The Effect Of Futures Trading On Cash Market Volatility
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The Effect Of Futures Trading On Cash Market Volatility
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Author : Gary Robinson
language : en
Publisher:
Release Date : 1993
The Effect Of Futures Trading On Cash Market Volatility written by Gary Robinson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Finance categories.
The Effect Of Futures Trading On Cash Market Volatility
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Author : Gary Robinson
language : en
Publisher:
Release Date : 1993
The Effect Of Futures Trading On Cash Market Volatility written by Gary Robinson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Futures market categories.
The Effects Of Stock Index Futures On Cash Market Volatility
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Author : Al MacGartland
language : en
Publisher:
Release Date : 1989
The Effects Of Stock Index Futures On Cash Market Volatility written by Al MacGartland and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
Effect Of Futures Trading On Spot Market Volatility
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Author : Brajesh Kumar
language : en
Publisher:
Release Date : 2011
Effect Of Futures Trading On Spot Market Volatility written by Brajesh Kumar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.
Price Effects Of Financial Futures Trading
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Author : David Cohen
language : en
Publisher:
Release Date : 1982
Price Effects Of Financial Futures Trading written by David Cohen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Commodity exchanges categories.
There has been much concern voiced over the possible spot market volatility effects of the new financial futures markets, particularly in a study by the Federal Reserve Board and the Treasury Department regarding Treasury instrument futures markets. This study is designed to provide evidence on the spot price volatility effects of futures trading in 90-day Treasury Bills, The method of analysis is to first identify periods of time that are roughly similar in their overall capital market volatility, but differ in that one period is before TBill futures trading began and its comparable period is after TBill futures trading began. Next several econometric techniques are used to estimate models of interest rate determination. The estimation produces measures of spot TBill rate volatility for each of the comparable periods which are then used in a pairwise fashion to ascertain the spot price volatility effects of futures trading. The interest rate models come from the rather large body of macroeconomics literature dealing with the formation of interest rates. The econometric techniques span different assumptions imposed on the models and each technique provides consistent estimates of the model parameters under the stated conditions. Further, simple analysis of daily and weekly TBill rates is performed to provide continuity with studies of futures market spot price effects in other commodities. The results of all the statistical tests suggest that Treasury Bill futures trading does not increase spot market volatility during relatively stable periods of capital market activity, but is associated with increased spot Treasury Bill market volatility during times when overall capital market conditions are volatile. These results indicate that Treasury Bill futures trading alone does not increase spot market volatility, contrary to the hypothesis that simply the existence of financial futures trading destabilizes the underlying spot market.
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.
The Effect Of Futures Markets On Spot Market Volatility
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Author : Alan Picard
language : en
Publisher:
Release Date : 2009
The Effect Of Futures Markets On Spot Market Volatility written by Alan Picard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Asset Pricing Real Estate And Public Finance Over The Crisis
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Author : A. Carretta
language : en
Publisher: Springer
Release Date : 2013-02-03
Asset Pricing Real Estate And Public Finance Over The Crisis written by A. Carretta and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-03 with Business & Economics categories.
The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
The Effects Of Futures Trading On Stock Market Volatility
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Author : Allan Hodgson
language : en
Publisher:
Release Date : 1989
The Effects Of Futures Trading On Stock Market Volatility written by Allan Hodgson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Futures categories.
Derivatives And Hedge Funds
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Author : Stephen Satchell
language : en
Publisher: Springer
Release Date : 2016-05-18
Derivatives And Hedge Funds written by Stephen Satchell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Science categories.
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.