| Project/Area Number |
21K20168
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Multi-year Fund |
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| Review Section |
0107:Economics, business administration, and related fields
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| Research Institution | Kindai University |
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Principal Investigator |
末永 浩章 近畿大学, 経済学部, 准教授 (80909854)
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| Project Period (FY) |
2021-08-30 – 2023-03-31
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| Project Status |
Discontinued (Fiscal Year 2021)
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| Budget Amount *help |
¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Fiscal Year 2022: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2021: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Keywords | Commodity futures / Seaonality / Time-to-maturity / Higher moments / Commodity prices / Implied volatility |
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| Outline of Research at the Start |
This study will empirically examine the stochastic and deterministic variations in the third and fourth moments of commodity futures price distribution. It will also examine the dynamics of volatility surface implied by options on commodity futures and compare them with the predicted moments of futures returns. Depicted systemic patterns in the dynamics of the higher moments will be used to design a portfolio with improved hedging performance and to reassess the hedging effectiveness and market efficiency.
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| Outline of Annual Research Achievements |
This research intends to examine the stochastic and deterministic variations in the higher moments of commodity futures prices through analyzing the two sets of data: (1) daily futures return data of several commodities with distinctive features (such as corn, crude oil, natural gas, and gold), and (2) the daily data on the volatility surface implied by options on aforementioned commodity futures contracts.
The project was planned to be carried out over 2 years from 2021 til 2022. In particular, I intended to focus on building the research environment in the first year (such as purchasing and setting up of a high speed computer, relevant software, and datasets), while the main analysis (data analysis, drafting of academic papers, and conference presentations) were to be carried out in the second year.
Over the last months, I analyzed the first dataset (daily futures returns) and identified strong seasonal patterns in the dynamics of the second moment (variance) of natural gas and corn futures and strong time-to-maturity effect on all four commodities. I am currently moving into the second step, where the daily futures return series are converted into the standard series (through controlling for the identified systemic patterns in the 2nd moment) to identify the systemic patterns in the higher moments.
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| Current Status of Research Progress |
Current Status of Research Progress
3: Progress in research has been slightly delayed.
Reason
As stated before, I was planning to set up the research environment in the first year, but this was differed for two reasons: (1) a high speed computer that I was planning to purchase was out of stock due to the shortage of computer processors (thus, I purchased a less powerful desktop PC using the university provided funding), and (2) it took longer than anticipated to receive quotes from multiple data venders and compare them by prices and data qualities. All these contributed to a delay in setting research environment.
I however, managed to carried out part of the research through analyzing the data obtained the university subscribed database and using a desktop PC purchased with the support from the Kindai University.
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| Strategy for Future Research Activity |
I intend to complete the analysis of the first dataset (commodity futures returns), compose an academic paper based on the results, and then present it at an international conference by the third quarter of 2022. I will then focus on updating the research environment, by purchasing a high-speed desktop PC, statistical softwares (Gauss & Stata), and option price data by the end of 2022.
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