Journal of Futures Markets

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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) and the (logarithms of) realized ... 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
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 open‐outcry index futures, with the ... hiện toàn bộ
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
Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets
Journal of Futures Markets - Tập 25 Số 7 - Trang 679-715 - 2005
Ayşegül Ateş, George H. K. Wang
Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
Journal of Futures Markets - Tập 13 Số 7 - Trang 711-742 - 1993
Mahmoud Wahab, Malek Lashgari
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 revelation and price discovery of thre... hiện toàn bộ
The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange
Journal of Futures Markets - Tập 22 Số 3 - Trang 219-240 - 2002
Matthew Roope, Ralf Zurbruegg
AbstractThis paper focuses on the increasing competition between exchanges for listing similar index futures contracts and the impact this has on information dissemination between various markets. Specifically, using both the Hasbrouck and Gonzalo–Granger methodologies for extracting the information content held in each market, a comparison of information efficiencies between the Singapore Exchang... hiện toàn bộ
Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange
Journal of Futures Markets - Tập 24 Số 8 - Trang 785-804 - 2004
Alex Frino, Frederick H. deB. Harris, Thomas H. McInish, Michael J. Tomas
AbstractThis paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the Sydney Futures Exchange (SFE) during a period when open outcry trading was used on both exchanges. We... hiện toàn bộ
Commercial use and speculative measures of the livestock commodity futures markets
Journal of Futures Markets - Tập 3 Số 2 - Trang 113-135 - 1983
Raymond M. Leuthold
Tổng số: 30   
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