Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold

Simple item page
dc.contributor.authorSessions, Madaleten_ZA
dc.date.accessioned2014-07-31T12:21:55Z
dc.date.available2014-07-31T12:21:55Z
dc.date.issued2008en_ZA
dc.descriptionIncludes bibliographical references (leaves 41-42).
dc.description.abstractThe dissertation presents a critique of this study and offers an alternative specification of the equilibrium equations which are central to the VECM approach. In place of the time trend included in the equilibrium model specified by Antoshin and Samiei, the model specified in the dissertation relies on the arbitrage relationship between spot and futures prices as the equilibrium relationship in the markets for oil and gold. This enabled the study to conclude that the important assertion made by Antoshin and Samiei that, in the market for oil, causality has been from higher prices to increased speculative activity, and not vice versa, cannot be substantiated. In both markets investigated, the application of the revised equilibrium model finds that speculation has a pervasive and relatively stable effect on prices. In the oil market, speculation only has an effect in the short run, while the long run equilibrium price of oil is independent of the effects of speculation - long run causation in either direction is precluded by the stationarity of speculation. In the market for gold, speculation influences prices in both the short run and long run.en_ZA
dc.identifier.apacitationSessions, M. (2008). <i>Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5698en_ZA
dc.identifier.chicagocitationSessions, Madalet. <i>"Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2008. http://hdl.handle.net/11427/5698en_ZA
dc.identifier.citationSessions, M. 2008. Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Sessions, Madalet AB - The dissertation presents a critique of this study and offers an alternative specification of the equilibrium equations which are central to the VECM approach. In place of the time trend included in the equilibrium model specified by Antoshin and Samiei, the model specified in the dissertation relies on the arbitrage relationship between spot and futures prices as the equilibrium relationship in the markets for oil and gold. This enabled the study to conclude that the important assertion made by Antoshin and Samiei that, in the market for oil, causality has been from higher prices to increased speculative activity, and not vice versa, cannot be substantiated. In both markets investigated, the application of the revised equilibrium model finds that speculation has a pervasive and relatively stable effect on prices. In the oil market, speculation only has an effect in the short run, while the long run equilibrium price of oil is independent of the effects of speculation - long run causation in either direction is precluded by the stationarity of speculation. In the market for gold, speculation influences prices in both the short run and long run. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold TI - Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold UR - http://hdl.handle.net/11427/5698 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/5698
dc.identifier.vancouvercitationSessions M. Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5698en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleSpeculation and commodity valuations : investigating the effects of speculation in the markets for oil and golden_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2008_sessions_m.pdf
Size:
2.89 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters