Download or read book The Price Discovery Role of Futures Markets written by Daniel Siegel and published by . This book was released on 1991* with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiency and Price Discovery in the Stock and Index Futures Markets written by Mario Gabriel C. Reyes and published by . This book was released on 1987 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Special Issue on Futures Markets written by Jerome Leon Stein and published by . This book was released on 1992 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Econometric Analysis of the Role of Price Discovery in Futures Markets written by Nancy Ng Lo and published by . This book was released on 1988 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Discovery and Convergence in the Indian Commodities Market written by Vishwanathan Iyer and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose - The purpose of this paper is to examine whether futures markets play a dominant role in the price discovery process. The rate of convergence of information from one market to another is analyzed to infer the efficiency of futures as an effective hedging tool.Design/methodology/approach - The paper uses a two-regime threshold vector autoregression (TVAR) and a two-regime threshold autoregression for six commodities. The regimes (or states) are defined around the expiration week of the futures contract.Findings - This paper finds evidence for price discovery process happening in the futures market in five out of six commodities. However, the rate of convergence of information is slow, particularly in the non-expiration weeks. For copper, gold and silver, the rate of convergence is almost instantaneous during the expiration week of the futures contract affirming the utility of futures contracts as an effective hedging tool. In case of chickpeas, nickel and rubber the convergence worsens during the expiration week indicating the non-usability of futures contract for hedging.Originality/value - This paper extends the framework developed by Garbade et al. by superimposing a two-regime TVAR model to quantify the price discovery process. It is the first paper to analyze the differential impact of price discovery and convergence during expiration week (compared to non-expiration weeks) for the Indian commodities market.
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 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Price Discovery in the Stock Market written by John Merrick and published by . This book was released on 1987 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finance written by John Eatwell and published by Palgrave Macmillan. This book was released on 1989-11-01 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
Download or read book Three Essays on Price Discovery in the Cotton Futures Market written by Joseph Peter Janzen and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent booms and busts in commodity prices have placed renewed scrutiny on commodity futures markets as a mechanism for price discovery, the process of incorporating new information about the relative scarcity of the commodity into prices. Such concerns are not new; there has been some distrust of futures market price discovery since the inception of these markets. As these markets evolve, new market participants and institutions may influence price discovery. Using the Intercontinental Exchange (ICE) cotton futures market as a laboratory, I consider three such forces potentially responsible for poor price discovery during the 2007-2011 period of volatile cotton prices. These are financial speculation, electronic trading, and funding constraints on commercial hedgers. In Chapter 1, I study whether the increased presence of financial firms, particularly commodity index traders, drives cotton futures prices away from the levels implied by supply and demand under rational expectations. I estimate a structural vector autoregression model of the cotton futures market. My model develops a new method to point identify shocks to precautionary demand for cotton separately from shocks to current supply and demand and separately identifies the effects of two types of speculation: precautionary demand for the commodity and financial speculation. I show empirically that most cotton price variation stems from contemporaneous unanticipated shocks to current cotton supply and demand. However, the 2008 price spike came from an increase in precautionary demand due to projections of lower future production. I find no evidence in support of claims that financial speculation causes commodity booms and busts.Chapter 2 considers the introduction of electronic trading to the cotton futures market across three periods of floor trade, parallel floor and electronic trade, and electronic-only trade. I statistically decompose intraday variation in cotton prices into a component related to information about market fundamentals and a ''pricing error'' caused by frictions in the trading mechanism. Better market quality or price discovery is characterized by lower variance of the pricing error. Unlike previous studies of floor and electronic trading, I consider more than average measures of market quality. I calculate statistics for market quality for each trading day, and study their trend, variance, persistence, and relationship to other variables related to price discovery. I find that market quality improved, but became more variable under electronic trading. This relationship between electronic trading and market quality is robust to controls for changes over time in the number of trades, trading volume, and price volatility.My final chapter considers the role of funding constraints in exacerbating futures price spikes. I review the experience of commercial hedgers during the 2008 cotton futures price spike. In this period, commercial hedgers without access to credit were forced to close futures positions in an illiquid market. Losses incurred on these trades led some firms to exit the cotton merchandising business. I use facts from the cotton case to develop a dynamic model of futures market equilibrium in the short-run for cases where funding constraints for some hedging firms bind and do not bind. Analytical results show that observed futures price volatility can be explained by the relation between funding liquidity of trading firms and market liquidity. This relationship alters the trading behavior of hedgers and results in diminished price discovery.
Download or read book Contribution to Price Discovery by Orders and Trades written by Michael Chng and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Price discovery is a crucial and essential function performed by futures markets. From a futures exchange's perspective, its markets' ability to aggregate and incorporate information into prices to 'derive' the spot asset's fundamental value is a key objective of market design. We modify the Glosten-Hasbrouck model to examine the ex-ante design on ex-post price discovery of a futures market. First, we extend the model to consider a richer dynamic interaction between the price-size coordinates of orders and trades. Second, we provide two preliminary exercises to demonstrate how the presence of the contract multiplier and delayed publication of block trades affect subsequent price discovery. Despite the comprehensiveness of market design considerations, our extended base case model offers a flexible and tractable framework to guide a futures exchange in the configuration of its trading environment.
Download or read book Price Discovery in the U S Treasury Market written by Bruce Mizrach and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is the first to characterize the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The lower-bound estimate of bivariate information shares for 30-year Treasury futures typically exceeds 50% from 1998 on. Standard liquidity measures, including the proportion of trades and relative bid-ask spreads, explain daily information shares. These conclusions still hold when one controls for days of macroeconomic announcements. Finally, a 5-dimensional cointegrated system explains a high percentage of Treasury returns. In that system, the 30-year futures contract and the 5-year spot market dominate price discovery.
Download or read book Economic Purposes of Future Trading written by United States. Commodity Futures Trading Commission and published by . This book was released on 1978 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Download or read book Price Discovery and Speculation in Commodity Futures Markets written by Martin Stefan and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets for Commodities written by Joel Priolon and published by John Wiley & Sons. This book was released on 2019-01-03 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agricultural, energy or mineral commodities are traded internationally in two market categories: physical markets and financial markets. More specifically, on the financial markets, contracts are negotiated, the price of which depends on the price of a commodity. These contracts are called derivatives (futures, options contracts, swaps). This book presents, on the one hand, the characteristics of these derivatives and the markets on which they are traded and, on the other hand, those transactions that typically combine an action on the physical market and a transaction on the corresponding financial market. The understanding of commodity financial markets mainly relies on the resources of economic analysis, especially the financial economy, because the use of this discipline is essential to understanding the major operations that are conducted daily by the operators of these markets: traders, producers, processors, financiers.
Download or read book Price Discovery in Futures Markets written by Michael Steven Canter and published by . This book was released on 1996 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
