Welcome! Commodity Market Workshop and Call for Papers to the  Journal of Commodity Markets  Oslo, 20 ‐ 21 May 2015 

1

Commodity Markets Workshop in Oslo, May 20‐21    On  May  20‐21,  the  Norwegian  Center  for  Commodity  Market  Analysis  (NCCMA)  and  the  Norwegian  University of Science and Technology, hosted a 2‐day PhD‐workshop in Oslo. The aim of the workshop  was to gather researchers to present and discuss high‐quality research in all areas of economics and  finance  related  to  commodity  markets.  There  was  special  emphasis  on  giving  PhD‐students  the  possibility  to  present  and  get  feedback  on  papers  that  are  in  the  process  of  being  submitted  to  scientific journals. 

Commodity markets in this context include the entire range of commodities, i.e., metals, agricultural  products  and  fish,  and  related  markets  such  as  markets  for  shipping  and  transportation  services,  emission  quotas  and  weather  derivatives.  We  received  a  large  number  of  high  quality  papers  for  presentation,  and  invited  keynote  speakers  gave  talks  on  “hot  topics”  in  their  fields  of  research.  Professor Colin Carter from UC Davis gave a keynote presentation on the market effects of biofuel  policies, and Ron Ripple, who is Mervin Bovaird Professor of Energy Business and Finance, discussed  whether high frequency trading has come to crude oil futures. The keynotes also took active parts as  discussants on several papers, and generously shared their market and institutional knowledge with  the less experienced PhD‐students.  

  Ron Ripple, Mervin Bovaird Professor of Energy Business and Finance, presenting “Has high frequency trading come to crude oil futures?” 

  When we sent out the invitation for this workshop, we wrote that the maximum limit of participants  were set at 45. However, after receiving a large number of high quality papers we decided to increase 

that limit. In total, 42 papers were presented and discussed, in addition to the keynote talks. Further,  Donna Wilson from Elsevier gave a special presentation with advice on how to get an article published.  In particular the PhD‐students, but also more experienced researchers, walked away with valuable  insight regarding the publishing process and how to structure an academic article. Her talk was part of  the launching a new journal, The Journal of Commodity Markets. Based on an initiative by Betty  Simkins, Oklahoma State University, Marcel Prokopczuk, Hannover University, and Sjur Westgaard,  NTNU/NMBU, Elsevier is now launching this journal focusing on commodity markets, and the  editors plan to make a special issue of the journal dedicated to the workshop.    

 

Andreas Neuhierl, Northwestern University, Kellogg School of Management, presenting his article  “The Impact of Financialization on Commodity Term Structures: Trend Following Strategies,  Liquidity, and the Limits of Arbitrage”    The conference turned out to be a huge success in academic terms, with a large number of high  quality papers presented, and many interesting discussions about commodities and their associated  markets. Some of these discussions continued into the coffee and lunch breaks. We also had the  pleasure of inviting all participants to an informal dinner, and by most standards, it appears as  though the conference was a success in “social terms” as well as purely academic.  

 

 

Left: Conference Dinner  Right: One of the lucky circumstances of this event was that we got the opportunity to welcome our  American keynote speakers to celebrate the Norwegian National day in Oslo.    

The workshop was organized by the Norwegian Center for Commodity Markets, NMBU School of  Economics and Business, and the Norwegian University of Science and Technology, Department of  Industrial Economics and Technology Management. Financial support were provided by Oslo and  Akershus University College of Applied Sciences, Molde University College ‐ Specialized University in  Logistics, the Finance Market Fund, and the National Research School in Business Economics and  Administration.   

Commodity Market Workshop Organized by   Norwegian Centre for Commodity Market Analysis, NMBU School of Economics and  Business www.nmbu.no/nccma    Professor Ole Gjølberg ([email protected])  PhD Student Torun Sæter Fretheim ([email protected])    Norwegian University of Science and Technology, Department of Industrial Economics and  Technology Management www.iot.ntnu.no    Professor Sjur Westgaard ([email protected])   

2

Commodity Market Workshop Sponsors

3

Commodity Market Workshop Aim of the workshop  The aim of the Commodity Markets Workshop is to gather researchers to present and discuss high‐quality research in all areas of economics and finance related to commodity markets. The research may be theoretical, empirical, or policy‐related. The workshop is primarily set  up for PhD students and their supervizors to present and discuss papers that are in the process  of being submitted to scientific journals and/or will be part of the PhD dissertation.   Workshop Program Format  Each  presentation  will  last  for  20  minutes with 10  minutes discussion. Each  paper  have  a  discussant.  There  might  be  paralell  sessions  covering  energy,  metals,  agriculturals,  fish, shipping,  and  related  markets.  The  total  number  of  participants  is  now  65  including  non‐ speakers.  

