Date of Award
5-20-2021
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. W. Keener Hughen
Committee Member
Dr. I-Hsuan Ethan Chiang
Committee Member
Dr. Xin (Shane) Gao
Abstract
This paper presents an in-depth analysis of the convenience yield determinants of corn futures. The estimated spot price and convenience yield are derived from Gibson and Schwartz’s (1990) two-factor model, and a deterministic seasonal component is added to the convenience yield. Numerous potentially novel determinants are regressed against the convenience yield while controlling for the spot price. The spot price is highly significant in all univariate regressions and is the main driver of changes in convenience yield. This research confirms the theory of storage, provides conflicting results regarding net hedging pressure, shows significant results for novel determinants, and proves that drought influences the convenience yield determinants of corn futures.
JEL Classification
G12, G13
Recommended Citation
DeLong, C. R. (2021). The convenience yield determinants of corn futures. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Agricultural and Resource Economics Commons, Business Administration, Management, and Operations Commons
Comments
In partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance Sacred Heart University, Jack Welch College of Business and Technology, Fairfield, Connecticut.