard, 2014. "Optionshandel Und Maispreisvolatilitat: Does the Tail Wag the Dog?," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187371, German Association of Agricultural Economists (GEWISOLA).
    • Handle: RePEc:ags:gewi14:187371
    DOI: 10.22004/ag.econ.187371
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    References listed on IDEAS

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