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Journals / İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi / 2020 / Cilt: 19 Sayı: 37

COTTON COMMODITY FUTURES RETURN AND REAL COTTON COMMODITY MARKET DYNAMICS INTERACTION

VADELİ PAMUK EMTİASI GETİRİSİ İLE PAMUK REEL PİYASA DİNAMİKLERİNİN ETKİLEŞİMİ

Orhan ÖZAYDIN
Serkan ÇANKAYA
Pages
733–767
Publication Date
2020-06-01
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

It is observed that yield and real market dynamic data are interacted and volatility is influenced in the equations of variance created using autoregressive conditional heteroskedasticity models due to the ARCH effect of return data.

📌 3 Key Takeaways

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Objective & Hypothesis:Commodity futures have been a major source of interest for market participants in our recent history as they provide both protection and portfolio diversification.
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Key Findings & Data:In this study, it is tried to understand how the yields of cotton commodities between 2009 and 2018 are affected by the quantity data such as cotton production, consumption and stock expected by WASDE which is published monthly by the US Department of Agriculture within the framework of basic supply and demand laws.
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Conclusion & Impact:It is observed that yield and real market dynamic data are interacted and volatility is influenced in the equations of variance created using autoregressive conditional heteroskedasticity models due to the ARCH effect of return data.
🔬Design:Modeling & Simulation
📍Scope:2009 Verileri
⚙️Variables:Vadeli İşlemler · Emtia Piyasaları · Arz ve Talep

Abstract

Commodity futures have been a major source of interest for market participants in our recent history as they provide both protection and portfolio diversification. In this process, many participants joined the futures markets and supply and demands led the prices in new balance. In this study, it is tried to understand how the yields of cotton commodities between 2009 and 2018 are affected by the quantity data such as cotton production, consumption and stock expected by WASDE which is published monthly by the US Department of Agriculture within the framework of basic supply and demand laws. It is observed that yield and real market dynamic data are interacted and volatility is influenced in the equations of variance created using autoregressive conditional heteroskedasticity models due to the ARCH effect of return data.

Özet

Emtia vadeli işlem piyasaları hem koruma hem de portföy çeşitlemesi sağladığı için yakın tarihimizde piyasa katılımcılarının ciddi ilgi kaynağı olmuştur. Bu süreçte vadeli işlem piyasalarına birçok katılımcı dahil olmuş ve onların arz talepleri fiyatları yönlendirmiştir. Bu çalışmada, 2009-2018 yılları arası vadeli pamuk emtiası getirilerinin, temel arz talep kanunları çerçevesinde Amerika Tarım Bakanlığının aylık yayınladığı WASDE beklenen pamuk üretim, tüketim, stok gibi miktar verileri ile nasıl etkilendiği anlaşılmaya çalışılmıştır. Bir zaman serisi olan getiri verisinin ARCH etkisi göstermesi sebebiyle koşullu değişen varyans modelleri kullanılarak oluşturulan ortalama ve varyans denklemlerinde getiri ile reel piyasa dinamik verilerinin etkileşimde olduğu, oynaklığın etkilendiği görülmüştür.

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Cite This Article

ÖZAYDIN, O., ÇANKAYA, S. (2020). COTTON COMMODITY FUTURES RETURN AND REAL COTTON COMMODITY MARKET DYNAMICS INTERACTION. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, Cilt: 19 Sayı: 37, 733–767. https://ajindex.com/articles/907233

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