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On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures

Author

Listed:
  • MARTINOT, N.
  • Lesourd, J.-B.
  • Morard, B.

Abstract

The 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.

Suggested Citation

  • MARTINOT, N. & Lesourd, J.-B. & Morard, B., 2000. "On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures," Papers 2000.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
    • Handle: RePEc:fth:ehecge:2000.12
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    Citations

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    Cited by:

    1. Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
    2. Lien, Donald & Yang, Li, 2008. "Hedging with Chinese metal futures," Global Finance Journal, Elsevier, vol. 19(2), pages 123-138.

    More about this item

    Keywords

    MARKET ; SPECULATION ; MANAGEMENT ; EXPECTATIONS;
    All these keywords.

    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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