Unit:
Deparment of EconomicsLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Foteina or Photina Evangelia
Dissertation committee:
Μυλωνάς Νικόλαος, Καθηγητής, Τμήματος Διοίκησης Επιχειρήσεων και Οργανισμών, Εθνικού και Καποδιστριακού Πανεπιστημίου Αθηνών
Δότσης Γεώργιος, Αναπληρωτής Καθηγητής, Τμήματος Οικονομικών Επιστημών, Εθνικού και Καποδιστριακού Πανεπιστημίου Αθηνών
Θωμάκος Δ. Δημήτριος, Καθηγητής, Τμήματος Διοίκησης Επιχειρήσεων και Οργανισμών, Εθνικού και Καποδιστριακού Πανεπιστημίου Αθηνών
Αλεξάκης Παναγιώτης, Καθηγητής, Τμήματος Διοίκησης Επιχειρήσεων και Οργανισμών, Εθνικού και Καποδιστριακού Πανεπιστημίου Αθηνών
Τριανταφύλλου Αθανάσιος, Λέκτορας, Essex Business School- Finance, University of Essex
Τσεκρέκος Ανδριανός, Αναπληρωτής Καθηγητής, Τμήματος Λογιστικής και Χρηματοοικονομικής, Οικονομικού Πανεπιστημίου Αθηνών
Ψυχογυιός Δημήτριος, Αναπληρωτής Καθηγητής, Τμήματος Βιομηχανικής Διοίκησης και Τεχνολογίας, Πανεπιστημίου Πειραιώς
Original Title:
Valuing convenience yield as a call option: a comparative analysis
Translated title:
Valuing convenience yield as a call option: a comparative analysis
Summary:
This thesis re-examines the inter-temporal behavior of net convenience yield (NCY) of storable commodities with a crop cycle, within the financialization of commodity markets context. It attempts to identify the macroeconomic and other variables that directly affect NCY, using US data for the time period from 1995 to 2020. Our empirical research is concentrated mainly on soybeans, due to its importance in the global market as the most traded agricultural commodity, as well as the recent employment of soybeans futures price as a signal of global economic fundamentals and a tool for decision making. We contribute to the existing literature the following.
We empirically prove that the direct impact of financial markets, determined by the VIX, on NCY is negative and statistically significant. We justify this finding arguing that commodity market forces activate insufficient commodity spot price increase, which is unable to offset commodity futures price increase. The latter increase is caused by investors who turn to commodity futures for diversification, due to the increasing volatility of the financial markets.
According to our empirical findings, both the macroeconomic environment expressed by the Real Gross Domestic Product Per Capita, and the Trade Weighted U.S. Dollar Index, as well as the global economic environment captured by Inflation (Consumer Prices for the World), and Crude Oil Prices: WTI, have no direct effect on NCY.
Finally, we empirically prove that increasing economic policy uncertainty, measured by the daily US Economic Policy Uncertainty Index, significantly decreases US soybeans NCY, even more during periods of higher than average economic policy uncertainty, such as the covid_19 pandemic. We justify our empirical finding arguing that the value of the option to liquidate the stocks held is decreasing, due to the convenience motive that prevails during periods of increasing uncertainty. Furthermore, we argue that the impact of high and increasing uncertainty on NCY is negligible, because factors such as near zero interest rates, soybeans US annual production, trade agreements, and global annual supply and disappearance, co-exist with covid_19 pandemic outbreak. It is beyond the objectives of this thesis to disaggregate and attribute to each and every one the effect it has on NCY.
Main subject category:
Social, Political and Economic sciences
Keywords:
commodity markets, agricultural economics, macro-finance, financial derivatives, economic uncertainty, actual volatility, pandemic covid_19, convenience yield, soybeans, call options
Number of references:
101
File:
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foteina_or_photina_thesis.pdf
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File access is restricted until 2024-10-18.
