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Using High Low Open And Closing Prices To Estimate The Effects Of Cash Settlement On Futures Prices
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Book Synopsis Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices by : Leo H. Chan
Download or read book Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices written by Leo H. Chan and published by . This book was released on 2001 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior to 1986, any opening position on feeder cattle futures contract must be settled with physical delivery after the last trading day. Due to dwindling commercial interests, Chicago Mercantile Exchange (CME) subsequently replaced the system with the cash settlement method. It was argued that cash settlement would help reduces the futures price's volatility. In this paper, we adopted stochastic volatility models to investigate this conjecture. The models allow for time varying volatility. Using 4 estimators based on mixtures of high, low, open and close prices, we found all estimators conclude that the volatility of the feeder cattle futures price decreased after switching from physical delivery to cash settlement. The change in the contract specification therefore enhances price discovery and risk management functions of the futures market. Concerning the higher moments of the volatility, different conclusions were derived. Range data, the Parkinson and the Rogers-Satchell estimators all indicate that cash settlement led to a reduction in the volatility of volatility.
Book Synopsis Cash Settlement and Price Discovery in Futures Markets by : Leo H. Chan
Download or read book Cash Settlement and Price Discovery in Futures Markets written by Leo H. Chan and published by . This book was released on 2002 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior to 1986, any opening position on feeder cattle futures contract must be settled with physical delivery after the last trading day. Due to dwindling commercial interests, Chicago Mercantile Exchange (CME) subsequently replaced the system with the cash settlement method. In December 1996 the CME abandoned the live hog futures contract and replaced it with the lean hog futures contract. While the former contract requires physical delivery, the later is settled in cash. It was argued that cash settlement would help improve the performance of these contracts. One of the main functions of the futures markets is the price discovery function. In this paper, we examine how cash settlement affects the ability of the futures market to predict future spot prices. Adopting the Geweke feedback measure, we find that the feeder cattle futures contract improves its price discovery function after the cash settlement was adopted in August 1986. Moreover, spot and futures markets become more integrated thereafter. We also consider the case in which the cash settled lean hog futures contract replaced the physical delivery settled live hog futures contract in December 1996. Herein the conclusion is drastically different. After cash settlement was adopted, the futures market is less effective in price discovery. Further, spot and futures markets are more segmented. We suspect other contract uncertainties, including the change in weighing scheme, gives rise to the undesirable results.
Book Synopsis Cash Settlement and Futures Price Volatility by : Leo H. Chan
Download or read book Cash Settlement and Futures Price Volatility written by Leo H. Chan and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Chicago Mercantile Exchange (CME) abandoned the live hog futures contract (physical delivery) in December 1996 and replaced it with the lean hog futures contract (cash settlement), with the intention of improving the effectiveness of the contract as a risk management tool. This paper applies implied volatility derived from options on live/lean hog futures contracts to examine the possible effects of cash settlement on futures price volatility. Using different data windows and applying different model specifications, it is found that the hog futures price has become less volatile, thus improving the risk management function of the futures contract, since the adoption of cash settlement.
Book Synopsis Focus on Agricultural Economics by : Ami R. Bellows
Download or read book Focus on Agricultural Economics written by Ami R. Bellows and published by Nova Publishers. This book was released on 2005 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new book covers both theoretical and applied agricultural economics research. Its scope also includes a wide range of topics related to agricultural economics. Topic areas include, for example: production economics and farm management, agricultural policy, agricultural environmental issues, regional planning and rural development, factor markets, supply and demand analysis, marketing of agricultural and food products, international trade and development, and methodology. It also examines the linkages between and among financial institutions, the macroeconomy, world markets, government programs, farms, agribusinesses, food marketing, and the environment.
