Risk prevention of Shanghai gold futures based on VaR model

1 online resource (56 p.)Includes abstract.Includes bibliographical references (p. 54-55).This article introduces Shanghai gold futures and describes an in-depth analysis of the risk characteristics of the Shanghai gold futures market. By investigating the Shanghai gold futures price risk, this paper introduces the value at risk (VaR) theory model and uses related theories to conduct an empirical study on gold futures trading data of the Shanghai futures market. The study also works out the relative value of the VaR and then conducts a posterior test, which proved that the VaR results were basically consistent with the actual transaction data, indicating the approach of the model is effective and can be used as the basis for operational risk prevention. Finally, based on the actual situation of the Shanghai gold futures market, this paper puts forward some related measures to prevent risks and to help investors avoid these associated risks

Srovnání čínského akciového trhu a amerického akciového trhu

Since the establishment of the Shanghai Stock Exchange in 1990 and the Shenzhen Stock Exchange in 1991, China's securities market has played an active role in raising funds, adjusting economic structure, optimizing resource allocation, and promoting the country's economic development, and has become an indispensable part of China's economic activities. a part of. After China's share-trading reform, China's securities market has entered a new historical stage. At this time, it is of great practical significance to re-examine the history of China's securities market over the past decade and correctly evaluate its development. Based on the comparison of the Sino-US securities market, this paper finds the gap between the two. Based on the experience of the development of the US securities market, combined with China's national conditions, it puts forward some suggestions for the development of China's securities market.Since the establishment of the Shanghai Stock Exchange in 1990 and the Shenzhen Stock Exchange in 1991, China's securities market has played an active role in raising funds, adjusting economic structure, optimizing resource allocation, and promoting the country's economic development, and has become an indispensable part of China's economic activities. a part of. After China's share-trading reform, China's securities market has entered a new historical stage. At this time, it is of great practical significance to re-examine the history of China's securities market over the past decade and correctly evaluate its development. Based on the comparison of the Sino-US securities market, this paper finds the gap between the two. Based on the experience of the development of the US securities market, combined with China's national conditions, it puts forward some suggestions for the development of China's securities market.154 - Katedra financídobř

GREEN BOND VOLATILITY AND SPILLOVER TO THE EQUITY MARKET OF SOUTH ASIA

This study aims at finding out the volatility and spillover of green bonds over equity markets of South Asia including three counties; China, India and Pakistan. For this purpose, sample dataset of daily closing price of stock returns of equity markets was collected from the stock exchange institutes of these three countries from time period of 2011 to 2019. Dataset of green bond market was obtained from official site of S&P global green bond index. Unit root test, LM test, Durbin Watson test, ARCH test and GJR-GARCH test was used as techniques for proving the hypothesis of this study. Findings show that green bond market is positively linked with the equity markets of these three countries. Moreover, no volatility exists in the green bond returns but there is an existence of volatility in green bond markets. ARCH effect exists in green bond market return series so spillover does not exist. As conclusion, both green bond market and equity market are not completely independent and there is an existence of informational spillover between these markets which can be helpful for investors against risk diversification. This study is also fruitful for policy makers, researchers and portfolio managers

Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets

This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets. This paper observes weak return spillover effects from the oil market to 6 European stock markets (Netherlands, Lithuania, Portugal, Czech Republic, Romania, and Slovenia) and from gold to Iceland, while there is no evidence of return spillovers from stock markets to oil and gold. The non-existence of return linkages between gold and stock (oil) suggests that the gold market plays a haven role. With reference to volatility spillovers, the results show obvious asymmetric bidirectional volatility interaction between the European stock markets and the global oil/gold markets. Stronger shock and volatility contagions from the European stock market to both oil and gold markets are observed compared with the opposite direction. For the volatility nexus between oil and gold, weak and moderate evidence of shock and volatility transmission from gold to oil markets is reported. Additionally, the study documents important and effective empirical implications for portfolio management and investment hedge strategies: firstly, adding European stock markets to a diversified oil/gold portfolio can achieve the expected returns while reducing risk; and secondly, the European investors can use the gold and oil markets to hedge against their stock market portfolio

