Journal of Futures Markets

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Price clustering in E‐mini and floor‐traded index futures
Journal of Futures Markets - Tập 26 Số 3 - Trang 269-295 - 2006
Huimin Chung, Shao-Shan Chiang
AbstractThis article sets out to investigate price clustering in both the open‐outcry (floor‐traded) and electronically traded (E‐mini) index futures markets of the DJIA, S&P 500, and NASDAQ‐100 indices. The results show that although price clustering is ubiquitous in both the floor‐traded and E‐mini index futures markets, it nevertheless tends to be higher for...... hiện toàn bộ
The contribution of a satellite market to price discovery: Evidence from the Singapore exchange
Journal of Futures Markets - Tập 24 Số 10 - Trang 981-1004 - 2004
Vicentiu Covrig, David K. Ding, Buen Sin Low
AbstractThe Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its continued success. Evidence is provided from information revel...... hiện toàn bộ
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Journal of Futures Markets - Tập 27 Số 4 - Trang 337-359 - 2007
Pierre Giot, Sébastien Laurent
AbstractIn the framework of encompassing regressions, the information content of the jump/continuous components of historical volatility is assessed when implied volatility is included as an additional regressor. The authors' empirical application focuses on daily and intradaily data for the S&P100 and S&P500 indexes, and daily data for the associated VXO a...... hiện toàn bộ
Futures markets: Their purpose, their history, their growth, their successes and failures
Journal of Futures Markets - Tập 4 Số 3 - Trang 237-271 - 1984
Dennis W. Carlton
The clearing association in futures markets: Guarantor and regulator
Journal of Futures Markets - Tập 3 Số 4 - Trang 369-392 - 1983
Franklin R. Edwards
The global market for OTC derivatives: An analysis of dealer holdings
Journal of Futures Markets - Tập 25 Số 1 - Trang 39-77 - 2005
Ekaterina E. Emm, Gerald D. Gay
A first look at the empirical relation between spot and futures electricity prices in the United States
Journal of Futures Markets - Tập 23 Số 10 - Trang 931-955 - 2003
Hany A. Shawky, Achla Marathe, Christopher L. Barrett
AbstractIn this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the electricity market can be viewed to be broadly consistent with effici...... hiện toàn bộ
Realized volatility and correlation in energy futures markets
Journal of Futures Markets - Tập 28 Số 10 - Trang 993-1011 - 2008
Tao Wang, Jingtao Wu, Jian Yang
AbstractUsing high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) ...... hiện toàn bộ
The degree of price resolution: The case of the gold market
Journal of Futures Markets - Tập 5 Số 1 - Trang 29-43 - 1985
Clifford A. Ball, Walter N. Torous, Adrian E. Tschoegl
Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
Journal of Futures Markets - Tập 25 Số 5 - Trang 419-442 - 2005
Owain ap Gwilym, Ian D. McManus, Stephen Thomas
Tổng số: 30   
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