Book Synopsis Engineering Applications of Neural Networks by : Lazaros Iliadis
Download or read book Engineering Applications of Neural Networks written by Lazaros Iliadis and published by Springer Nature. This book was released on with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expiration Day Effects of Index Options and Futures by : Hans R. Stoll
Download or read book Expiration Day Effects of Index Options and Futures written by Hans R. Stoll and published by . This book was released on 1987 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The CFTC Glossary written by and published by . This book was released on 1997 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin
Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Finance by : Piet Sercu
Download or read book International Finance written by Piet Sercu and published by Princeton University Press. This book was released on 2009-03-02 with total page 833 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Finance presents the corporate uses of international financial markets to upper undergraduate and graduate students of business finance and financial economics. Combining practical knowledge, up-to-date theories, and real-world applications, this textbook explores issues of valuation, funding, and risk management. International Finance shows how theoretical applications can be brought into managerial practice. The text includes an extensive introduction followed by three main sections: currency markets; exchange risk, exposure, and risk management; and long-term international funding and direct investment. Each section begins with a short case study, and each of the sections' chapters concludes with a CFO summary, examining how a hypothetical chief financial officer might apply topics to a managerial setting. The book also contains end-of-chapter questions to help students grasp the material presented. Focusing on international markets and multinational corporate finance, International Finance is the go-to resource for students seeking a complete understanding of the field. Rigorous focus on international financial markets and corporate finance concepts An up-to-date and practice-oriented approach Strong real-world examples and applications Comprehensive look at valuation, funding, and risk management Introductory case studies and "CFO summaries," and end-of-chapter quiz questions Solutions to the quiz questions are available online
Book Synopsis The Industrial Organization of Futures Markets by : Ronald W. Anderson
Download or read book The Industrial Organization of Futures Markets written by Ronald W. Anderson and published by Free Press. This book was released on 1984 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author :National Academies of Sciences, Engineering, and Medicine Publisher :National Academies Press ISBN 13 :0309459575 Total Pages :483 pages Book Rating :4.3/5 (94 download)
Book Synopsis Pain Management and the Opioid Epidemic by : National Academies of Sciences, Engineering, and Medicine
Download or read book Pain Management and the Opioid Epidemic written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2017-09-28 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drug overdose, driven largely by overdose related to the use of opioids, is now the leading cause of unintentional injury death in the United States. The ongoing opioid crisis lies at the intersection of two public health challenges: reducing the burden of suffering from pain and containing the rising toll of the harms that can arise from the use of opioid medications. Chronic pain and opioid use disorder both represent complex human conditions affecting millions of Americans and causing untold disability and loss of function. In the context of the growing opioid problem, the U.S. Food and Drug Administration (FDA) launched an Opioids Action Plan in early 2016. As part of this plan, the FDA asked the National Academies of Sciences, Engineering, and Medicine to convene a committee to update the state of the science on pain research, care, and education and to identify actions the FDA and others can take to respond to the opioid epidemic, with a particular focus on informing FDA's development of a formal method for incorporating individual and societal considerations into its risk-benefit framework for opioid approval and monitoring.
Book Synopsis Martin Pring on Market Momentum by : Martin J. Pring
Download or read book Martin Pring on Market Momentum written by Martin J. Pring and published by Irwin Professional Publishing. This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Martin Pring's book is the first in-depth look at the subject of market momentum and is heavily illustrated with graphs and charts that provide visual examples of every theory and concept relating to investments and the markets
Book Synopsis Anatomy of the Crude Oil Pricing System by : Bassam Fattouh
Download or read book Anatomy of the Crude Oil Pricing System written by Bassam Fattouh and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis St. Louis Daily Market Reporter and Merchants Exchange Price Current by :
Download or read book St. Louis Daily Market Reporter and Merchants Exchange Price Current written by and published by . This book was released on 1926 with total page 618 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Shock Waves by : Stephane Hallegatte
Download or read book Shock Waves written by Stephane Hallegatte and published by World Bank Publications. This book was released on 2015-11-23 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ending poverty and stabilizing climate change will be two unprecedented global achievements and two major steps toward sustainable development. But the two objectives cannot be considered in isolation: they need to be jointly tackled through an integrated strategy. This report brings together those two objectives and explores how they can more easily be achieved if considered together. It examines the potential impact of climate change and climate policies on poverty reduction. It also provides guidance on how to create a “win-win†? situation so that climate change policies contribute to poverty reduction and poverty-reduction policies contribute to climate change mitigation and resilience building. The key finding of the report is that climate change represents a significant obstacle to the sustained eradication of poverty, but future impacts on poverty are determined by policy choices: rapid, inclusive, and climate-informed development can prevent most short-term impacts whereas immediate pro-poor, emissions-reduction policies can drastically limit long-term ones.
