 Futures contract implementation and the impact on commodity spot price volatility: evidence from Latin AmericaOsmar H. Zavaleta-Vázquez and Laura Arenas International Journal of Bonds and Derivatives, 2016, vol. 2, issue 3, 249-266 Abstract: In this paper, we study the impact of futures contract implementation on underlying commodity price return volatility, focused on some Latin American economies. The purpose is to evaluate the potential reduction in the volatility of different commodities prices and its possible economic implications for public policy, as well as to have a better understanding of the financial markets of emerging countries. GARCH processes were modelled to measure the impact on underlying commodity price return volatility, due to the implementation of the futures contracts. Our findings show that three out of six commodities exhibit a statistically significant decrease in spot price return volatility once the corresponding futures contracts were launched. These findings could be relevant to explore the convenience of implementing futures markets for agricultural products, given the importance of these assets for the economic well-being of the population. Keywords: commodity prices; commodity futures contracts; emerging economies; volatility clustering; ARMA models; GARCH models; spot price volatility; Latin America; public policy; financial markets; modelling; futures markets; agricultural products; agriculture. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbder:v:2:y:2016:i:3:p:249-266 Access Statistics for this article More articles in International Journal of Bonds and Derivatives from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.