𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Information and volatility in futures and spot markets: The Case of the Japanese yen

✍ Scribed by Chatrath, Arjun; Song, Frank


Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
285 KB
Volume
18
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Price discovery and volatility spillover
✍ Tse, Yiuman πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 262 KB πŸ‘ 1 views

The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model s

Market volatility and the demand for hed
✍ Chang, Eric; Chou, Ray Y.; Nelling, Edward F. πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 228 KB πŸ‘ 2 views

This study examines the relation between stock market volatility and the demand for hedging in S&P 500 stock index futures contracts. Open interest is used as a proxy for hedging demand. The analysis employs unique data that identify separately the open interest of large hedgers, large speculators,

The dynamics of the relationship between
✍ Ming-Yuan Leon Li πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 489 KB πŸ‘ 1 views

## Abstract This investigation is one of the first studies to examine the dynamics of the relationship between spot and futures markets using the Markov‐switching vector error correction model. Three mature stock markets including the U.S. S&P500, the U.K. FTSE100 and the German DAX 30, and two eme

Volatility and maturity effects in the N
✍ Chen, Yen-Ju; Duan, Jin-Chuan; Hung, Mao-Wei πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 293 KB πŸ‘ 1 views

Many financial data series are found to exhibit stochastic volatility. Some of these time series are constructed from contracts with time-varying maturities. In this paper, we focus on index futures, an important subclass of such time series. We propose a bivariate GARCH model with the maturity effe

The temporal relationship between deriva
✍ Kyriacou, Kyriacos; Sarno, Lucio πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 369 KB πŸ‘ 2 views

This article examines empirically the dynamic relationship between spot market volatility, futures trading, and options trading in the context of a trivariate simultaneous equations model. The empirical analysis provides strong evidence that significant simultaneity, in addition to feedback, charact