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Futures markets and fundamentals of base metals

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  • Fernandez, Viviana

Abstract

According to the theory of storage, the interest-adjusted basis equals the warehousing cost minus the convenience yield (i.e., benefit of holding a physical commodity) per time unit. By assuming that warehousing costs relatively constant at alternative stock levels, the interest-adjusted basis will be inversely associated with the convenience yield.

Suggested Citation

  • Fernandez, Viviana, 2016. "Futures markets and fundamentals of base metals," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 215-229.
    • Handle: RePEc:eee:finana:v:45:y:2016:i:c:p:215-229
    DOI: 10.1016/j.irfa.2016.03.014
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    Cited by:

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    3. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
    4. Xiangyu Chen & Jittima Tongurai, 2021. "The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 527-561, December.
    5. Omura, Akihiro & Li, Bin & Chung, Richard & Todorova, Neda, 2018. "Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals," Economic Modelling, Elsevier, vol. 70(C), pages 496-510.
    6. Jia, Jian & Kang, Sang Baum, 2022. "Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME," Journal of Commodity Markets, Elsevier, vol. 25(C).
    7. Fernandez, Viviana & Pastén-Henríquez, Boris & Tapia-Griñen, Pablo & Wagner, Rodrigo, 2023. "Commodity prices under the threat of operational disruptions: Labor strikes at copper mines," Journal of Commodity Markets, Elsevier, vol. 32(C).
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    10. Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2020. "Spillovers, integration and causality in LME non-ferrous metal markets," Journal of Commodity Markets, Elsevier, vol. 17(C).

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    More about this item

    Keywords

    Theory of storage; Interest-adjusted basis;

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • L72 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Other Nonrenewable Resources
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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