Futures Trading Spot Price Volatility And Market Efficiency PDF Download
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Author | : Chyi Lin Lee |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Futures Trading, Spot Price Volatility and Market Efficiency Book in PDF, ePub and Kindle
In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Sequin (1992) and the Gray's (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and qualify of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naive and Ordinary Least Squares models). The empirical results also show that contracts are effective hedging instruments, leading to a reduction in risk of 64%.
Author | : Shen Cao |
Publisher | : |
Total Pages | : |
Release | : 2007 |
Genre | : |
ISBN | : |
Download The Futures Market Efficiency of Gold, Silver and Copper Book in PDF, ePub and Kindle
Author | : Barry Goss |
Publisher | : Routledge |
Total Pages | : 187 |
Release | : 2013-05-13 |
Genre | : Business & Economics |
ISBN | : 1135639361 |
Download Models of Futures Markets Book in PDF, ePub and Kindle
This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.
Author | : Hun Y. Park |
Publisher | : |
Total Pages | : 56 |
Release | : 1989 |
Genre | : Prices |
ISBN | : |
Download Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices Book in PDF, ePub and Kindle
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.
Author | : Joseph M. Burns |
Publisher | : Studies in Economic Policy |
Total Pages | : 164 |
Release | : 1979 |
Genre | : Business & Economics |
ISBN | : |
Download A Treatise on Markets Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 1314 |
Release | : 1992 |
Genre | : Commodity exchanges |
ISBN | : |
Download The Review of Futures Markets Book in PDF, ePub and Kindle
Author | : Malcolm L. Edey |
Publisher | : |
Total Pages | : 88 |
Release | : 1988 |
Genre | : Financial futures |
ISBN | : |
Download Pricing Behaviour in Australian Financial Futures Markets Book in PDF, ePub and Kindle
Author | : B. A. Goss |
Publisher | : Taylor & Francis |
Total Pages | : 248 |
Release | : 1986 |
Genre | : Commodity exchanges |
ISBN | : 9780709911814 |
Download Futures Markets Book in PDF, ePub and Kindle
Author | : Wale Dare |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download On Market Efficiency and Volatility Estimation Book in PDF, ePub and Kindle
We propose a non-parametric procedure for estimating the realized spot volatility of a price process described by an Itô semimartingale with Lévy jumps. The procedure integrates threshold jump elimination technique of Mancini (2009) with a frame (Gabor) expansion of the realized trajectory of spot volatility. We show that the procedure converges in probability in L2([0; T]) for a wide class of spot volatility processes, including those with discontinuous paths. Our analysis assumes the time interval between price observations tends to zero; as a result, the intended application is for the analysis of high frequency financial data. We investigate practical tests of market efficiency that are not subject to the joint-hypothesis problem inherent in tests that require the specification of an equilibrium model of asset prices. The methodology we propose simplify the testing procedure considerably by reframing the market efficiency question into one about the existence of a local martingale measure. As a consequence, the need to directly verify the no dominance condition is completely avoided. We also investigate market efficiency in the large financial market setting with the introduction of notions of asymptotic no dominance and market efficiency that remain consistent with the small market theory. We obtain a change of numeraire characterization of asymptotic market efficiency and suggest empirical tests of inefficiency in large financial markets. We argue empirically that the U.S. treasury futures market is informational inefficient. We show that an intraday strategy based on the assumption of cointegrated treasury futures prices earns statistically significant excess return over the equally weighted portfolio of treasury futures. We also provide empirical backing for the claim that the same strategy, financed by taking a short position in the 2-Year treasury futures contract, gives rise to a statistical arbitrage.
Author | : Lucy F. Ackert |
Publisher | : South Western Educational Publishing |
Total Pages | : 0 |
Release | : 2010 |
Genre | : Investments |
ISBN | : 9780538752862 |
Download Behavioral Finance Book in PDF, ePub and Kindle
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.