Gold Derivatives: Gold Derivatives: - World Gold Council

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References to Appendix 1 Bansal, V.K., Pruitt, S.W., and Wei, K.C., ‘An Empirical Reexamination of the Impact of CBOE Option Initiationo n the Volatility and Trading Volume of the Underlying Equities, 1973-1876’, Financial Review, 24, 1, 19-29. Bhattacharya A.K., A.Ramjee and B.Ramjee, 1986, ‘The Causal Relationship between Futures Price Volatility and the Cash Price Volatility of GNMA Securities’, Journal of Futures Markets, 6, 1, 29-39. Bortz, G.A., 1984, ‘Does the Treasury Bond Futures Market Destabilize the Treasury Bond Cash Market?’, Journal of Futures Markets, 4, 1, 25-38. Brennan, M.J., 1991, ‘The Price of Convenience and the Value of Commodity Contingent Claims’, in Stochastic Models and Option Values, ed. D. Lund and B. Oksendal, North Holland. Choi H., and A.Subrahmanyam, 1994, ‘Using Intraday Data to Test for Effects of Index Futures on the Underlying Stock Markets’, Journal of Futures Markets, 14, 3, 293-322. Cohen B.H., ‘Derivatives, Volatility and Price Discovery’, International Finance, 2, 2, 167-202. Conrad J., 1989, ‘The Price Effect of Option Introduction’, Journal of Finance, 44, 2, 487-498. Cox, C.C., 1976, ‘Futures Trading and Market Information’, Journal of Political Economy, 84, 6, 1215-37. Damodoran A., and J.Lim, 1991, ‘The Effects of Option Listing on the Underlying Stocks’ Return Processes’, Journal of banking and Finance, 15, 647-664. Detemple J., and P.Jorion, 1990, ‘Option Listing and Stock Returns’, Journal of Banking and Finance, 14, 781-801. Edwards F.R., 1988, ‘Futures Trading and cash Market Volatility: Stock Index and Interest Rate Futures’, Journal of Futures Markets, 8, 4, 421-439. Emerson P.M., and W.G.Tomek, 1969, ‘Did Futures Trading Influence Potato Prices?’, American Journal of Agricultural Economics, August. Fedenia M., and T. Grammatikos, 1992, ‘Options Trading and the Bid-ask Spread of the Underlying Stocks’, Journal of Business, 65, 3, 335-351. Figlewski S., 1981, ‘Futures Trading and Volatility in the GNMA Market’, Journal of Finance, May, 445-456. Fite D., and P. Pfleiderer, 1995, ‘Should Firms use Derivatives to Manage Risk’, Risk Management: Problems and Solutions, ed W. Beaver and G. Parker, McGraw-Hill. Froewiss K.C., 1978, ‘GNMA Futures: Stabilizing or Destabilizing?’, Federal Reserve Bank of San Francisco Economic Review, Spring, 20-29. Froot K., D.S. Scharfstein, and J.C. Stein, 1993, ‘Risk Management: Coordinating Corporate Investment and Financing Policies’, Journal of Finance, 48, 5, 1629-1658. Gennotte G. and H. Leland, 1990, ‘Market Liquidity, Hedging and Crashes’, American Economic Review, 80, 5, 999-1,021. Gray R.W., 1963, ‘Onions Revisited’, Journal of Farm Economics, May. Gold Derivatives: The market impact 111
Gray R.W., 1964, ‘The Attack on Potato Futures Trading in the United States’, Food Research Institute Studies, IV, 2. Hardouvelis G., 1988, ‘Margin Requirements and Stock Market Volatility’, Federal Reserve Bank of New York Quarterly Bulletin, Summer. Hardouvelis G., 1990, ‘Margin Requirements, Volatility, and the Transitory Component of Stock Market Prices’, American Economic Review, 80, 4, 736-763. Hart O., 1975, ‘On the optimality of Equilibrium when the Market Structure is Incomplete’, Journal of Economic Theory, 11, 3, 418-443. Hegde S., 1994, ‘The Impact of Futures Trading on the Spot Market for Treasury Bonds’, Financial Review, 29, 4, 441-471. Hsieh D. and M.Miller, 1990, ‘Margin Regulation and Stock Market Volatility’, Journal of Finance, 45, 1, 3-30. Jegadeesh N., and A.Subrahmanyam, 1993, ‘Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks’, Journal of Business, 66, 2, 171-187. Johnson A.C., 1973, ‘Effects of Futures Trading on Price Performance in the Cash Onion Market’, 1930-68, US Department of Agriculture, ERS Technical Bulletin 1470. Johnson L.L., 1960, ‘The Theory of Hedging and Speculation in Commodity Futures’, Review of Economic Studies, 27, 3, 139-151. Keynes J.M., 1930, Treatise on Money, London. Kupiec P.H., 1998, ‘Margin Requirements, Volatility and Market Integrity: What have we learned since the Crash?’, Journal of Financial Services Research, 13, 3, 231-255. Lee C.I., and H.C.Tong, 1998, ‘Stock Futures: the effects of their Trading on the Underlying Stocks in Australia’, Journal of Multinational Financial Management, 8, 285-301. Moriarty E.J., and P.A.Tosini, 1985, ‘Futures Trading and Price Volatility of GNMA Certificates – Further Evidence’, Journal of Futures Markets, 5, 633-641. Securities and Exchange Commission, 1988, ‘The October 1987 Stock Market Break’, Division of Market Regulation, February. Nabar, P.G., and Park, S-Y., 1989, ‘Options Trading and Stock Price Volatility’, New York University Salomon Brothers Center Working Paper, 460, April. Simpson W.G., and T.C. Ireland, 1982, ‘The Effect of Futures Trading on the Price Volatility of GNMA Securities’, Journal of Futures Markets, 2, 4, 357-366. Skinner, D.J., 1989, ‘Options Markets and Stock Return Volatility’, Journal of Financial Economics, 23, 1, June, 61-78. Smith C., and R. Stulz, ‘The Determinants of Firms’ Hedging Policies’, Journal of Financial and Quantitative Analysis, 20, 4, 391-405. Sorescu S.M., 1999, ‘The Effects of Options on Stock Prices: 1973 to 1995’, Journal of Finance, forthcoming. Stein J.L., 1961, ‘The Simultaneous determination of Spot and Futures Prices’, American Economic Review, 51, 5, xxx. Stein J.C., 1987, ‘Informational Externalities and Welfare-Reducing Speculation;, Journal of Political Economy, 95, 6, December, 1,123-45. 112 Gold Derivatives: The market impact
