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Article
Publication date: 9 November 2012

Erik L. Olson and Hans Mathias Thjømøe

The purpose of this paper is to compare the relative performance of TV sponsorships with the industry standard 30‐second TV spot advertising on achieving common…

Abstract

Purpose

The purpose of this paper is to compare the relative performance of TV sponsorships with the industry standard 30‐second TV spot advertising on achieving common communication goals.

Design/methodology/approach

The two media are tested with an experiment using realistic stimuli and target market representative samples and employing six brands as both TV sponsors and TV advertisers.

Findings

Ten seconds of TV sponsoring works almost equally as well as 30‐second spots across all measures and brands. While the outright performance differs by type of brand (i.e. high fit versus lower fit, known versus unknown), the relative performance between media does not vary.

Research limitations/implications

The stimuli only gave subjects a brief exposure to each medium. The six stimuli brands, four effect measures, and the Norwegian sample may also not be representative for all types of TV sponsoring/advertising contexts.

Practical implications

Marketing managers can use the results to better allocate their communication spending between TV spot advertising and TV sponsorships, by determining which medium offers better value in achieving communication goals.

Originality/value

To the authors' knowledge, the comparison is the most realistic and controlled experiment in this area, with high levels of internal and external validity.

Details

European Journal of Marketing, vol. 46 no. 11/12
Type: Research Article
ISSN: 0309-0566

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Article
Publication date: 14 August 2009

Alper Ozun and Erman Erbaykal

The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign‐exchange markets.

Abstract

Purpose

The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign‐exchange markets.

Design/methodology/approach

The research employs Bounds cointegration test and Toda‐Yamamoto causality test to detect a possible risk transmission between spot and futures markets. Time series of Turkish spot and futures foreign‐exchange markets from January 2, 2006 to March 25, 2008 on a daily basis are used for empirical analysis.

Findings

The empirical tests suggest that there is unidirectional causality running from future exchange‐rate market to spot market implying that foreign‐exchange markets have informational efficiency in Turkey.

Originality/value

The paper has originality in both employing Bounds test and Toda‐Yamamoto test to examine the relationship between spots and derivative markets, and in being one of the first empirical papers examining Turkish futures markets. In addition, the paper presents a guide on how Bounds and Toda‐Yamamoto tests can be applied to detect interactions among markets without data stationarity.

Details

The Journal of Risk Finance, vol. 10 no. 4
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 8 July 2014

Andros Gregoriou, Jerome Healy and Nicola Savvides

The purpose of this paper is to investigate the validity of the cost of carry model by examining the time series properties of the deviation between future and spot prices…

Abstract

Purpose

The purpose of this paper is to investigate the validity of the cost of carry model by examining the time series properties of the deviation between future and spot prices in the European Union Emissions Trading Scheme (EU-ETS) over the time period 2005-2012. The paper utilizes a non-linear mean reverting adjustment mechanism, and discovers that although deviations of future from spot prices can exhibit a region of non-stationary behaviour, overall they are stationary indicating market efficiency in the trading of carbon permits.

Design/methodology/approach

The methodology involves non-linear mean reverting unit root tests.

Findings

The findings provide insights into the functioning of the EU-ETS market. They suggest that it is informationally efficient and does not permit arbitrage between spots and futures.

Originality/value

The authors are the first study to examine efficiency in the EU-ETS by investigating the validity of the cost of carry model. The authors are also the only study to look at efficiency in both Phase I and Phase II of the scheme.

Details

Journal of Economic Studies, vol. 41 no. 4
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 19 June 2019

Yihao Lai, Wei-Shih Chung and Jiaming Chen

This paper aims to apply the heterogeneous autoregressive model of realized volatility (HAR-RV) model to minimum-variance hedge ratio estimation and compares the hedging…

Abstract

Purpose

This paper aims to apply the heterogeneous autoregressive model of realized volatility (HAR-RV) model to minimum-variance hedge ratio estimation and compares the hedging performance of presenting a model with that of a conventional rolling ordinary-least-square (OLS) hedging model. Moreover, this paper empirically analyzes the relationship between hedging performance and the heterogeneity of investors with different trading frequency in forming the expectation for the spot volatility, futures volatility and the covariance in the market.

Design/methodology/approach

Use HAR-RV to form expectations of participants of spots and futures market for the next period volatility based on two parts. One is the current observable realized volatility at the same time scale. The other is the expectation for the next longer time scale horizon volatility. Compare hedging performance with rolling OLS model and HAR-RV model. Present a three-times-scale-length (daily, weekly and monthly) HAR-RV model for the spot and futures returns and volatility to analyze the relationship between the hedging performance and the heterogeneity among participants in each market.

