The impact of price limits on foreign currency futures' price volatility and market efficiency

1996 ◽  
Vol 7 (1) ◽  
pp. 13-25 ◽  
Author(s):  
Chao Chen ◽  
Jau-Lian Jeng
Keyword(s):  
Market Efficiency ◽  
Foreign Currency ◽  
Price Volatility ◽  
Price Limits ◽  
Currency Futures ◽  
Futures Price ◽  
The Impact

scholarly journals The Impact of Futures Price Volatility to Spot Market : Case of Coffee in Indonesia

2019 ◽  
Vol 15 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Anis Erma Wulandari ◽  
Harianto Harianto ◽  
Bustanul Arifin ◽  
Heny K Suwarsinah
Keyword(s):  
Exchange Rate ◽  
Price Volatility ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Price Risk ◽  
Price Inflation ◽  
Spot Prices ◽  
Futures Price ◽  
The Impact

Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and Colombia with export potential and higher national consumption concluded in 2017 while the coffee production was relatively stagnant. This was led the producer to not only the production risk but also the price risk which then emphasize the importance of futures markets existence as price risk management. This study is performed to examine the impact of futures price volatility to spot market using ARCH-GARCH toward primary data of coffee futures and spot prices of 1172 trading days starting from January 2014 to June 2018. The ARCH-GARCH analysis result indicates that futures price volatility and monetary variables are impacting the volatility of spot price. Arabica spot price volatility is impacted by volatility of Arabica futures price, inflation and exchange rate while Robusta spot price is impacted by Robusta futures price volatility and exchange rate. This is confirming that futures market plays dominant role in spot price discovery. Local futures and spot prices are also found to be significantly influenced by volatility of offshore futures prices which indicates that emerging country futures market is actually influenced by offshore futures market which the price itself used as price reference.

Economic policy uncertainty and grain futures price volatility: evidence from China

2019 ◽  
Vol 11 (4) ◽  
pp. 642-654 ◽  
Author(s):  
Xiaoyong Xiao ◽  
Qingsong Tian ◽  
Shuxia Hou ◽  
Chongguang Li
Keyword(s):  
Economic Policy ◽  
Global Financial Crisis ◽  
Price Volatility ◽  
Chinese Government ◽  
Policy Uncertainty ◽  
Futures Prices ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Futures Price ◽  
The Impact

Purpose The purpose of this paper is to investigate the influence of economic policy uncertainty (EPU) on China’s grain futures prices. Related literature has discussed several factors contributing to the dramatic boom and bust in China’s grain futures prices, but has overlooked the influence of EPU. Design/methodology/approach The study employs a newly developed time-varying parameter vector autoregressive model to study and contrast the impact of different types of uncertainty on China’s grain futures prices. The directional volatility spillover index is used to measure the impact of EPU on China’s grain futures prices and compare the differences among commodities. Findings The results show that EPU affects China’s grain futures prices significantly. The 2008 global financial crisis had stronger influence on China’s grain futures prices than other types of uncertainty. Furthermore, EPU has smaller influence on wheat futures price than on maize and soybean. The Chinese Government interventions may be the reason for this difference. Originality/value This study addresses the lack of empirical investigation on the influence of EPU on China’s grain futures price volatility.

scholarly journals The Effect Of Price Limits Changes On Return Volatility: Evidence From The Stock Exchange Of Thailand

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Sirapat Polwitoon
Keyword(s):  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Price Volatility ◽  
Price Limits ◽  
Price Limit ◽  
Return Behavior ◽  
Stock Exchange Of Thailand ◽  
Return Variance ◽  
The Impact

This paper investigates the effect of price limits changes on stock return behavior on the Stock Exchange of Thailand (SET). We compare the short run behavior of stock return under different regimes of price limits. The comparison is based on structural volatility, as measured by ratio of open-to-open return variance and close-to-close return variance. We also examine the covariance components of the 24-hour return and 12-hour return to detect the relation between limit width and the pattern of overreaction. We analyze the impact of trading volume and market value on structural volatility and overreaction as well. We find that return behavior at the SET is found to be rather consistent with those of other exchanges that employed price limit namely, Tokyo Stock Exchange and Taiwan Stock Exchange. In particular, the changes of price limit at the SET magnify the pattern of return behavior that exists before and after the changes resulting in increases in structural price volatility and overreaction during the narrow limit regime.

scholarly journals Are key market players in currency derivatives markets affected by financial conditions?

2018 ◽  
Vol 15 (2) ◽  
pp. 183-193 ◽  
Author(s):  
Ikhlaas Gurrib
Keyword(s):  
Foreign Currency ◽  
Data Set ◽  
Index Futures ◽  
Currency Futures ◽  
Financial Conditions ◽  
The Us ◽  
Foreign Currencies ◽  
Japanese Yen ◽  
Derivatives Markets ◽  
The Impact

This study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous financial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efficiency, this study compares the impact of current, 1 and 2 week lags of financial conditions onto foreign currency futures players’ net positions. The financial conditions indices used are UFCI, STLFSI, NFCI and ANFCI with weekly data set from January 2007 till December 2018. The US dollar index futures is included as a benchmark, since the financial conditions are based on US data and the most actively traded foreign currencies are paired against the USD. While RMSE and NRMSE gave mixed results into how current, 1 week and 2 weeks lagged Financial Conditions Indices (FCIs) values are related to speculators and hedgers’ net positions, lagged NFCI captured the highest correlation with both players’ net positions in Japanese Yen. 95% prediction levels encompassed the actual net positions held, including the financial crisis of 2008-2009. Forecasts were lower (higher) for hedgers (speculators) than actual net positions held during the same period. Comparatively, in the period 2016-2017, hedgers (speculators) net positions forecasts were higher (lower) than actual positions. The latter could be explained by FCIs not being affected during this period’s event, compared to net positions. While net positions data were stationary, excess kurtosis was present pointing to non-normal and autocorrelated series. This suggests the need to look into other components like non-reportable long or short positions in future analysis.

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