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Organized industrial metal markets in the financialized commodity markets
Smolík, Kamil ; Kulhánek, Lumír (referee) ; Myšková, Renáta (referee) ; Rozmahel, Petr (referee) ; Rejnuš, Oldřich (advisor)
In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. The aim of the dissertation is to determine and quantify the factors affecting the prices of industrial metals during the period of financialization of commodity markets and derive the pricing model of industrial metals, which would be able to generate signals of a possible overvaluation or undervaluation. The paper examined non-ferrous industrial metals traded on the Commodity Exchange LME (London Metal Exchange), namely aluminum, copper, lead, nickel, tin and zinc. These metals are also included in the most of the world's composite commodity indices. The dissertation analyzes the contemporary developments in commodity markets; relationship between the price volatility and fundamental factors (including production, consumption and stocks of chosen metals and a wide range of macroeconomic determinants) or the relationship between risk and return of industrial metals. The closing part of the dissertation focuses on the creating of composite pricing indicator for copper and tin by using the Boosted Trees method. The results obtained in the research show that created indicator is able to explain the volatility of the 3m copper futures contracts by 94.25% and 3m futures contracts of tin by 96, 79% in the period from 1/2000 to 3/2015.
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Use of Automated Trading Systems on Commodity Markets
Herich, Martin ; Ondo, Ondrej (referee) ; Budík, Jan (advisor)
Focus of master's thesis is usability of automated trading of commodities with automated trading systems – expert advisors. Thesis describe theoretical background of commodity markets, trading principles, technical analysis of market, design and implementation of strategy as expert advisor. In conclusion, results are analyzed.
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Commodity markets in times of global crises
MULICA, Filip Sebastian
The work explores the world of commodity markets and commodity trading in a manner that is mainly focused on the fluctuation of prices and traded volumes of selected, globally most significant commodities in times before, during and in the aftermaths of global economic, political or social crises. The theoretical part of the work introduces the basic information and principles of commodity markets, such as the institutions, commodities and global crises, which is the basis for the practical part. The practical part consists of data collection, analysis and data processing to find connections between the crises and the fluctuation of values related to mentioned commodity markets trade interpreted verbally with graphical support. The reasons for why the commodity markets are of bearish or bullish character in the particular examples are explained. The impact of the commodity market fluctuation on selected global economies and their main macroeconomical indices is also interpreted.
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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
Malířová, Tereza ; Baruník, Jozef (advisor) ; Komárek, Luboš (referee)
Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets Tereza Malířová Master's Thesis, IES FSV UK, July 2017 We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to positive and negative shocks. We exploit high-frequency data on the prices of Crude oil, Corn, Cotton and Gold futures, and the S&P 500 Index and use a sample which spans from January 2002 to December 2015 to cover the entire period around the global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other markets account for around one fifth of the volatility forecast error variance. We find that shocks to the stock markets play the most important role as the S&P 500 Index dominates all commodities in terms of general volatility spillover transmission. Our results further suggest that volatility spillovers across the analyzed assets were rather limited before the global financial crisis, which then boosted the connectedness between commodity and stock...
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The Importance of Non-Price Competitiveness: Oil Downstream Sector in Europe
Sláma, Ondřej ; Baxa, Jaromír (advisor) ; Paulus, Michal (referee)
This thesis investigates the role of price and non-price competitiveness factors using a relative export price index, introduced by Benkovskis and Wörz (2016), that is adjusted for changes in quality and taste. First, we replicate their model employing an updated dataset, confirming previous results. Then, the framework is used to study the recent developments in the Europe's oil product market. Given the saturation of the market, decreasing demand, and converging prices, importance of non-price competitiveness factors, such as quality, increases. The results suggest that the problems of the underinvested oil downstream industry in Northwestern European producers are caused not only by decreasing aggregate demand, high costs, and low margins, but by non-price competitiveness factors as well. We find profound improvements in product quality in CEE countries, following substantial investments into the sector and market consolidation. Both regions are at risk of rising imports of high-quality products from the Middle East, Russia and USA. This thesis provides a comprehensive picture of price and non-price competitiveness developments of all players in the highly competitive European oil downstream market.
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Organized industrial metal markets in the financialized commodity markets
Smolík, Kamil ; Kulhánek, Lumír (referee) ; Myšková, Renáta (referee) ; Rozmahel, Petr (referee) ; Rejnuš, Oldřich (advisor)
In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. The aim of the dissertation is to determine and quantify the factors affecting the prices of industrial metals during the period of financialization of commodity markets and derive the pricing model of industrial metals, which would be able to generate signals of a possible overvaluation or undervaluation. The paper examined non-ferrous industrial metals traded on the Commodity Exchange LME (London Metal Exchange), namely aluminum, copper, lead, nickel, tin and zinc. These metals are also included in the most of the world's composite commodity indices. The dissertation analyzes the contemporary developments in commodity markets; relationship between the price volatility and fundamental factors (including production, consumption and stocks of chosen metals and a wide range of macroeconomic determinants) or the relationship between risk and return of industrial metals. The closing part of the dissertation focuses on the creating of composite pricing indicator for copper and tin by using the Boosted Trees method. The results obtained in the research show that created indicator is able to explain the volatility of the 3m copper futures contracts by 94.25% and 3m futures contracts of tin by 96, 79% in the period from 1/2000 to 3/2015.
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Use of Automated Trading Systems on Commodity Markets
Herich, Martin ; Ondo, Ondrej (referee) ; Budík, Jan (advisor)
Focus of master's thesis is usability of automated trading of commodities with automated trading systems – expert advisors. Thesis describe theoretical background of commodity markets, trading principles, technical analysis of market, design and implementation of strategy as expert advisor. In conclusion, results are analyzed.
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Quantitative Easing and its impact on commodity prices
Jakl, Jakub ; Hurník, Jaromír (advisor) ; Potužák, Pavel (referee)
The main focus of this thesis rests in the assessment of the quantitative easing policy impact on commodity prices and prices of commodity derivatives in the US. Several VAR models have been constructed in this paper to capture the relations between time series of monetary policy variables and commodity markets indices. The impulse-response analysis applied in the VAR models has discovered the causal connection between the QE policy and the value of commodity indices. The official announcement of initiation (extension) of the policy of the QE policy and its realization consisting of purchases of vast amount of treasury securities and federal agency debt and MBS has lead to the major commodity indices increase. Since this fact has been overlooked by Fed so far, its acceptance might enhance the realization of possible future QE policy and the valuation of the QE as a monetary policy alternative in conditions of zero-bound.
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