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The Role Of Futures Trading In Spot Market Fluctuations
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Book Synopsis The Role of Futures Trading in Spot Market Fluctuations by : Ali F. Darrat
Download or read book The Role of Futures Trading in Spot Market Fluctuations written by Ali F. Darrat and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of index futures trading in spot market volatility. We use the exponential generalized auto-regressive conditional heteroskedasticity (EGARCH) approach to measure volatility, analyze causality and feedback relations between volatilities in the spot and futures markets, and test various hypotheses in the context of a multivariate model that incorporates other macrostate variables. Our empirical results suggest index futures trading may not be blamed for the observed volatility in the spot market. Rather, we find stronger and more consistent support for the alternative posture that volatility in the futures market is an outgrowth of a turbulent cash market. We use the regret (cognitive dissonance) theory to explain our results.
Book Synopsis Effects of Futures Trading on Spot Price Fluctuations by : Ronald Britto
Download or read book Effects of Futures Trading on Spot Price Fluctuations written by Ronald Britto and published by . This book was released on 1984 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Economic Function of Futures Markets by : Jeffrey Williams
Download or read book The Economic Function of Futures Markets written by Jeffrey Williams and published by CUP Archive. This book was released on 1989-10-27 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an explanation of why commodity processors and dealers use futures markets. It argues that they use futures contracts as part of an implicit method of borrowing and lending commodities, contrary to the accepted view of dealers averse to the fluctuating value of their inventories wanting insurance against price risk. Employing models developed to explain the demand for money, this book demonstrates that risk-neutral dealers have sufficient reason to use futures markets. Moreover, the book exposes major internal inconsistencies in the accepted explanation. Rather than insurance markets, the appropriate analogy is the money market, which is the point the book establishes through discussing actual loan markets in commodities. This insight into the function of futures markets is then used to explain how futures prices for different delivery dates express a term structure of commodity-specific interest rates and why futures markets flourish for some types of commodities and not for others.
Book Synopsis Futures Markets (Routledge Revivals) by : Barry Goss
Download or read book Futures Markets (Routledge Revivals) written by Barry Goss and published by Routledge. This book was released on 2013-05-02 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1986, this book discusses many important aspects of the theory and practice of Futures Markets. It describes how they, at the time, grew to be an increasingly important feature of the world's major financial centres. Indeed, they adopted the role of being efficient forward pricing mechanisms and this was reflected by the interest of economists in the study of risk, uncertainty and information. Here, the contributors focus on areas that were of concern in the late 1980s such as feasibility, forward pricing and returns, and the modelling of price determination in Futures Markets. Evidence is drawn from twenty-five different commodities representing all the major commodity groups; and from all the world's major centres of Futures Trading.
Book Synopsis Derivatives Trading and Spot Market Volatility by : David Cronin
Download or read book Derivatives Trading and Spot Market Volatility written by David Cronin and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Futures Trading and the Level and Volatility of Spot Prices by : Ronald Britto
Download or read book Futures Trading and the Level and Volatility of Spot Prices written by Ronald Britto and published by . This book was released on 1985 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Behavioral Finance by : Lucy F. Ackert
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.
Book Synopsis Understanding Futures Markets by : Robert W. Kolb
Download or read book Understanding Futures Markets written by Robert W. Kolb and published by Pearson Scott Foresman. This book was released on 1988 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Theory of Futures Trading (Routledge Revivals) by : Barry Goss
Download or read book The Theory of Futures Trading (Routledge Revivals) written by Barry Goss and published by Routledge. This book was released on 2013-04-17 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1972, this book provides an important critical review on the theory of futures trading. B. A. Goss looks at the work and ideas of Keynes and Hicks on futures, and considers how these have also been developed by Kaldor. He discusses the evolution of the concept of hedging in the context of buying forward into the markets, and considers theories of market and individual equilibrium. Goss draws on the work of other economists in this field, including Stein, Telser, Peston and L. L. Johnson, in order to illustrate the development of theory in futures trading. The book includes fifteen figures that illustrate diagrammatically the concepts involved, and the concluding section contains a series of problems for examination by the student.