Findings

The empirical results show that HAR-RV model outperforms the rolling OLS in terms of variance reduction and expected utility in the out-of-sample period. The results also indicate that the greater variance reduction occurs when investors with different trading frequency have a less heterogeneous expectation for spot volatility and more heterogeneous expectation for futures volatility and the covariance. In addition, the expected utility increases along with lower heterogeneity in spot volatility and higher in futures volatility and the covariance. Hedging performance improves along with decreasing heterogeneity of investors in spot volatility and increasing heterogeneity in futures volatility and the covariance.

Originality/value

This paper considers the heterogeneity of participants in spot and futures market, the authors apply HAR-RV model to MVHR estimation and compare the hedging performance of presenting a model with that of conventional rolling OLS hedging model, providing more evidence in hedging literature. This paper analyzes in depth the relationship between hedging performance and the heterogeneity in the market.

Details

Studies in Economics and Finance, vol. 36 no. 3
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 14 November 2016

Kushankur Dey and Debasish Maitra

It has become an ongoing debate whether Indian commodity futures markets can accommodate farmers. The purpose of this paper is to examine whether Indian commodity futures

Abstract

Purpose

It has become an ongoing debate whether Indian commodity futures markets can accommodate farmers. The purpose of this paper is to examine whether Indian commodity futures markets help rationalize farmers’ price expectation. The study starts with questions on the efficiency and other roles of commodity futures markets.

Design/methodology/approach

From a sectoral standpoint and economic importance, the study considers pepper, coffee, and natural rubber (NR) futures and spot markets. The efficiency of futures markets, divergence/convergence and causality between futures and spot markets have been studied by employing co-integrations, error correction and causality models. The sample period of the data are taken from the inception of futures trading. These three commodities are also compared on the basis of trading at the futures markets vs spot markets.

Findings

Analysis shows that though pepper futures market is informationally efficient in price discovery, while coffee and NR spot markets do the process faster. Pepper and coffee futures and spot prices exhibit the convergence; NR shows a sign of divergence. Unidirectional causality from pepper futures to spot market is observed wherein the former was weakly exogenous to the latter and while, bidirectional causality is observed in coffee and rubber. Coffee spot appears weakly exogenous while this remains inconclusive in the case of NR.

Research limitations/implications

The authors analyzed the futures markets in rationalizing the spot market price in three plantation crops in India. In order to make the study more generalizable, further research is warranted in other commodities including those prices of which are government regulated.

Originality/value

The paper is unique in terms of understanding the interaction or interrelationship between futures markets and spot markets and drawing inferences about the role of futures markets in price formation in plantation commodities like pepper, coffee and NR.

Details

Journal of Agribusiness in Developing and Emerging Economies, vol. 6 no. 2
Type: Research Article
ISSN: 2044-0839

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Article
Publication date: 6 September 2011

Yu‐Shan Wang, Chung‐Gee Lin and Shih‐Chieh Shih

The purpose of this paper is to investigate the long‐term and short‐term asymmetric effects of the price transmission relationships between agricultural futures and the…

Abstract

Purpose

The purpose of this paper is to investigate the long‐term and short‐term asymmetric effects of the price transmission relationships between agricultural futures and the agriculture index in China.

Design/methodology/approach

The paper adopts a threshold autoregressive (TAR) model and momentum‐TAR (M‐TAR) model that test the prices of futures and spots in the special trading system.

Findings

The paper indicates that during different stages of the economic cycle, agricultural futures and the agriculture index exhibit different correlations. During the initial stages of economic upturns and downturns, the addition of futures of agricultural products helps to diversify risk. In contrast, during the late stages of economic upturns and downturns, such additions do not really help to diversify risk. Soybean meal futures and the agriculture index are more strongly correlated with each other. If investors use soybean meal futures to predict the trends in the agriculture index, they will obtain more accurate conclusions.

Practical implications

The soybean futures have leading effects in a single range and a lower correlation with the agriculture index. This paper provides a point of reference for investors devising investment strategies and for the Chinese Government in its execution of macro‐control policies. It provides a clear review about the estimation methods. It also provides information about China's soybean, soy meal industry.

Originality/value

The paper contains updated information about China's soybean and soybean meal trading. It uses new estimation methods (TAR, M‐TAR) to examine the co‐integration between soybean, soybean meal and the agricultural index.

