Price Dynamics in the Regular and E-Mini Futures Markets

2004 ◽  
Vol 39 (2) ◽  
pp. 365-384 ◽  
Author(s):  
Alexander Kurov ◽  
Dennis J. Lasser
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Price Leadership ◽  
Index Futures ◽  
Empirical Results ◽  
Informed Traders ◽  
Open Outcry ◽  
Informational Advantage

AbstractThis paper examines the price dynamics in the S&P 500 and Nasdaq-100 index futures contracts. By utilizing transactions data with attached trader type identification codes, we are able to analyze price dynamics for trades initiated by exchange locals and off-exchange customers. The empirical results show that price discovery appears to be initiated in the E-mini index futures contracts and that trades initiated by exchange locals seem to be more informative than those initiated by off-exchange traders. Furthermore, results show that exchange locals appear to make informed trades on the E-mini contracts around large trades that occur on the open outcry floor. We maintain that the exchange locals' ability to observe pit dynamics may contribute toward explaining the price leadership of the Emini contracts. Overall, the results are consistent with the notion that exchange locals are informed traders who derive their informational advantage from the proximity to order flow.

scholarly journals The Future of Price: Communicative Infrastructures and the Financialization of Indian Tea

2015 ◽  
Vol 31 (1) ◽  
pp. 4-29 ◽  
Author(s):  
Sarah Besky
Keyword(s):  
Futures Markets ◽  
Digital Technologies ◽  
Northeast India ◽  
Futures Contracts ◽  
Face To Face ◽  
Tea Industry ◽  
Open Outcry ◽  
The Government ◽  
Derivatives Markets ◽  
Indian Tea

For more than 150 years, most tea grown on plantations in northeast India has been sold in open-outcry auctions in Kolkata. In this essay, I describe how, in 2009, the Tea Board of India, the government regulator of the tea trade, began to convert auctioning from a face-to-face outcry process to a face-to-computer digital one. The Tea Board hoped that with the implementation of digital technologies, trade would soon revolve around the buying and selling of futures contracts, not individual lots of tea. Despite these efforts, the tea industry has thus far resisted all attempts at financialization. That so prominent a commodity as tea has yet to be financialized provides a unique opportunity to examine the how of financialization—the governmental and technical steps that precede futures and other kinds of derivatives markets. Futures markets rely on a standardized notion of price and of the material things being priced. The story of Indian tea’s resistance to financialization shows how such standardization requires not just a disentangling of commodities at the level of productive infrastructure (that is, the separation of individual trader and thing being traded) but also a reworking of the communicative infrastructure of trading. In this essay, I analyze this reworking by examining the effort to reform how tea is priced at auction. Specifically, I describe a transition in tea valuation from socially embedded price stories to standardized price scenarios.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

scholarly journals Hedging effectiveness for international index futures markets

2018 ◽  
Vol 32 (1) ◽  
pp. 149-159
Author(s):  
Alexandros Koulis ◽  
George Kaimakamis ◽  
Christina Beneki
Keyword(s):  
Futures Markets ◽  
Futures Contracts ◽  
Index Futures ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
The Usa ◽  
Conventional Models ◽  
Market Indexes

Abstract This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countries

Does Index Futures Dominate Index Spot? Evidence from Taiwan Market

2002 ◽  
Vol 05 (02) ◽  
pp. 255-275 ◽  
Author(s):  
Ching-Chung Lin ◽  
Shen-Yuan Chen ◽  
Dar-Yeh Hwang ◽  
Chien-Fu Lin
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
Spot Market ◽  
Stock Index ◽  
Index Futures ◽  
Volatility Spillovers ◽  
Egarch Model ◽  
Intraday Data

By utilizing vector error correction model (VECM) and EGARCH model, this article uses 5-minute intraday data to examine the interaction of return and volatility between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the newly introduced TAIEX futures. VECM model shows that there exists bi-directional Granger causality between index spot and index futures markets, but spot market plays a more important role in price discovery. The results of impulse response function and information share indicate that most of the price discovery happens in index spot market. The evidence of EGRACH shows that the impacts of spot and futures innovations are asymmetrical, and the volatility spillovers between spot and futures markets are bi-directional. However, the information flow from spot to futures is stronger. These results suggest that the TAIEX spot market dominates the TAIEX futures market in terms of return and volatility.

A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures

2002 ◽  
Vol 05 (02) ◽  
pp. 277-300 ◽  
Author(s):  
Shen-Yuan Chen ◽  
Ching-Chung Lin ◽  
Pin-Huang Chou ◽  
Dar-Yeh Hwang
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spot Market ◽  
Ratio Test ◽  
Variance Ratio ◽  
Index Futures ◽  
Hedging Effectiveness ◽  
Daily Data ◽  
Relationship Of ◽  
The Bayesian Approach

This article uses daily data from July 21, 1998 to July 31, 2000 to examine the hedging effectiveness, price behavior, and lead-lag relationship of SGX MSCI Taiwan index futures and TAIFEX TAIEX futures. By applying the Bayesian approach using Gibbs sampler, we find that TAIFEX index futures has a better hedging performance. A variance ratio test reveals that mean reversion and negative correlation of returns exist in SGX index futures. Only TAIFEX TAIEX futures is cointegrated with TAIEX spot. The uni-directional Granger causality between the two futures markets and spot market are from SGX to TAIEX and from TAIEX to TAIFEX. In terms of price discovery, SGX MSCI Taiwan index futures play a more important role than TAIFEX TAIEX futures.

scholarly journals Islamic spot and index futures markets: Where is the price discovery?

2018 ◽  
Vol 52 ◽  
pp. 123-133 ◽  
Author(s):  
Hande Karabiyik ◽  
Paresh Kumar Narayan ◽  
Dinh Hoang Bach Phan ◽  
Joakim Westerlund
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Index Futures

scholarly journals Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

2020 ◽  
Author(s):  
Steffen Volkenand ◽  
Günther Filler ◽  
Martin Odening
Keyword(s):  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Trading Activity ◽  
Agricultural Futures ◽  
Price Discovery Process ◽  
Qualitative Characteristics

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70 percent of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without consideration of market reflexivity.

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