Browsing by Subject "Futures markets"
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Item Open Access The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives(Elsevier, 2020) Akyıldırım, E.; Corbet, S.; Katsiampa, P.; Kellard, N.; Şensoy, AhmetWe utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing effects sourced from both fraudulent and regulatory unease within the industry. While analysing breakpoints in efficiency, we verify the view that Bitcoin futures dominate price discovery relative to spot markets. However, we add to this research by finding that CBOE futures are found to be the leading source of informational flow when compared directly to their CME equivalent.Item Open Access Futures hedging in electricity retailing(Springer, 2022-09) Tanrısever, Fehmi; Büke, B.; Jongen, G.This paper is concerned with the risk management practices of an electricity retailer motivated by the Dutch electricity market. We examine the effectiveness of the existing base- and peak-load futures contracts as a risk management tool for the electricity retailers. We analytically characterize the retailer’s optimal hedging policy as a function of the serial correlation of the prices and the demand profiles of its customers. We find that the retailer typically over-hedges in the futures market, and the over-hedging amount increases when both base- and peak-load contracts are used. Our findings indicate that although the existing contracts in the futures market are quite efficient to replicate the exposure from profiled customers, when industrial consumers and renewable generation are included to the retailer’s portfolio, the effectiveness of such contracts decreases substantially. In our motivating example, hedging the risk of the profiled customers with base-load contracts, the firm may reduce the variance of its cash flows by 85.9%. In addition to the base-load contracts, including peak-load contracts into the hedging portfolio of the retailer increases the efficiency of hedging to 89.3%. However, when we consider the aggregate portfolio of the retailer including profiled customers, industrial consumers and renewable contracts, the efficiency of hedging through the existing futures contracts goes down as low as 32.8% during certain periods. © 2022, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.