4

Commodity Market Workshop

5

Norwegian Center of Commodity Market Analysis NCCMA

6

Journal of Commodity Markets • • • •

The Journal of Commodity Markets will launch this year, published by Elsevier The first issue is scheduled for January 2016 We aim to establish the journal as top field journal in the area of commodity markets www.journals.elsevier.com/journal-of-commodity-markets/

7

Journal of Commodity Markets Editors

Marcel Prokopczuk Leibniz University Hannover

Betty Simkins Oklahoma State University

Sjur Westgaard NTNU Trondheim

Supported by an excellent board of 30+ Associate Editors 8

Journal of Commodity Markets Workshop – Special Issue • All workshop participants are invited to submit their paper for a special issue devoted to the workshop • Papers will undergo the normal review process • Paper submission via EVISE by 30 June 2015 (see journal webpage) • Indicate during the submission that you are submitting for the workshop special issue

9

NEW

JOURNAL

JOURNAL OF

COMMODITY

MARKETS EDITORIAL TEAM: M. PROKOPCZUK, Leibniz Universität Hannover, Germany

B. SIMKINS, Oklahoma State University, USA

S. WESTGAARD Norwegian University of Science & Technology NTNU, Norway

VISIT THE JOURNAL HOMEPAGE AND SUBMIT YOUR PAPER TODAY! elsevier.com/locate/jcomm

Journal of Commodity Markets (JCOMM) aims to publish high-quality research in all areas of economics and finance related to commodity markets. The purpose of this inter- and trans-disciplinary journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets.

TOPICS CAN BE RELATED TO: • Econometric/statistical analysis of commodity markets • Real option analysis for commodity project investment and production • Portfolio allocation including commodities; pricing, hedging, and risk analysis of commodity derivatives • Risk premia in commodity markets • Forecasting in commodity markets; financialization of commodity markets • Corporate finance for commodity-exposed corporations • Organization of commodity markets • Regulation of commodity markets • Local and global commodity trading • Commodity supply chains

OPEN ACCESS OPTIONS

Journal of Commodity Markets offers authors the option to publish papers open access.

MORE INFORMATION AT elsevier.com/locate/jcomm

Program – Commodity Market Workshop Wednesday May 20 10:00-10:20

Registration and coffee

10:20-10:30

Introduction by the organizing committee

10:30-11:00

Key Note Speaker: Colin Carter - Commodity Storage and the Market Effects of Biofuel Policies

11:05-12:35

Parallel Sessions 1

12:35-13:30

Lunch

13:30-1500:

Parallel Sessions 2

15:00-15:30

Coffee Break

15:30-16:40

Parallel Sessions 3

18:30-20:30

Workshop Dinner

Thursday May 21 09:00-09:30

Key Note Speaker: Donna Wilson – How to get published: structuring your article

09:35-11:05

Parallel Sessions 4

11:05-11:30

Coffee Break

11:30-13:00

Parallel Sessions 5

13:00-14:00

Lunch

14:00-14:30

Key Note Speaker: Ron Ripple - Has high frequency trading come to crude oil futures?

14:35-16:00

Parallel Sessions 6

16:00-16:07

Concluding remarks

Commodity Market Workshop Parallel Sessions Wednesday May 20 Parallel session 1 Auditorium P48-P173   Session 1A - All Commodity Markets Chair: Sjur Westgaard, NTNU/NMBU Joëlle Miffre - EDHEC Business School, Nice - Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing Discussant: Sjur Westgaard, NTNU/NMBU Marcel Prokopczuk - University of Hannover - Commodity Forward Curve Dynamics with Inventory Information Discussant: Colin Carter, UC Davis Torun Fretheim - PhD Candidate, NMBU School of Economics and Business - Commodity price risk: extreme versus standard measures Discussant: Nikos Nomikos, Cass Business School, London

Room P46-PA308 Session 1B – Oil and Energy Markets Chair: Jonas Andersson, NHH, Bergen Rögnvaldur Hannesson - Norwegian School of Economics (NHH) - Whither the Price of Oil? Discussant: Ron Ripple, University of Tulsa, USA Helena Veiga - Universidad Carlos III de Madrid - Correlations between oil and stock markets: A wavelet-based approach Discussant: Jonas Andersson, NHH Lin Ma - PhD Candidate, NMBU School of Economics and Business - OPEC's market power: An Empirical Dominant Firm Model for the Oil Market Discussant: Ron Ripple, U Tulsa

