The Relationship Between Volume And Price Variability In Futures Markets PDF Download
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Author | : Bradford Cornell |
Publisher | : |
Total Pages | : 42 |
Release | : 1980 |
Genre | : |
ISBN | : |
Download The Relationship Between Volume and Price Variability in Futures Markets Book in PDF, ePub and Kindle
Author | : Michael Jacobs |
Publisher | : |
Total Pages | : 19 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download A Bivariate Generalized Autoregressive Conditional Heteroscedasticity-in-Mean Study of the Relationship between Return Variability and Trading Volume in International Futures Markets Book in PDF, ePub and Kindle
The relationship between trading volume and price changes in futures markets continues to be of interest mainly due to the inconclusive nature of the results reported so far in the literature (Karpoff, 1987). One source of controversy centers on the empirical distribution of futures price changes (Sterge, 1989).A recent study by Najand and Yung (1991) concludes that price changes in U.S. Treasury bond futures markets are best characterized by a time series model that allows for generalized autocorrelation as well as conditional heteroscedasticity (GARCH) in the second moments. Using this GARCH framework, Najand and Yung (1991) document a positive relationship between price variability and trading volume, consistent with both the mixture of distributions hypothesis (Clark, 1973), several se-quential equilibrium models of speculative markets (Copeland, 1976), and certain newer classes of noisy rational expectations equilibria (Blume, Easley, and O'Hara, 1994; Easley, Keifer, and O'Hara, 1994). This paper extends Najand and Yung's (1991) study in two ways. First, a cross-section of international futures markets is examined. A study of international futures markets is important because it provides independent verification of the results obtained in domestic markets. Second, a bivariate exponential GARCH(1,1)-in-mean model is used. In ad-dition to allowing for autocorrelation in the first and second moments, this model has the advantages of avoiding simultaneity bias with regard to the effect of volume on price volatility, allowing for nonlinearities in the second moments, as well as providing a means for estimating a risk premium.
Author | : Jonathan Batten |
Publisher | : |
Total Pages | : 34 |
Release | : 1993 |
Genre | : Foreign exchange |
ISBN | : |
Download Volume and Price Volatility in Yen Futures Markets Book in PDF, ePub and Kindle
Author | : Hendrik Bessembinder |
Publisher | : |
Total Pages | : 36 |
Release | : 1992 |
Genre | : Futures |
ISBN | : |
Download Price Volatility, Trading Volume, and Market Depth Book in PDF, ePub and Kindle
Author | : Barry Goss |
Publisher | : Routledge |
Total Pages | : 227 |
Release | : 2013-05-02 |
Genre | : Business & Economics |
ISBN | : 1135047502 |
Download Futures Markets (Routledge Revivals) Book in PDF, ePub and Kindle
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.
Author | : Michael James Shelley |
Publisher | : |
Total Pages | : 62 |
Release | : 1985 |
Genre | : Foreign exchange futures |
ISBN | : |
Download An Examination of the Relationship Between Trading Volume and Price Volatility for Two Foreign Currency Futures Exchanges Book in PDF, ePub and Kindle
Author | : Anastasios G Malliaris |
Publisher | : World Scientific |
Total Pages | : 844 |
Release | : 2015-08-06 |
Genre | : Business & Economics |
ISBN | : 9814566934 |
Download The World Scientific Handbook Of Futures Markets Book in PDF, ePub and Kindle
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 | : Dennis W. Carlton |
Publisher | : |
Total Pages | : 36 |
Release | : 1983 |
Genre | : Commodity exchanges |
ISBN | : |
Download The Cost of Eliminating a Futures Market, and the Effect of Inflation on Market Interrelationships Book in PDF, ePub and Kindle
Author | : Hendrik Bessembinder |
Publisher | : |
Total Pages | : 14 |
Release | : 1992 |
Genre | : Futures market |
ISBN | : |
Download Price Volatility, Trading Volume, and Market Depth in Futures Markets 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.