On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures
AbstractThe objective of operations on futures markets may be either hedging or speculation. In this paper, we wish to give a desciption of futures markets with two groups of operators with heterogeneous expectations: hedgers-speculators, and pure speculators. The existence of carry-over costs is taken into account in the case of commodity trading, as well as in the case of financial futures. An equation, giving a simplified expression of the futures price, is derived. Applications to nonferrous metal futures (aluminium, copper and nickel) commodity markets are proposed.
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Bibliographic InfoPaper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number 2000.12.
Length: 18 pages
Date of creation: 2000
Date of revision:
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MARKET ; SPECULATION ; MANAGEMENT ; EXPECTATIONS;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- Lien, Donald & Yang, Li, 2008. "Hedging with Chinese metal futures," Global Finance Journal, Elsevier, vol. 19(2), pages 123-138.
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