𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Intraday return dynamics between the cash and the futures markets in Japan

✍ Scribed by Iihara, Yoshio; Kato, Kiyoshi; Tokunaga, Toshifumi


Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
798 KB
Volume
16
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Dynamics of intraday serial correlation
✍ Simone Bianco; Roberto RenΓ² πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 263 KB

## Abstract The serial correlation of high‐frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000–2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid–ask bounce effect. Although

Intraday volatility in the bond, foreign
✍ Valeria Martinez; Yiuman Tse πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 359 KB πŸ‘ 1 views

## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the E‐mini S&P 500 futures contracts traded on a continuous 23‐hour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif

Cash-futures arbitrage and forward-futur
✍ Linda Allen; Thom Thurston πŸ“‚ Article πŸ“… 1988 πŸ› John Wiley and Sons 🌐 English βš– 590 KB

ersistent discrepancies between implied forward rates on the yield curve P and corresponding futures rates have been widely observed. For instance, in one of our samples, eight week-ahead forward-future spreads averaged nearly 70 discount basis points before 1982 and have since averaged about 30 bas

Commonality in trading activity and futu
✍ Hsiu-Chuan Lee; Cheng-Yi Chien; Tzu-Hsiang Liao πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 277 KB πŸ‘ 1 views

## Abstract This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futures‐cash basis. The empirical results provide evidence of commonality

Macroeconomic announcements, intraday co
✍ Dimitrios D. Thomakos; Tao Wang; Jingtao Wu; Russell P. Chuderewicz πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 330 KB

## Abstract The effects of scheduled macroeconomic announcements on the real‐time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday