The volatility of returns from commodity futures:evidence from India

Background:This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.Methods:One commodity future from each group of futures is chosen for the analysis.The select commodities are potato,gold,crude oil,and mentha oil.The data are collected from MCX India over the period 2004–2012.This study uses several econometric techniques for the analysis.The GARCH model is introduced for examining the volatility of commodity futures.One of the key contributions of the paper is the use of theβterm of the GARCH model to address the Samuelson hypothesis.Result:The Samuelson hypothesis,when tested by daily returns and using standard deviation as a crude measure of volatility,is supported for gold futures only,as per the value ofβ(the GARCH effect).The values of the rolling standard deviation,used as a measure of the trend in the volatility of daily returns,exhibits a decreasing volatility trend for potato futures and an increasing volatility trend for gold futures in all contract cycles.The result of the GARCH(1,1)model suggests the presence of persistent volatility and the prevalence of long memory for the select commodity futures,except potato futures.Conclusions:The study sheds light on significant characteristics of the daily return volatility of the commodity futures under analysis.The results suggest the existence of a developed market for the gold and crude oil futures(with volatility clustering)and show that the maturity effect is only valid for the gold futures.

Systemic Risk in Chinese Commodity Futures Markets: A Graph Theory Analysis

This paper sets out to explore the contagion of systemic risk in Chinese commodity futures market based on specific tools of the graph-theory.More precisely,we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks.In the sample of 30 kinds of Chinese commodity futures,we construct the MST and obtain the most probable and the shortest path for the transmission of a prices shock.We find that metal futures play an important role in commodity futures market and copper stands at the heart of the system(The core position of the system is very important for the transmission of system risk).And our results also reveal that when the risk occurs,the MST structure becomes smaller,leading to the most effective transmission path of risk becomes shorter.

The cross section of Chinese commodity futures return

This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors.We find that 6 out of 13 individual factors produce positive and significant returns.To aggregate the information among these factors,we apply not only the traditional Fama-Mac Beth regression(FM),but also a set of alternative methods,including the forecast combination method(FC),principal component analysis(PCA),principle component regression(PCR)and partial least squares(PLS).It turns out that PLS outperform other methods in forecasting the cross-section of Chinese expected futures returns.The equally weighted combination of 5 methods produces an even higher annualized return and lower standard deviation compared to each single method.The investigation of factor importance reveals that the skewness(SKEW)factor is more important than other factors in predicting expected futures returns in Chinese markets.

Analysis on the Problems and Countermeasures of Enterprise Relationship Marketing

Under the current economic situation,companies should fully realize the importance of relationship marketing,establish good and stable relationships with all related parties,strengthen exchanges and cooperation with each other,achieve win-win benefits,and promote corporate marketing activities.For the success of the company,we will conduct in-depth investigations in the economic market,improve the products in time,and make plans based on the current development situation.