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THE IMPACT OF REPORT ANNOUNCEMENT IN WHEAT AND COTTON FUTURES RETURN VOLATILITIES

Year 2019, Volume: 10 Issue: 1, 36 - 42, 30.12.2019

Abstract

Purpose- Futures markets have been the focus of attention due to the increasing technology and globalization in recent years, both in terms of meeting the needs of hedgers and the benefit of speculators from these markets. The reports issued by the US Department of Agriculture (USDA) and the US-based Commodity Futures Trade Commission (CFTC) are closely monitored by the participants in the futures markets. These reports affect the prices, returns and volatilities of commodities as mentioned in the previous literature. It has been investigated whether the reports published for wheat and cotton commodities which are agricultural commodities futures have an effect on return volatilities in NYSE and CBOT futures exchanges on the day of publication, before and after.
Methodology- Yield variance was examined by using dummy variables over conditional heteroscedasticity models.
Findings- The effects of the report announcements yielded different results for two different commodities, with different effects on the variance of the commodity.
Conclusion- The effects of both USDA WASDE and CFTC COT reports on the return volatility have been seen statistically but limited. It will be beneficial to include these reports in the analysis of the effects of the futures markets on returns and price discovery studies.

References

  • Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 98-110.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Jounal of Econometrics, 31, 307-327.
  • Bunek, G. D., & Janzen, J. P. (2015). Characterizing the Effect of USDA Report Announcements in the Winter Wheat Futures Market Using Realized Volatility. Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis.
  • Butler, C. (1999). Matering Value at Risk. GB: Financial Times Prentice Hall.
  • CFTC. (2018). Agency Financial Report.
  • CME. (2019, 10 12). Agricultural Products. www.cmegroup.com: https://www.cmegroup.com/trading/agricultural/ adresinden alınmıştır
  • CME Group. (2019, 10 11). Chicago SRW Wheat Futures Contract Specs. www.cmegroup.com: https://www.cmegroup.com/trading/agricultural/grain-and-oilseed/wheat_contract_specifications.html?optionProductId=&optionExpiration= adresinden alınmıştır
  • Gökbulut, R. İ., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance; Vol. 6, No. 4;.
  • Ho, S. W., & Lauwer, A. (2018). Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross-Section of Stock Returns with Delay. Paris December 2018 Finance Meeting EUROFIDAI - AFFI. Paris.
  • Hull, J. (2012). Options, Futures and Other Derivatives. Peardon.
  • ICE. (2019). Cotton No.2 Futures. Mart 5, 2019 tarihinde https://www.theice.com/products/254/Cotton-No-2-Futures adresinden alındı
  • Isengildina-Massa, O., Irwin, S. H., Good, D. L., & Gomez, J. K. (2008). The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports. Journal of Agricultural and Applied Economics, 89–103.
  • Karali, B. (2012). Do USDA Announcements Affect Comovements Across Commodity Futures Returns? Journal of Agricultural and Resource Economics, 37(1):77–97.
  • Kolodziej, M. K. (2013). Crude Oil Prices: Speculation Versus Fundementals.
  • NASS. (2019). Understanding USDA Crop Forecast. Washington, D.C.: USDA National Agricultural Statistics Service.
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 339-350.
  • Sevütekin, M., & Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi. Ankara: Nobel.
  • Sinclair, E. (2008). Volatility Trading. New Jersey: John Wiley & Sons Inc.
  • TMO. (2019). Hububat Sektör Raporu. Ankara: Toprak Mahsülleri Ofisi Genel Müdürlüğü.
  • Ying, J., Chen, Y., & Dorfmann, H. J. (2019). Flexible Tests For Usda Report Announcement Effects In Futures Markets. American Journal of Agricultural Economics.

TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA

Year 2019, Volume: 10 Issue: 1, 36 - 42, 30.12.2019

Abstract

Amaç- Vadeli piyasalar, hem fonksiyonel açıdan korumacıların ihtiyaçlarını karşılaması hem de spekülatörlerin bu piyasalardan fayda sağlaması sebebiyle son yıllarda artan teknoloji ve globalleşme sayesinde ilgi odağı olmuştur. Amerika Tarım Bakanlığı (USDA) ve ABD merkezli Emtia Vadeli İşlem Ticari Komisyonu (CFTC) yayınladıkları raporlar vadeli işlem piyasasındaki katılımcıların yakından takip ettiği raporlardır. Bu raporlar, literatürde bahsi geçtiği üzere emtia fiyatlarını, getirilerini ve oynaklıkları etkilemektedir. Vadeli tarım emtialarından –Türkiye’yi yakından ilgilendiren- buğday ve pamuk emtiaları için yayınlanan raporların NYSE ve CBOT vadeli işlem borsasındaki getiri oynaklıklarına rapor yayınlanma günü, önceki ve sonraki günlerde etkisinin olup olmadığı araştırılmıştır.
Yöntem- Koşullu değişen varyans modelleri üzerinden kukla değişkenler yardımıyla getiri varyansı incelenmiştir.
Bulgular- Rapor yayınlanma günü etkileri iki farklı emtia için farklı sonuçlar vermiş, emtia özelinde varyans üzerine farklı etkiler görülmüştür.
Sonuç- Yapılan araştırmalar sonucunda hem USDA WASDE raporu hem de CFTC COT raporunun yayınlandığı günlerin getiri oynaklığına etkileri sınırlı olsa da görülmüştür. Bu raporların vadeli işlem piyasalarında getiri üzerindeki etkileri ve fiyat keşfi çalışmalarında analizlere dahil edilmesi faydalı olacaktır.