Details

China Agricultural Economic Review, vol. 3 no. 3
Type: Research Article
ISSN: 1756-137X

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Article
Publication date: 31 August 2012

Ling‐Yun He and Wen‐Si Xie

There is a distinct separation of price discovery from pricing power in China's sugar spot and futures markets. The purpose of this paper is to identify the reasons and

Abstract

Purpose

There is a distinct separation of price discovery from pricing power in China's sugar spot and futures markets. The purpose of this paper is to identify the reasons and provide plausible explanations for this stylized phenomenon. Therefore, the research may deepen the understandings of the operational mechanisms and internal efficiency of China's sugar spot and futures markets.

Design/methodology/approach

The authors analyze the historical spot and futures price time series from China's sugar spot market and China's Zhengzhou Commodity Exchange (CZCE) within a co‐integration framework.

Findings

It is found that China's sugar spot market has the pricing power, even though the futures market leads the spot market in price discovery. The phenomenon of observed separation of price discovery in spot market from pricing power in futures market may be caused by: irrational speculation in CZCE sugar futures market; oligopoly and local government politics; or the operational efficiency of the wholesale spot market, especially for its comparative advantages of information accessibility in the sugar producing areas. The results are compared with other empirical findings in many other commodities markets to obtain deeper understandings.

Originality/value

The paper uncovers and provides the earliest econometric evidence of the observed stylized phenomenon and also provides plausible explanations for this phenomenon.

Details

China Agricultural Economic Review, vol. 4 no. 3
Type: Research Article
ISSN: 1756-137X

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Article
Publication date: 2 January 2009

Sathya Swaroop Debasish

The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models.

Abstract

Purpose

The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models.

Design/methodology/approach

The study considered six measures of volatility, the dynamic linear regression model, and the GARCH models to investigate volatility in National Stock Exchange (NSE) Nifty prices both before and after the onset of futures trading.

Findings

The GARCH analysis confirmed no structural change after the introduction of futures trading on Nifty, and found that whilst the pre‐futures sample was integrated, the post‐futures sample was stationary. Spot returns volatility is found to be less important in explaining spot returns after the advent of futures trading in NSE Nifty.

Practical implications

The results imply that futures markets serve their prescribed role of improving pricing efficiency and improve the quality of information flowing to spot markets. This will enable investors to prudently structure their strategies investing in both spot and futures markets.

Originality/value

This study is an original piece of work towards exploring the impact of the introduction of futures trading on cash market volatility in an emerging economy like India.

Details

The Journal of Risk Finance, vol. 10 no. 1
Type: Research Article
ISSN: 1526-5943

Keywords

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Article
Publication date: 1 March 1992

I.R. Davidson

Whereas the last decade has seen remarkable growth in United States (US) futures business, in the United Kingdom (UK) the volume in some sectors has been disappointing…

Abstract

Whereas the last decade has seen remarkable growth in United States (US) futures business, in the United Kingdom (UK) the volume in some sectors has been disappointing. Although new markets are continuing to appear (such as the Baltic International Freight Futures Exchange, BIFFEX, which opened for business in May 1985), on 31 January 1985 the London Gold Futures Market (LGFM) announced its intention to close and from time to time there has been speculation that LIFFE, the London International Financial Futures Exchange, may not be able to continue in its present form because of lack of business (although the range of traded instruments continues to expand). Some factors that would tend to discourage business are:

Details

Managerial Finance, vol. 18 no. 3
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 18 May 2015

Fawzan Abdul Aziz Al Fawzan

– The purpose of this paper is to examine volatility and the weak-form efficient market hypothesis (random walk) of world spot crude oil market.

Abstract

Purpose

The purpose of this paper is to examine volatility and the weak-form efficient market hypothesis (random walk) of world spot crude oil market.

Design/methodology/approach

The study uses the generalized autoregressive conditional heteroskedasticity (GARCH-M), exponential generalized autoregressive conditional heteroskedasticity (EGARCH), and threshold GARCH (TGARCH) models. The data are selected from three markets: Dubai Vetch (DV), West Texas Intermediate, and Europe Brent Spot Price.

Findings

The weak-form efficient market (random walk) hypothesis was rejected for all estimated GARCH-M, EGARCH, and TGARCH models, indicating that these markets are inefficient and predictable. For daily data, the empirical results showed the presence of asymmetric effects, and the conditional variance process was found to be highly persistent.

Originality/value

This study is unique in its nature as it examines three markets on three continents. In addition, one of these markets (DV) was not carried out by the previous study. This work takes into account the market location.

Details

Journal of Economic and Administrative Sciences, vol. 31 no. 1
Type: Research Article
ISSN: 1026-4116

Keywords

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