Hedging t h e Oil Price Risk Factor on Airline Stock Returns in t h e Asia-Pacific: A Test of Effective Hedging Instruments

Focusing on the hedging-stock pricing research landscape, this research investigates the role of different futures hedging instruments, namely oil futures, gold futures, and VIX futures and the effect of net hedging benefits by employing them on oil price risk exposure to Asia- Pacific airline firms’ stock returns using the hedging-stock pricing model. This research examines 22 Asia-Pacific airline firms’ stock returns behaviour with monthly frequency data from 2010 to 2019. A complementary analysis approach using the fixed effect panel and quantile regressions are used to analyse the research model. The findings confirm the negative effects of oil price risk and the benefits of hedging oil price risk on airline stock returns, and the superiority of gold futures over oil futures and VIX futures as effective hedging instruments. The findings provide hedging insights to investors to manage equity investment against oil price risk. In the academic context, little is known about the benefits of cross-commodity hedging to reduce risk in equity investment and this work advances the hedging- stock pricing research. This research confirmed pairing of gold futures-airline stock produces an effective hedge. The equity investors could use cross-hedging strategy to enhance airline stock investment portfolio returns

Using financial futures in trading and risk management

The authors explain the features of an array of futures contracts and their basic pricing relationships and describe a few applications to show how investors and risk managers can use these contracts. Futures - and derivatives generally - allow economic agents to fine-tune the structure of their assets and liabilities to suit their risk preferences and market expectations. Futures are not a financing or investment vehicle per se, but a tool for transferring price risks associated with fluctuations in asset values. Some may use them to spread risk, others to take on risk. Financial futures (along with options) are best viewed as building blocks. Futures have facilitated the modern trend of separating conventional financial products into their basic components. They allow not only the reduction of transformation of investment risk but also the understanding and measurement of risk. The market for derivatives has grown enormously over the past decade. The value of exchange-traded eurodollar derivatives (futures and options) is equal to roughly 13 times the value of the underlying market. The volume of trading in financial futures now dwarfs the volume in traditional agricultural contracts. As emerging markets develop, given their inherently risky nature, expect financial futures to play a prominent role in risk management.Payment Systems&Infrastructure,Economic Theory&Research,International Terrorism&Counterterrorism,Banks&Banking Reform,Securities Markets Policy&Regulation,Commodities,Banks&Banking Reform,International Terrorism&Counterterrorism,Non Bank Financial Institutions,Economic Theory&Research

Three Essays on the Dynamics of Commodity Markets

This thesis examines the effect of weather events, monetary policy, and financialization on changes in global inventory, futures prices, spot prices, futures returns, and producers’ equity returns of exchange-traded commodities. First, I investigate the relationship between temperature and precipitation anomalies on aluminium futures returns. Prior research only examines the effects of weather anomalies on soft commodities, although flooding, drought and temperature are also identified as disrupters to mining operations in both regulatory filings and media reports. However, I find no evidence of weather effects on aluminium futures returns. Instead, the evidence suggests that inventories provide enough buffer for weather events and that trading around such events is unlikely to yield abnormal returns. Second, I investigate the relationships between metal futures returns and global monetary policy and demonstrate that a multiplier ratio created to proxy for market liquidity and the effectiveness of unconventional monetary policy is positively related to the price of industrial metals. Contrary to prior research, there is little evidence of a relationship between real interest rates and industrial metals futures returns. These findings will enhance the ability of policymakers and other agents to determine whether the intended effects of quantitative easing are being transmitted to the markets. Third, I investigate the role of financialization in shaping the relationship between non-commercial speculation (hereinafter, speculation), trader concentration, and commodity futures returns. While prior studies variously find evidence of stabilising, reinforcing and destabilising effects of speculation upon returns, I show that speculation does not Granger-cause futures returns but that there is evidence of reverse causality from futures returns to speculation. Additionally, commodity futures returns respond to the publication of open interest information. Overall, financialization reduces the power of individual traders to set futures prices in a concentrated commodity market. These findings support a policy approach aimed at enhancing transparency rather than adding regulatory controls