References

  • Atakan, T. (2008). İstanbul Menkul Kıymetler Borsası’nda haftanın günü etkisi ve Ocak ayı anomalilerinin ARCH-GARCH modelleri ile test edilmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 98-110.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Jounal of Econometrics, 31, 307-327.
  • Bunek, G. D., & Janzen, J. P. (2015). Characterizing the Effect of USDA Report Announcements in the Winter Wheat Futures Market Using Realized Volatility. Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis.
  • Butler, C. (1999). Matering Value at Risk. GB: Financial Times Prentice Hall.
  • CFTC. (2018). Agency Financial Report.
  • CME. (2019, 10 12). Agricultural Products. www.cmegroup.com: https://www.cmegroup.com/trading/agricultural/ adresinden alınmıştır
  • CME Group. (2019, 10 11). Chicago SRW Wheat Futures Contract Specs. www.cmegroup.com: https://www.cmegroup.com/trading/agricultural/grain-and-oilseed/wheat_contract_specifications.html?optionProductId=&optionExpiration= adresinden alınmıştır
  • Gökbulut, R. İ., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance; Vol. 6, No. 4;.
  • Ho, S. W., & Lauwer, A. (2018). Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross-Section of Stock Returns with Delay. Paris December 2018 Finance Meeting EUROFIDAI - AFFI. Paris.
  • Hull, J. (2012). Options, Futures and Other Derivatives. Peardon.
  • ICE. (2019). Cotton No.2 Futures. Mart 5, 2019 tarihinde https://www.theice.com/products/254/Cotton-No-2-Futures adresinden alındı
  • Isengildina-Massa, O., Irwin, S. H., Good, D. L., & Gomez, J. K. (2008). The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports. Journal of Agricultural and Applied Economics, 89–103.
  • Karali, B. (2012). Do USDA Announcements Affect Comovements Across Commodity Futures Returns? Journal of Agricultural and Resource Economics, 37(1):77–97.
  • Kolodziej, M. K. (2013). Crude Oil Prices: Speculation Versus Fundementals.
  • NASS. (2019). Understanding USDA Crop Forecast. Washington, D.C.: USDA National Agricultural Statistics Service.
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 339-350.
  • Sevütekin, M., & Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi. Ankara: Nobel.
  • Sinclair, E. (2008). Volatility Trading. New Jersey: John Wiley & Sons Inc.
  • TMO. (2019). Hububat Sektör Raporu. Ankara: Toprak Mahsülleri Ofisi Genel Müdürlüğü.
  • Ying, J., Chen, Y., & Dorfmann, H. J. (2019). Flexible Tests For Usda Report Announcement Effects In Futures Markets. American Journal of Agricultural Economics.
There are 20 citations in total.

Details

Primary Language Turkish
Subjects Finance, Business Administration
Journal Section Articles
Authors

Orhan Ozaydin 0000-0003-2585-1437

Publication Date December 30, 2019
Published in Issue Year 2019 Volume: 10 Issue: 1

Cite

APA Ozaydin, O. (2019). TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA. PressAcademia Procedia, 10(1), 36-42.
AMA Ozaydin O. TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA. PAP. December 2019;10(1):36-42.
Chicago Ozaydin, Orhan. “TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA”. PressAcademia Procedia 10, no. 1 (December 2019): 36-42.
EndNote Ozaydin O (December 1, 2019) TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA. PressAcademia Procedia 10 1 36–42.
IEEE O. Ozaydin, “TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA”, PAP, vol. 10, no. 1, pp. 36–42, 2019.
ISNAD Ozaydin, Orhan. “TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA”. PressAcademia Procedia 10/1 (December 2019), 36-42.
JAMA Ozaydin O. TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA. PAP. 2019;10:36–42.
MLA Ozaydin, Orhan. “TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA”. PressAcademia Procedia, vol. 10, no. 1, 2019, pp. 36-42.
Vancouver Ozaydin O. TARIM VADELİ İŞLEM PİYASASINDA RAPOR GÜNÜNÜN GETİRİ OYNAKLIĞINA ETKİSİ: BUĞDAY VE PAMUK ÜZERİNE BİR UYGULAMA. PAP. 2019;10(1):36-42.

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