AFFI - Association Francaise de Finance (French Finance Association)

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Conférence Décembre 2008

SESSION VI-2 : COMMODITIES MARKETS (19/12/2008 à 10h30)

Common industry exposure in seemingly unrelated commodities

Auteurs : CHNG Michael (University of Melbourne)

Intervenants : CHNG Michael (University of Melbourne) mchng@unimelb.edu.au

We investigate cross-market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), palladium (PA) and gasoline (GA) futures markets. The automobile industry is responsible for more than 50% of global demand for each of these commodities. VAR estimation shows that in shorter dynamics, cross-market interaction occurs between NR and GA, and from NR to PA. PA itself does not influence either NR or GA. Instead, cross-market influence exerted by PA is felt in longer dynamics, with PA volatility (volume) affecting NR (GA) volume (volatility). Our main findings are robust to lag-specifications, volatility measures, other proxies for trading activity and an alternative multivariate estimation in full BEKK-GARCH. Further analysis, which benchmarks against the silver futures market, TOCOM index and TOPIX transportation equipment index, confirms that our main results are driven by a common industry exposure, and not a commodity market factor. Our study offers new insights into how commodity and equity markets relate at an industry level, and provide multi-commodity hedging implications.

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Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysis

Auteurs : BENZ Eva; HENGELBROCK Jördis (University of Bonn)

Intervenants : HENGELBROCK Jördis (University of Bonn) joerdis.hengelbrock@uni-bonn.de

European Union CO2 allowances (EUAs) are traded on several markets with increasing intensity. We provide an intraday data analysis of the EUA futures market for the complete first trading period 2005-2007 (Phase 1). To investigate the trading process in this young market, we compare the two main trading platforms, ECX and Nord Pool, with respect to price discovery and liquidity. Both are of high relevance to traders. We analyze liquidity by estimating traded bid-ask spreads following the approach of Madhavan, Richardson, and Roomans (1997) and study price discovery using the VECM framework of Engle and Granger (1987). We find that while estimated transaction costs are always lower on the larger exchange ECX, the less liquid platform Nord Pool also contributes to price discovery, especially during the first months of trading. Overall, results indicate that from 2005 to 2007 liquidity in the European CO2 futures market has markedly increased and according to microstructural criteria the trading process has developed smoothly.

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Modeling Scarcity in Convenience Yield: Inventory v. Price

Auteurs : Katelijne CARBONEZ & Thi Tuong Van NGUYEN & Piet SERCU (Leuven School of Business and Economics)

Intervenants : Thi Tuong Van NGUYEN (Leuven School of Business and Economics) thituongvan.nguyen@econ.kuleuven.be

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