Multi-market Analysis Research Articles

Interaction between equity futures and spot markets during COVID-19 pandemic: a multi-market analysis

Using ABA research design and daily indices from South Africa, Eurozone, Japan and the United States of America, this study evaluates the interaction between equity index futures and spot markets before; during and after the COVID-19 pandemic. The results show evidence of cointegration between the equity futures and spot markets before, during and after the COVID-19 pandemic, a unidirectional causal relationship from the equity spot to the futures markets before and after the COVID-19 era, and bidirectional causality between the equity spot and futures markets during the COVID-19 pandemic, except for the South African markets. The results also show evidence of more spikey volatility during the COVID-19 pandemic era than was the case before and after the pandemic and the existence of bidirectional volatility transmission between the markets. The magnitude of transmission was stronger from the spot to futures markets during the COVID-19 pandemic era. Overall, the results suggest that the interaction between equity futures and spot markets varies according to the prevailing economic condition and the level of development of the markets.

Understanding the information of shock effects between energy commodity prices and maritime freight rate

Research has identified volatility transmission from the oil market to the tanker freight market through external shocks. However, in the presence of intricate nonlinear structures, the academic literature often encounters difficulties in identifying cycles and their correlations across various timescales. This paper provides a multi-market analysis to comprehend the information from shock effects on different tanker routes and multi-peak fitting. Under different shock regimes, crude oil market and tanker freight rate shocks could transit bi-directly. When events occur, the crude oil market prices the expectations. However, when the actual performance of the future market differs from the traders’ predictions of the future market, a price gap exists. Generally, the trade opportunity is tough to catch up on because only partial information can be found. In this study, we investigate the volatility connection of multi-markets and shock effects to clarify previously undisclosed information using multi-peak analysis. The information gathered and double-checked by cargo markets, crude oil supply-demand balance, and tanker freight prices of various tanker types could assist us in identifying prospective trends and investment opportunities. The volatility of each market, as well as the correlation of multi-markets, gives insights to crude oil dealers, tanker market participants, and energy regulators.

A Multimarket Analysis of Inter-dependent Consumer Response Sensitivities

AbstractWe investigate variation in aggregate consumer response sensitivities to the price, promotion and distribution elements of the marketing mix across US metropolitan markets. Primarily, three questions of research interest are examined – (i) the nature of the relationship between different aggregate response sensitivities and the implications therein, (ii) the usefulness of aggregate area-wide macroeconomic indicators such as inflation, unemployment and poverty in the context of a marketing problem, and (iii) the usefulness of geo-spatial information under a distribution-free approach. Beer category sales data across 49 major US metropolitan markets are analyzed. We find a pattern of strong inter-dependence among aggregate response sensitivities that indicates the existence of distinct, non-overlapping consumer segments. This enables a characterization of metropolitan market areas at an aggregate level. Ignoring inter-dependence mis-characterizes response sensitivity in two-thirds of the markets sampled. Further, on a standalone basis, neither area-wide economic indicators nor geo-spatial information help the analysis, but in conjunction, they vastly improve model fit (by almost 40%), explained variance (by over twice), parameter significance and consequently, insight.

The multi-market analysis of a housing price transmission model

In this article, we examine dynamic relationships among housing prices from four first-tier cities in China from December 2000 to May 2010 and present an equilibrium model of housing price in multi-markets. By explicitly incorporating and modelling endogenous price series in competing housing markets, our empirical model is able to capture the existence of long-run equilibrium relationships and important short-run dynamics and price structures such as price leadership, price transmission lag and asymmetric price responses. Such multi-market analysis has generalized implications and can easily be applied to analyse the pricing dynamics among other real estate markets in the world. Our major contribution lies in two aspects. First, we employ an Error-Correction Model (ECM) with Directed Acyclic Graphs (DAG) to study the price dynamics in the four largest and key housing markets in China. Second, we uncover a price transmission among these housing markets in China and provide an insightful understanding of price adjustment across markets. The revealed effective price transmission and high correlation among these different markets actually is not a good thing for a stable financial system and for the defence against price bubbles in the housing market.