Download or read book Spot Market written by Fouad Sabry and published by One Billion Knowledgeable. This book was released on 2024-01-22 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is Spot Market The spot market, often known as the cash market, is a public financial market that facilitates the acquisition and sale of financial instruments or commodities for immediate delivery. On the other hand, a futures market, in which delivery is scheduled for a later date, is not the same thing. The settlement process in a spot market typically takes place in T+2 working days, which means that the delivery of cash and commodities must be completed after two working days have passed since the date of the trade. An exchange or an over-the-counter (OTC) market are both viable options for using a spot market. Spot markets are able to function in any location where the necessary infrastructure is present to carry out the transaction. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Spot market Chapter 2: Derivative (finance) Chapter 3: Commodity market Chapter 4: Futures contract Chapter 5: Forward contract Chapter 6: Hedge (finance) Chapter 7: Spot contract Chapter 8: Commodity Futures Modernization Act of 2000 Chapter 9: Swap (finance) Chapter 10: Over-the-counter (finance) Chapter 11: Brent Crude Chapter 12: Foreign exchange option Chapter 13: Contract for difference Chapter 14: Securities market Chapter 15: Non-deliverable forward Chapter 16: Energy derivative Chapter 17: Option (finance) Chapter 18: Weather risk management Chapter 19: LCH (clearing house) Chapter 20: GFI Group Chapter 21: London bullion market (II) Answering the public top questions about spot market. (III) Real world examples for the usage of spot market in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Spot Market.
Book Synopsis Establishing a Foreign Exchange Futures Market in China by : Mr. Zhongxia Jin
Download or read book Establishing a Foreign Exchange Futures Market in China written by Mr. Zhongxia Jin and published by International Monetary Fund. This book was released on 2021-11-12 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: During China’s transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already exist in China, it lacks a FX futures market that offers critical complementarities. With standardized products, greater transparency and centralized oversight, a FX futures market can better satisfy the hedging needs of small and medium-sized enterprises and enhance regulatory efficiency. To address concerns regarding whether FX futures market will amplify the volatility of spot exchange rates, this paper analyzes the impact of establishing FX futures markets on spot market volatility using data from major emerging market economies. The result shows that FX futures market is not empirically associated with an increase in spot market volatility; in some cases, it is even associated with a decrease in spot market volatility. This paper further suggests that for a well-functioning FX futures market to be established, it is essential for China to substitute the inefficient documentation requirement of underlying exposures with a new set of market-oriented measures for the purpose of prudent regulation.
Book Synopsis Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? by : Ms.Laura E. Kodres
Download or read book Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? written by Ms.Laura E. Kodres and published by International Monetary Fund. This book was released on 1998-02-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the Mexican peso, the Brazilian real, and the Hungarian forint futures contracts on the respective spot markets. While measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility.
Book Synopsis Effect of Futures Trading on Spot Market Volatility by : Brajesh Kumar
Download or read book Effect of Futures Trading on Spot Market Volatility written by Brajesh Kumar and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.
Book Synopsis Interest Rate Futures Markets and Capital Market Theory by : Klaus Kobold
Download or read book Interest Rate Futures Markets and Capital Market Theory written by Klaus Kobold and published by Walter de Gruyter. This book was released on 1986 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.
Book Synopsis Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices by : Hun Y. Park
Download or read book Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices written by Hun Y. Park and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.
Book Synopsis Trading with the Future and Futures Trading by : Leonardo Auernheimer
Download or read book Trading with the Future and Futures Trading written by Leonardo Auernheimer and published by . This book was released on 1985 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this booklet, one of a series intended to apply economic principles to major social and political issues of the day, it is proposed that speculation is often misunderstood, particularly in the operation of the futures markets. These are markets in which obligations to consummate sales and purchases at some time in the future are traded at a price specified today. Part 1 of the booklet offers a simplified analysis of some of the elementary economics of transactions involving time. Part 2 analyzes the nature of futures and options markets, and discusses the reasons for their existence, their evolution, and some of the basics involved in their operations. Part 3 is an account of the entities subject to futures and options trading, such as commodities, bonds, shares of corporations, and foreign exchange, and describes the most prominent features of the futures and options markets related to such entities. Finally, Part 4 discusses the social usefulness of futures markets, a few of the common criticisms, and the role of government regulation. (IS)
Book Synopsis Economics of Futures Trading by : B.A. Goss
Download or read book Economics of Futures Trading written by B.A. Goss and published by Springer. This book was released on 1976-06-18 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
