Journal of Futures Markets
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Price clustering in E‐mini and floor‐traded index futuresAbstract This 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... ...
Journal of Futures Markets - Tập 26 Số 3 - Trang 269-295 - 2006
The contribution of a satellite market to price discovery: Evidence from the Singapore exchangeAbstract The 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... ...
Journal of Futures Markets - Tập 24 Số 10 - Trang 981-1004 - 2004
The information content of implied volatility in light of the jump/continuous decomposition of realized volatilityAbstract In 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... ...
Journal of Futures Markets - Tập 27 Số 4 - Trang 337-359 - 2007
Structural breaks and volatility forecasting in the copper futures marketThis paper examines whether structural breaks contain incremental information for forecasting the volatility of copper futures. Considering structural breaks in volatility, we develop four heterogeneous autoregressive (HAR) models based on classical or latest HAR‐type models. Subsequently, we apply these models to forecast volatility in the copper futures market. Th...
Journal of Futures Markets - Tập 38 Số 3 - Trang 290-339 - 2018
Fundamentals, Derivatives Market Information and Oil Price VolatilityWe analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option‐implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output capacity, oil storage) and economy‐wide financial conditions (captured by the eq...
Journal of Futures Markets - Tập 36 Số 4 - Trang 317-344 - 2016
Futures markets: Their purpose, their history, their growth, their successes and failures
Journal of Futures Markets - Tập 4 Số 3 - Trang 237-271 - 1984
Customer protection in futures and securities markets
Journal of Futures Markets - Tập 4 Số 3 - Trang 273-295 - 1984
The clearing association in futures markets: Guarantor and regulator
Journal of Futures Markets - Tập 3 Số 4 - Trang 369-392 - 1983
The global market for OTC derivatives: An analysis of dealer holdings
Journal of Futures Markets - Tập 25 Số 1 - Trang 39-77 - 2005
A first look at the empirical relation between spot and futures electricity prices in the United StatesAbstract In 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... ...
Journal of Futures Markets - Tập 23 Số 10 - Trang 931-955 - 2003
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