The Effects of Trade Liberalization in Textiles and Clothing on the Greek Market for Cotton Yarn: A Multi-Market Analysis

The Uruguay Round (1987–95) signaled the end of the Multifiber Agreement for textiles and clothing. The quota regime, in place since 1974, was decided, according to the Agreement on Textiles and Clothing, to be gradually eliminated by the year 2005. As a result, prices of cotton-yarn in the world markets decreased, affecting producers in all cotton-yarn exporting countries, including Greece. At the same time, the labor cost in western industrialized countries remained high, or even increased, exerting further pressure on yarn producers. The present paper examines these changes for the cotton-yarn industry in Greece. We use a multi-market partial-equilibrium model which allows us to take into account simultaneous input and output price changes, relevant for the industry under study. Findings show that, after the implementation of the program for the gradual elimination of quotas, producers' welfare decreased whereas consumers noted substantial increases in welfare transfers.

The effects of EU corn, cotton, and sugar beet policies on Greek producers: a multimarket analysis

AbstractThis article examines the welfare effects of the European Union's Common Agricultural Policy (CAP) corn, cotton, and sugar beet regimes practiced in Greece after its 1981 entry into the European Union. Since Greek farmers produce corn, cotton, and sugar beets on the same land in different years, we model these markets as horizontally linked. By incorporating the demand for corn in our model, we take into account that corn is used as feed in livestock production. We use line integral theory to properly deal with the complications of welfare measurement in a multimarket setting. We estimate producer welfare effects of Greek corn, cotton, and sugar beet policy, and use bootstrapping techniques to obtain confidence intervals for the welfare measurements. Our analysis indicates that the income transfers to Greek farmers, (corn, cotton, and sugar beet growers as well as livestock producers considered as a total), rose between 1981 and 1992. The 1992 CAP reform led to a stabilization of income transfers to crop farmers, and lessened the negative impact on livestock producers.

The Transition to a Market-Based Agricultural Economy in Malawi: A Multi-Market Analysis

This paper uses empirical data to develop a multi-market model for Malawi. The model is used to simulate the effects on production, consumption, real household income, and trade as a result of: changes in the world price of traded commodities, exogenous changes in the production level of important crops, increases in the efficiency of the domestic maize market, and a depreciation in the real exchange rate.

Poverty alleviation in Mozambique: a multi-market analysis of the role of food aid

Abstract The use of food aid in poverty alleviation programs has been hampered by two problems: the inability to target to households in need, and the disincentive effects on agriculture. In this paper, we present econometric estimates of in Almost Ideal Demand System (AIDS) for households in Maputo, Mozambique, and develop a multi-market model to show that in Maputo, imported yellow maize is not only self-targeting, but that owing to a combination of the low cross-price elasticity with locally produced staples (particularly, white maize) and cross-border trade in food products, the disincentive effects on domestic agriculture have been negligible.

Do High Food Marketing Costs Constrain Cash Crop Production? Evidence from Zimbabwe

Do High Food Marketing Costs Constrain Cash Crop Production? Evidence from Zimbabwe

Agricultural Prices in Pakistan: A Multimarket Analysis

This paper attempts to analyse the effects of changes in agricultural prices on different segments of the society. Taking the cases of two major crops; namely wheat and rice, and of agricultural inputs in general, it works out the 'own-price effects' and 'cross-price effects' of price changes on producers, consumers, and the government in Pakistan.1 In this way the paper provides a broad (multimarket) framework which could be used to evaluate the government's agricultural price policy.2 The paper is divided into three sections_ Section I discusses the methodological framework. The empirical analysis is provided in Section II. Section III deals with some tentative Conclusions inferable from this study.

Wheat and maize price policies in Hungary: Tradeoffs between foreign exchange and government revenue

This paper reports on a methodology designed to examine the effects of selected agricultural policies in Hungary. The purpose of the paper is twofold. The first is to explain the methodology, dubbed multi-market analysis in previous work, which is implemented on personal computers to support discussions on policy reforms. The second is to examine wheat and maize policies in Hungary. While the model is constructed to focus on these policies, it will also be possible to outline ways to use the model to address other problems.

Multimarket Analysis of Agricultural Price Policies in an Operational Context: The Case of Cyprus

This article presents a method of analysis of agricultural price policies. Its basic features are : i) the incorporation of important supply and demand substitution possibilities; ii) a flexible structure which can account for institutional features of the agricultural sector and its relationships with the rest of the economy; and iii) a focused, policy-oriented approach. An application to Cyprus is presented which highlights the differences between this approach and analyses of single markets. The method incorporates supporting software on personal computers, with the longer term objective of developing this type of approach as a standard tool in pricing policy analysis.