Room P46-PA314 Session 1C – Energy Markets Chair: Olvar Bergland, NMBU School of Economics and Business Michael Kustermann - PhD Candidate, Universtät Duisburg-Essen - Structural Models for Coupled Electricity Markets Discussant: Olvar Bergland, NMBU Erik Smith-Meyer - PhD Candidate, NMBU School of Economics and Business - Temperature and Prices in the Nordic Power Market Discussant: Erling Vårdal, University of Bergen Igor Pipkin - PhD Candidate, Østfold University College - Market Power Issues in the Russian North-West Free Flow Zone Discussant: Bjørndal, NHH

Parallel session 2 Auditorium P48-P173   Session 2A – Oil and Energy Markets Chair: Marcel Prokopczuk, University of Hannover Nikos Nomikos – Cass Business School, City University London - Affine-structure models and the pricing of energy commodity derivatives Discussant: Marcel Prokopczuk, Uni Hannover Evangelos Kyritsis - PhD Candidate, Norwegian School of Economics - The Relationship between Crude Oil and Natural Gas Prices Discussant: Marie Steen, NMBU Sturla H. Tjåland - PhD Candidate, Trondheim Business School - Oil and Gas Risk Factor sensitivities for U.S. Energy Companies Discussant: Jukka Lempa, Oslo and Akershus University College

Room P46-PA308 Session 2B – All Commodity Markets Chair: Sjur Westgaard, NTNU/NMBU Melissa Porras Prado - Nova School of Business, Lisbon - Momentum signals in the term structure of commodity futures Discussant: Joëlle Miffre EDHEC Business School, Nice Francesco Ravazzolo – Bank of Norway - On the correlation between commodity and equity returns: implications for portfolio allocation Discussant Sjur Westgaard, NTNU/NMBU Gabriel Power - Université Laval Québec - Persistent Dynamics in Risk-Neutral Moments: Evidence from Equity and Commodity Markets Discussant: Francesco Ravazzolo, BoN

Room P46-PA314 Session 2C – Energy Markets Chair: Bjørndal, NHH Marianna Russo - PhD Candidate, Cass Business School - Identifying Drivers of Liquidity in the NBP Month-ahead Market Discussant: Bjørndal, NHH Sebastian Vicedom - PhD Candidate, University of Hannover - What makes the EU Carbon Market jump? Discussant: Erik Haugom, Lillehammer University College Knut Anders Johansen – PhD Candidate, University of Stavanger - Volatility in Energy Prices – a study of recent shifts Discussant: Erik Haugom, Lillehammer University College 

Parallel session 3 Room P46-PA308 Session 3A – Agricultural Markets Chair: Marie Steen, NMBU Erling Vårdal - Department of Economics, University of Bergen - The performance of large versus specialized firms: A study of firms importing apples into Norway Discussant: Øystein Myrland, Tromsø Arctic University Piotr Spiewanowski - Institute of Economics of the Polish Academy of Sciences, Warsaw, Poland - Did the Fertilizer Cartel Cause the Food Crisis? Discussant: Rögnvaldur Hannesson, NHH

Room P46-PA314 Session 3B – Fish Markets Chair: Ole Gjølberg, NMBU Bård Misund – University of Stavanger - Production Risk and the Futures Price Risk Premium? Discussant: Ole Gjølberg, NMBU

Thursday May 21 Parallel session 4 Auditorium P48-P173   Session 4A – All Commodity Markets Chair: Ole Gjølberg, NMBU Sepideh K. Zahiri - PhD Candidate, BI Norwegian Business School - Commodity Futures and Forecasting Commodity Currencies Discussant: Ole Gjølberg, NMBU Tom Erik Sønsteng Henriksen - PhD Candidate, NMBU School of Economics and Business Dynamic Correlations Between Commodity Futures & Stock Market Segments Discussant: Colin Carter, UC Davis Andreas Neuhierl - Northwestern University, Kellogg School of Management - The Impact of Financialization on Commodity Term Structures: Trend Following Strategies, Liquidity, and the Limits of Arbitrage Discussant: Colin Carter, UC Davis

Room P46-PA308 Session 4B – Oil and Energy Markets Chair: Rögnvaldur Hannesson, NHH Kristian Støre - PhD Candidate, University of Nordland - A real options perspective on developing an offshore petroleum lease: The case of a hub with a potential tie-in Discussant: Olvar Bergland, NMBU Verena Hagspiel - Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management - Switching from oil to gas production - Decisions in a field’s tail Discussant: Ron Ripple, U Tulsa Erik Haugom - Lillehammer University College and the Norwegian University of Science and Technology – Long Term Oil Prices Discussant: Rögnvaldur Hannesson, NHH

