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Author : Terrence F. Martell
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (17 download)
Download or read book Determinants of Trading Volume in Futures Markets written by Terrence F. Martell and published by . This book was released on 1987 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Terrence F. Martell
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.0/5 ( download)
Download or read book Determinants of Trading Volume in Futures Markets written by Terrence F. Martell and published by . This book was released on 1985 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher Lee Parrish
Publisher :
ISBN 13 :
Total Pages : 90 pages
Book Rating : 4.:/5 (841 download)
Download or read book The Determinants of Trading Volume in the Foreign Exchange Futures Market written by Christopher Lee Parrish and published by . This book was released on 1997 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (951 download)
Download or read book Determinants of Volume of Trading in Index Futures written by and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jędrzej Białkowski
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (122 download)
Download or read book Determinants of Trading Activity on the Single-stock Futures Market written by Jędrzej Białkowski and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "A number of exchanges around the world have attempted to introduce single-stock futures, but only a few have succeeded. We argue that this situation can be attributed to the use of inadequate selection criteria for the underlyings. Therefore, our paper investigates the determinants of trading activity on the Eurex derivative exchange and looks beyond systematic reasons extensively examined in prior research. It is found that trading activity is higher for single-stock futures on stock characterized by low institutional ownership and high volume and volatility on the spot market. The mispricing between the spot and futures markets also attracts investors to the single-stock futures market. Moreover, factors such as the size of contract, tick size, and age of contract on a particular stock significantly contribute to the increase of open interest and traded volume. Furthermore, evidence is found that single-stock futures become more efficiently priced around an ex-dividend date for the underlying stock. This is due to dividend stripping trading which allows a reduction in the tax burden. Our findings have important implications for investors who have an interest in that segment of the derivatives market. These implications should also be taken into consideration by market regulators and tax authorities. Keywords: Happiness, Single-stock futures; Futures market efficiency; Listing selection, Short sale"--Page [ii].
Author : Avanidhar Subrahmanyam
Publisher :
ISBN 13 :
Total Pages : 276 pages
Book Rating : 4.:/5 ( download)
Download or read book Determinants of Market Liquidity and Price Efficiency in Financial Markets written by Avanidhar Subrahmanyam and published by . This book was released on 1990 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jedrzej Pawel Bialkowski
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Determinants of Trading Activity on the Single-Stock Futures Market written by Jedrzej Pawel Bialkowski and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of exchanges around the world have attempted to introduce single-stock futures, but only a few have succeeded. We argue that this situation can be attributed to the use of inadequate selection criteria for the underlyings. Therefore, our paper investigates the determinants of trading activity on the Eurex derivative exchange and looks beyond systematic reasons extensively examined in prior research. It is found that trading activity is higher for single-stock futures on stock characterized by low institutional ownership and high volume and volatility on the spot market. The mispricing between the spot and futures markets also attracts investors to the single-stock futures market. Moreover, factors such as the size of contract, tick size, and age of contract on a particular stock significantly contribute to the increase of open interest and traded volume. Furthermore, evidence is found that single-stock futures become more efficiently priced around an ex-dividend date for the underlying stock. This is due to dividend stripping trading which allows a reduction in the tax burden. Our findings have important implications for investors who have an interest in that segment of the derivatives market. These implications should also be taken into consideration by market regulators and tax authorities.
Author : Jerome L. Stein
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (24 download)
Download or read book The Economic Determinants of the Distributions of Futures Prices and Trading Volumes written by Jerome L. Stein and published by . This book was released on 1991 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Babu Jose
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659326042
Total Pages : 132 pages
Book Rating : 4.3/5 (26 download)
Download or read book Futures Market - Determinants of Indian Futures Market written by Babu Jose and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures Market movement always depends on the fluctuation of the spot market. Elements of the futures market such as Open Interest, Trade volume, Volatility of futures return and Turn over are having direct link with futures return. Underlying Market return is the major influencing factor of the futures market, but the uncertain events of the futures market can be explained by observing the different relation ships of variables in the futures market.Market Depth, Market Volatility and market Trends are having causal relationship with futures return. Market responses and reflections are explained by the study with the help of econometric models like VAR Granger Causality/Block Exogeniety test, Impulse Response Function and Variance Decomposition.Indian stock and derivative markets are so speculative and volatile, the prediction of the movement is very difficult. Daily return series of S&P CNX Nifty and its underlying index from 2000 to 2010 are taken for the analysis. The whole study period is divided in to five stages as per the market movement and structural break of the data series. The empirical results of the study reveals the determinants of the futures market in India.
