Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/93096
Type of publication: research article
Type of publication (PDB): Straipsnis kitose duomenų bazėse / Article in other databases (S4)
Field of Science: Ekonomika / Economics (S004)
Author(s): Staugaitis, Algirdas Justinas
Title: The effect of diary futures trading activity on their price volatility: literature review
Is part of: Apskaitos ir finansų mokslas ir studijos: problemos ir perspektyvos = Science and studies of accounting and finances: problems and perspectives Akademija (Kauno r.): Vytauto Didžiojo universitetas, 2019, vol. 13, n. 1
Extent: p. 47-53
Date: 2019
Keywords: Dairy futures;Commodity futures market;Price volatility
Abstract: Dairy futures price volatility plays an important role in dairy farmers’ risk management as well as dairy commodities price discovery. Trading activity as a factor for agricultural futures price volatility has been studied extensively since the emerge of commodity index traders followed by commodity markets becoming more volatile in the last decade. However, the majority of research papers investigate major cereal future contracts whereas the research on dairy futures is not yet analyzed. The aim of this review is to present the current situation in the research of dairy futures trading activity effect on their price volatility, focusing on methodological progress and related issues. This review provides a comparative analysis of empirical research articles on dairy futures price volatility and its determinants published in 2005 and later. Dairy futures markets compared to other agricultural commodity markets were less liquid and more fragmented, however, they likewise experienced a significant price volatility and seasonality during observed time periods. High price volatility was especially present in cash settled butter futures. Even though there is an indication among selected studies that trading activity correlate with price volatility, this should be supplemented by an analysis of causal relationships. Therefore, a further research on dairy futures should provide necessary tools to measure the exact effect of trading activity on price volatility in order to provide better insights on using dairy futures as an effective means for managing price risk in dairy sector
Internet: https://www.vdu.lt/cris/bitstream/20.500.12259/93096/1/ISSN2351-5597_2019_V_13_N_1.PG_47-53.pdf
https://hdl.handle.net/20.500.12259/93096
https://doi.org/10.15544/ssaf.2019.06
Affiliation(s): Vytauto Didžiojo universitetas
Appears in Collections:Apskaitos ir finansų mokslas ir studijos: problemos ir perspektyvos / Science and Studies of Accounting and Finance: Problems and Perspectives 2019, vol. 13, no. 1
Universiteto mokslo publikacijos / University Research Publications

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