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WORLD GOLD COUNCIL Gold Derivatives
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Gold Derivatives: The market impact
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4 Gold Derivatives: The market impa
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6 Gold Derivatives: The market impa
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About the author Anthony Neuberger
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When the derivative contract mature
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Owners of gold can use the derivati
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The level and volatility of lease r
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0 Tonnes 2500 Gold Production Annua
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Breakdown of Production in 1968 Lat
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Thus while output responds to price
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Of the approximately 140,000 tonnes
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price of gold following substantial
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y the way in which reserves are vie
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1.4 Data issues Published statistic
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mismatch of maturity, of lending ra
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2.2 Gold derivative contracts The v
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The value of a forward contract A f
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position. In an ideal world, if the
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(in different maturities) to exploi
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Looking at gold as a commodity, it
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Gold futures and forward contracts
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In practice, the transaction is mos
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2.7: Producer hedging We have seen
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Accounting for hedges has long been
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But the bank which has sold the hed
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The gross numbers are impressive -
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3.1 The debate outlined The argumen
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some 4,000 tonnes. This is a small
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stock - so many billion dollars - r
Page 61 and 62: tion is now forecast to have peaked
Page 63 and 64: 62 Gold Derivatives: The market imp
Page 65 and 66: We use ordinary least squares regre
Page 67 and 68: To apply the model to our regressio
Page 69 and 70: y changes in hedging caused by chan
Page 71 and 72: 16/04/99: Gold Fields announces tha
Page 73 and 74: (5%) significance levels. Closer in
Page 75 and 76: followed the Washington Agreement (
Page 77 and 78: and total withdrawal by just one of
Page 79 and 80: distribution). Since the interest r
Page 81 and 82: contracts they have with producers.
Page 83 and 84: In the case of a producer whose mar
Page 85 and 86: Gold Forward Lease Rates 1993-99 5.
Page 87 and 88: emains valid, that term premia have
Page 89 and 90: The second and third sections of th
Page 91 and 92: over-production will cause forward
Page 93 and 94: There is a welfare gain from openin
Page 95 and 96: a strategy to a specialised interme
Page 97 and 98: 2.1 Derivatives market and leverage
Page 99 and 100: prices of their bonds and reducing
Page 101 and 102: equire physical delivery, the matur
Page 103 and 104: the contract is actually in their p
Page 105 and 106: the GNMA market, reduced random flu
Page 107 and 108: Cash settlement is also significant
Page 109 and 110: 3.5 Evidence from options: price le
Page 111: additional benefits in terms of inc
Page 115 and 116: 114 Gold Derivatives: The market im
Page 117 and 118: The simple summation treats all opt
Page 119 and 120: APPENDIX 3 The Washington Agreement
Page 121: Headquarters: UK 45 Pall Mall Londo
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