Room P46-PA314 Session 4C - Fish Markets Chair: Atle Guttormsen, NMBU Atle Øglend - Department of Industrial Economics, University of Stavanger - The Relationship between Salmon and Feed Raw Material Markets Discussant: Atle Guttormsen, NMBU Daumantas Bloznelis - PhD Candidate, NMBU School of Economics and Business - Short-term salmon price forecasting Discussant: Gabriel Power, Université Laval Quebec, Canada Ruolan Ouyang - PhD Candidate, University of Glasgow - On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures Discussant: Stein-Erik Fleten, NTNU

Parallel session 5 Auditorium P48-P173 Session 5A – Metal Markets Chair: Sjur Westgaard, NTNU/NMBU Dirk G. Baur - Kühne Logistics University - Exchange-traded Funds on Gold - A Free Lunch? Discussant: TBD Thanh Duong - John von Neumann Institute, Vietnam National University - A proposed method for Gold price forecasting: Vietnam market case Discussant: Jonas Andersson, NHH Volker Seiler - University of Paderborn - Are Rare Earth Elements Prices Efficient? Consequences for Stock Price Informativeness and Derivatives Pricing Discussant: Sjur Westgaard, NTNU/NMBU

 

 

Room P46-PA308 Session 5B – Shipping Chair: Atle Øglend, Stavanger University Philipp Lauenstein - PhD Candidate, HSBA Hamburg School of Business Administration Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements Discussant: Atle Øglend, Stavanger University Haiying Jia - SNF Centre for Applied Research at NHH, Bergen, Norway - Estimating vessel utilization in the drybulk freight market: the reliability of draught reports in AIS data feeds Discussant: Stein-Erik Fleten, NTNU Sahar Babri - PhD Candidate, Norwegian School of Economics - Application of gravity models with a fixed component for modelling coal, iron ore and oil freight markets Discussant: Erling Vårdal, Bergen University

Room P46-PA314 Session 5C – Fish Markets Chair: Atle Guttormsen, NMBU Dengjun Zhang – University of Tromsø - Interdependence between Firm–Level Stock Prices: The Case of Salmon Discussant: Ole Gjølberg, NMBU Ingrid Pettersen - PhD Candidate, Department of Industrial Economics, University of Stavanger A cod is a cod, but is it a commodity? Discussant: Atle Guttormsen, NMBU

Parallel session 6 Auditorium P48-P173 Session 6A – Energy Markets Chair: Stein-Erik Fleten, NTNU Lars Ivar Hagfors - PhD Candidate, Norwegian University of Science and Technology Modelling the UK Electricity Price Distributions using Quantile Regression Discussant: Dirk G. Baur, Kühne Logistics University, Germany Stein-Erik Fleten - Norwegian University of Science and Technology - Structural Estimation of Switching Costs for Peak Power Plants Discussant: Bjørndal, NHH Jonas Andersson - Department of Business and Management Science, Norwegian School of Economics - Wind Power, Congestion Management and the Variability of Power Prices Discussant: Olvar Bergland, NMBU

Room P46-PA308 Session 6B – Shipping Chair: Nikos Nomikos, Cass Business School Lisa Maria Aßmann - PhD Candidate, Norwegian School of Economics - Using fundamental variables for tanker freight rate forecasting - A comparison with time series models Discussant: Nikos Nomikos, Cass Business School, London Wolfgang Drobetz - University of Hamburg, Hamburg Business School - Cash Flow Sensitivities in an Asset-Heavy Industry: The Case of Shipping Dsicussant: Helge Nordahl, Oslo and Akershus University College Ioannis Moutzouris - PhD Candidate, Cass Buiness School - The Earnings-Price Ratio and Predictability of Returns in the Dry Bulk Shipping Industry Discussant: Helge Nordahl, Oslo and Akershus University College

 

Name

Afiiliation

1

Graham A. Davis

Division of Economics and Business, Colorado School of Mines [email protected]

2

Colin Carter

Department of Agricultural and Resource Economics, UC Davis [email protected]

3

Ronald D. Ripple

Mervin Bovaird Professor of Energy Business and Finance

[email protected]

4

Donna Wilson

Elsevier

[email protected]

5

Gabriel Power

Université Laval Québec

[email protected]

6

Joelle Miffre

EDHEC Business School, Nice

[email protected]

7

Marcel Prokopczuk University of Hannover

[email protected]

8

Melissa Porras Prado Nova School of Business, Lisbon

[email protected]

9

Francesco Ravazzolo Norges Bank and BI Norwegian Business School

[email protected]

10

Andreas Neuhierl

Northwestern University

[email protected]

11

Sepideh K. Zahiri

PhD Candidate, BI Norwegian Business School

[email protected]

12

Torun Fretheim

PhD Candidate, NMBU School of Economics and Business

[email protected]

13

Tom E.S. Henriksen PhD Candidate, NMBU School of Economics and Business

[email protected]

14

Atle Øglend

[email protected]

15

Daumantas Bloznelis PhD Candidate, NMBU School of Economics and Business

[email protected]

16

Ruolan Ouyang

PhD Candidate, University of Glasgow

[email protected].

17

Christian Ewald

University of Glasgow

[email protected]

18

Dengjun Zhang

University of Tromso

[email protected]

19

Ingrid Pettersen

PhD Candidate, Department of Industrial Economics, UiS

[email protected]

20

Dirk G. Baur

Kühne Logistics University

[email protected]

21

Thanh Duong

John von Neumann Institute - Vietnam National University

[email protected]

22

Volker Seiler

University of Paderborn

[email protected]

23

Rögnvaldur Hannesson Norwegian School of Economics

[email protected]

24

Helena Veiga

[email protected]

25

Lin Ma

26

Nikos Nomikos

Cass Business School, City University London

[email protected]

27

Evangelos Kyritsis

PhD Candidate, Norwegian School of Economics

[email protected]

28

Kristian Støre

PhD Candidate, University of Nordland

[email protected]

29

Verena Hagspiel

Department of Industrial Economics, NTNU

[email protected]

30

Sebastian Vicedom

PhD Candidate, University of Hannover

[email protected]

31

Sturla H. Tjåland

PhD Candidate, Trondheim Business School

[email protected]

32

Erik Haugom

Lillehammer University College and NTNU

[email protected]

33

Knut Anders Johansen

34

Lars Ivar Hagfors

PhD Candidate, Norwegian University of Science and Technology [email protected]

35

Igor Pipkin

PhD Candidate, Østfold University College

[email protected]

36

Stein-Erik Fleten

Norwegian University of Science and Technology

[email protected]

37

Michael Kustermann PhD Candidate, Universtät Duisburg-Essen

[email protected]

38

Erik Smith-Meyer

[email protected]

E-mail

Department of Industrial Economics, University of Stavanger

Universidad Carlos III de Madrid

PhD Candidate, NMBU School of Economics and Business

PhD Candidate, University of Stavanger

PhD Candidate, NMBU School of Economics and Business

[email protected]

[email protected]

39

Jonas Andersson

Department of Business and Management Science, NHH

[email protected]

40

Marianna Russo

PhD Candidate, Cass Business School, London

[email protected]

41

Lisa Maria Aßmann PhD Candidate, Norwegian School of Economics

[email protected]

42

Sahar Babri

PhD Candidate, Norwegian School of Economics

[email protected]

43

Wolfgang Drobetz

University of Hamburg, Hamburg Business School

[email protected]

44

Ioannis Moutzouris

PhD Candidate, Cass Buiness School

[email protected]

45

Philipp Lauenstein

PhD Candidate, HSBA Hamburg School of Business Administration

46

Haiying Jia

SNF Centre for Applied Research at NHH, Bergen, Norway

47

Piotr Spiewanowski Institute of Economics of the Polish Academy of Sciences, Warsaw, Poland [email protected]

48

Erling Vårdal

University of Bergen

[email protected]

49

Bård Misund

University of Stavanger

[email protected]

50

Aytac Erdemir

NILF

[email protected]

51

Ernesto Guzman

PhD Candidate, Colorado School of Mines

[email protected]

52

Francisco Sotomayor PhD Candidate, Colorado School of Mines

[email protected]

53

Roy Endre Dahl

University of Stavanger

[email protected]

54

Endre Bjørndal

NHH

[email protected]

55

Mette Bjørndal

NHH

[email protected]

56

Per Bjarte Sollibakke Molde University College

[email protected]

57

Yohannes Yebabe Tesfay

[email protected]

58

Malte Janzen

University of Hamburg

[email protected]

59

Olvar Bergland

NMBU

[email protected]

60

Ole Gjølberg

NMBU

[email protected]

61

Sjur Westgaard

NTNU and NMBU

[email protected]

62

Marie Steen

NMBU

[email protected]

63

Helge Nordahl

HIOA

[email protected]

64

Jukka Lempa

HIOA

[email protected]

65

Øystein Myrland

University of Tromso

[email protected] 

Molde University College

[email protected]

[email protected]