Author : Brian K. Johnson
Publisher :
ISBN 13 :
Total Pages : 160 pages
Book Rating : 4.:/5 (186 download)
Download or read book Factors Influencing Daily Trading Volume in the Crude Oil Futures Market written by Brian K. Johnson and published by . This book was released on 1988 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Leonard Waller
Publisher :
ISBN 13 :
Total Pages : 326 pages
Book Rating : 4.:/5 (197 download)
Download or read book The Determinants of Liquidity and the Role of the Market-maker in Commodity Futures Markets written by Mark Leonard Waller and published by . This book was released on 1988 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Babu Jose
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)
Download or read book Determinants of Futures Market in India written by Babu Jose and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In India, spot market return, number of contract, turnover and volatility of the futures market are having short run relationship with futures market return. On the basis of the empirical analysis it is clearly found that spot market is the key factor which predicts the movement of futures market and the trader can depend upon volatility and trading volume to take any decision on futures market trading. In precise, spot market return, volatility of the futures market, turnover and number of contract are the determinants of futures market in India. Spot market return is the major determinants of futures market, indeed variables from futures market itself like open interest and turnover of futures market can be taken in to consideration for determining the futures market return. The empirical study is made with spot return, futures return, volatility of futures return, number of contract, trading volume and open interest of S&P CNX Nifty and its underlying index Nifty-50 for the period 12th June 2000- 30th June 2011 by applying the VAR Granger Causality/Block Exogenity Test.
Author : Paul Weller
Publisher : Wiley-Blackwell
ISBN 13 : 9780631171720
Total Pages : 313 pages
Book Rating : 4.1/5 (717 download)
Download or read book The Theory of Futures Markets written by Paul Weller and published by Wiley-Blackwell. This book was released on 1992-01 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increasing financial sophistication and the recent acceleration in the pace of financial innovation has led to a dramatic growth in the economic significance of futures markets. In particular, the volume of trade in financial futures has mushroomed over the last decade, and in the case of stock index futures now rivals that of trade in the stocks themselves. Given the greater prominence of these markets, it is important for both students and academics to be aware of recent advances in the theoretical understanding of their function and performance. This volume examines a wide range of issues which arise in the theory of futures markets. An introductory chapter analyses a simple equilibrium model of a futures market and focuses upon the role of the market in spreading risk. Other chapters examine such issues as the following: conditions under which trading in futures markets leads to a fully efficient reallocation of risk; the role of different assumptions about expectations formation on the nature of equilibrium; the affect of trading futures on price volatility in the spot market; the provision of liquidity and the role of transactions costs; the extent to which futures prices reveal traders' private information; determinants of hedging and speculative trading decisions; factors influencing the likelihood of a manipulation of the market i.e., a corner or squeeze; the importance of program trading and dynamic hedging strategies on price volatility in equity markets. The breadth and timeliness of the book will ensure it becomes a standard reference for academics and professionals working in financial markets.
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book An Empirical Examination of Information, Differences of Opinion, and Trading Activity written by Hendrik Bessembinder and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anastasios G Malliaris
Publisher : World Scientific
ISBN 13 : 9814566934
Total Pages : 844 pages
Book Rating : 4.8/5 (145 download)
Download or read book The World Scientific Handbook Of Futures Markets written by Anastasios G Malliaris and published by World Scientific. This book was released on 2015-08-06 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics.
Author : Ai-ru Meg Cheng
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (552 download)
Download or read book Return, Trading Volume, and Market Depth in Currency Futures Markets written by Ai-ru Meg Cheng and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucy F. Ackert
Publisher : South Western Educational Publishing
ISBN 13 : 9780538752862
Total Pages : 0 pages
Book Rating : 4.7/5 (528 download)
Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
