Futures Trading And The Level And Volatility Of Spot Prices
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Futures Trading And The Level And Volatility Of Spot Prices
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Author : Ronald Britto
language : en
Publisher:
Release Date : 1985
Futures Trading And The Level And Volatility Of Spot Prices written by Ronald Britto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Agricultural prices categories.
Trading Mechanisms Speculative Behavior Of Investors And The Volatility Of Prices
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Author : Hun Y. Park
language : en
Publisher:
Release Date : 1989
Trading Mechanisms Speculative Behavior Of Investors And The Volatility Of Prices written by Hun Y. Park and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Prices categories.
This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.
Dynamic Relationship Between Futures Trading And Spot Price Volatility
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Author : Rahuldeb Das
language : en
Publisher:
Release Date : 2014
Dynamic Relationship Between Futures Trading And Spot Price Volatility written by Rahuldeb Das and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In this study, an attempt has been made to identify the relationship between the spot price and the level of futures trading in the Indian commodity market using Granger causality test. For a better explanation of causality, the procedure of forecast error variance decomposition has been used. The study indicates that for most of the commodities there is a causal relationship between unexpected futures trading volume and spot price volatility. Furthermore, there is a weak form of causality between spot price volatility and unexpected futures open interest.
Does The Introduction Of Futures On Emerging Market Currencies Destabilize The Underlying Currencies
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Author : Ms.Laura E. Kodres
language : en
Publisher: International Monetary Fund
Release Date : 1998-02-01
Does The Introduction Of Futures On Emerging Market Currencies Destabilize The Underlying Currencies written by Ms.Laura E. Kodres and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-02-01 with Business & Economics categories.
Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the Mexican peso, the Brazilian real, and the Hungarian forint futures contracts on the respective spot markets. While measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility.
The Roles Of Futures Trading In Exchange Rate Volatility
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Author : Frank M. Song
language : en
Publisher:
Release Date : 1999
The Roles Of Futures Trading In Exchange Rate Volatility written by Frank M. Song and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
This study examines the relationship between the level of futures trading activity in five currencies and the variability in the underlying exchange rate changes. The conditional variance from the GARCH model is employed as the proxy for the exchange rate volatility. The evidence indicates that futures trading has a significant impact on the volatility in the exchange rates, with a weaker feedback from exchange rate volatility to futures trading. The causal patterns that emerge are also symptomatic of overreaction in exchange rate changes to shocks in futures trading. The positive impact of futures trading activity on exchange rate volatility is found to persist over several trading days, at least during periods of major change in the level of future trading activity. On the other hand, futures trading is found to decline on the day following increased volatility in spot rates.
Options On Futures
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Author : Ronald J. Frost
language : en
Publisher: Irwin Professional Publishing
Release Date : 1989
Options On Futures written by Ronald J. Frost and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
Do Index Futures Cause Spot Market Volatility An Investigation Of The Australian Resources Index
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Author : Neha Deo
language : en
Publisher:
Release Date : 2017
Do Index Futures Cause Spot Market Volatility An Investigation Of The Australian Resources Index written by Neha Deo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper applies GARCH models to ascertain the impact of index futures trading on the volatility of the spot market. Specifically, the research aims to determine whether the introduction of index futures trading increases or decreases the level of volatility within the underlying spot market. In addition, the research verifies the sensitivity of price to information as well as the impact the leverage effect may have on the degree and structure of volatility. As Australia is a commodity driven economy, resources constitute one of the largest economic sectors. Following from this, the daily closing price of the ASX 200 Resources Index for the period 2010 to 2016 was therefore used in the analysis. Given that 14 October 2013 was when the Australian Securities Exchange launched the ASX 200 Resources Index futures, investigating the volatility prior to and after this date is also a focus of the paper. The results of the study suggest that the introduction of index futures did not substantially increase the level of volatility in the spot market but found that there is an increase in sensitivity to historical information; and that a negative leverage effect exists within the Resources Index. Since the Australian share market operates within a dynamic financial landscape, the study adopts a framework that seeks to provide behavioural and macroeconomic explanations for the findings, where appropriate.
Futures Trading Activity And Stock Price Volatility
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Author : Hendrik Bessembinder
language : en
Publisher:
Release Date : 1992
Futures Trading Activity And Stock Price Volatility written by Hendrik Bessembinder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Futures categories.
The Complete Guide To Single Stock Futures
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Author : Russell R. Wasendorf
language : en
Publisher: McGraw Hill Professional
Release Date : 2003-12-22
The Complete Guide To Single Stock Futures written by Russell R. Wasendorf and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-22 with Business & Economics categories.
Single stock futures are quickly becoming among the market's most important trading vehicles, and Russell Wasendorf's Peregrine Financial Group accounts for 20 to 50 percent of daily U.S. trading volume! In The Complete Guide to Single Stock Futures, Wasendorf provides traders with: Analyses of the latest rules and regulations How to apply technical and fundamental analysis • Best exchanges for trading Essential valuation techniques • And much more
Forecasting The Volatility Of Stock Market And Oil Futures Market
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Author : Dexiang Mei
language : en
Publisher: Scientific Research Publishing, Inc. USA
Release Date : 2020-12-17
Forecasting The Volatility Of Stock Market And Oil Futures Market written by Dexiang Mei and has been published by Scientific Research Publishing, Inc. USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-17 with Business & Economics categories.
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.