The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements

2004 ◽  
Vol 7 (1) ◽  
pp. 1-24 ◽  
Author(s):  
Kerstin Bernoth ◽  
Jurgen von Hagen
Keyword(s):  
Market Efficiency ◽  
Futures Market ◽  
The Impact

scholarly journals PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA

2017 ◽  
Vol 21 (1) ◽  
pp. 17
Author(s):  
Sukmawati Sukamulja ◽  
Sony Fidanti
Keyword(s):  
Market Efficiency ◽  
Spot Market ◽  
Futures Market ◽  
Market Volatility ◽  
Future Contract ◽  
Underlying Asset ◽  
Futures Contract ◽  
Asset Volatility ◽  
The One ◽  
The Impact

There were some contradictory between the impacts of futures contract to the volatility of underlying asset. In the one side, some researches concluded that futures transaction affect to underlying asset volatility, but in the other side said the future contract not had impact to the volatility of underlying asset. The results were not robust yet. Futures market in Indonesia started with LQ45 futures. The LQ45 futures had been stopped in 2009, just only nine years after it was opened. And then, after seven years off, the LQ45 futures started be operated on February 1, 2016. This research want to examine the impact of futures contract to the underlying spot market volatility. Beside that, this research also want to analyze the affect of futures contract to the market efficiency during 2001-2009 with GARCH (1,1) model. The result says that there is no futures index contract impact to their underlying spot market volatility, even though there is decreasing in volatility during the testing period. This research also find that futures contract index has impact to the market sensitivity and then increase the market efficiency.

scholarly journals The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China

2012 ◽  
Author(s):  
Wang Chun Wei ◽  
Alex Frino
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Stock Index Futures ◽  
Contagion Effect ◽  
Index Futures ◽  
Empirical Results ◽  
Open Session ◽  
The Impact ◽  
Closure Theory

This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning.  

scholarly journals The changing landscape of economy: social and technological progress in explaining the informational efficiency of capital markets

2020 ◽  
Vol 14 (1) ◽  
pp. 940-952
Author(s):  
Iuliana Ursu
Keyword(s):  
Market Efficiency ◽  
Capital Markets ◽  
Technological Progress ◽  
Bayesian Model Averaging ◽  
Negative Impact ◽  
Efficient Market Hypothesis ◽  
Social Progress ◽  
Informational Efficiency ◽  
Market Mechanisms ◽  
The Impact

AbstractIn today’s ever-changing landscape of economy, one of the fundamental problems remains whether market mechanisms are functioning in an efficient way, and which are the variables impacting those levels of efficiency. The main objectives of the present paper are to contribute to a better understanding of market mechanisms, by testing the Efficient market hypothesis on its weak form at a macroeconomic level, and to assess the impact of technological and social progress, measured through different variables, on markets informational efficiency. We use an adapted version of L. Kristoufek si M. Vosvrda (L. Kristoufek, M. Vosvrda, 2013, 184) methodology for Efficiency Index, based on long term memory (using 2 estimators), fractal dimension (using 11 estimators), and entropy (estimated through the approximate entropy), in order to assess the levels of efficiency for 20 market indices from both developed and emerging or frontier economies, from the Eurasia region. Further on, by using the Bayesian Model Averaging (BMA), we study the impact of technological and social progress on markets informational efficiency. Main results of the study reveal the existence of a market dynamics characterized by areas with distinctive levels of “informational efficiency”, within both developed and emerging economies, encompassing a non-negligible link between past and present, persistence or anti-persistence, and a high data complexity. Moreover, while studying the relationship between market efficiency and social and technological progress, we observe that variables such as Government Effectiveness, or Control of Corruption, have a positive impact on the levels of efficiency of capital markets, while most of the technological progress estimators (amongst which Computer, communications and other services (% of commercial service exports), or Individuals using the Internet (% of population)), have a negative impact, translated into a decrease of informational market efficiency on the short run (the rise of high frequency trading).

scholarly journals Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data

2017 ◽  
Vol 34 (69) ◽  
pp. 3-23
Author(s):  
Jeremías Lachman ◽  
Pablo Jack
Keyword(s):  
Comparative Analysis ◽  
Information Transmission ◽  
Market Efficiency ◽  
Futures Markets ◽  
Buenos Aires ◽  
Relevant Information ◽  
Futures Market ◽  
Daily Data ◽  
Agricultural Futures ◽  
The One

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

An Empirical Research of Impact of the Merger of Pan-European and Oslo Stock Exchanges on the Efficiency of Tobacco Securities Market

2021 ◽  
Vol 7 (4) ◽  
pp. 568-587
Author(s):  
Dongpeng Xu ◽  
Deqin Lin ◽  
Dan Zhang
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Secondary Market ◽  
Securities Market ◽  
Stock Exchanges ◽  
Market Returns ◽  
Market Theory ◽  
Efficient Market Theory ◽  
The Impact

Objectives: Europe is one of the important markets for traditional tobacco. We analyzed the impact of exchange consolidation on securities market efficiency, so as to enable tobacco enterprises to improve the financing efficiency of the stock market and carry out transformation and upgrading. Methods: In this work. We’re based on efficient market theory, the merger of Pan-European Stock Exchange and Oslo Stock Exchange, Norway in June 2019 is analyzed through empirical analysis. The logarithmic returns of 25 listed companies in the Oslo Stock Exchange OBX-25 index were analyzed using OLSN Chow and KPSS tests. Results: It is found that of 72% of securities, the explanatory power of market returns for securities returns is increased, which shows significant improvement in market efficiency. The merger of stock exchanges can indeed improve the market efficiency. In addition, through the KPSS test, it is found that the merger of stock exchanges can improve the market efficiency. As time goes by, however, the validity decreases. Conclusion: The improvement of the efficiency of the securities market will be conducive to the financing efficiency of listed tobacco companies in the secondary market, promote the transformation of enterprises, and contribute to the tobacco control and the health of the population in Europe.

Analysis of risk spillover effect of copper option in China

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Wuyi Ye ◽  
Yiqi Wang ◽  
Jinhai Zhao
Keyword(s):  
Value At Risk ◽  
Risk Model ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Futures Market ◽  
Content Type ◽  
Conditional Autoregressive ◽  
Derivative Markets ◽  
The Impact ◽  
Risk Spillover Effects

Purpose The purpose of this paper is to compare the changes in the risk spillover effects between the copper spot and futures markets before and after the issuance of copper options, analyze the risk spillover effects between the three markets after the issuance of the options and can provide effective suggestions for regulators and investors who hedge risks. Design/methodology/approach The MV-CAViaR model is an extended form of the vector autoregressive model (VAR) to the quantile model, and it is also a special form of the MVMQ-CAViaR model. Based on the VAR quantile model, this model has undergone continuous promotion of the Conditional Autoregressive Value-at-Risk Model (CAViaR) and the Multi-quantile Conditional Autoregressive Value-at-Risk Model (MQ-CAViaR), and finally got the current form of the model. Findings The issuance of options has led to certain changes in the risk spillover effect between the copper spot and its derivative markets, and the risk aggregation effect in the futures market has always been significant. Therefore, when supervising the copper product market and investors using copper derivatives to avoid market risks, they need to pay attention to the impact of futures on the spot market, the impact of options on the futures market and the risk spillover effects of spot and futures on the options market. Practical implications The empirical results of this paper can be used to hedge market risk investment strategies, and the changes in market relationships also provide an effective basis for the supervision of the copper product market by the supervisory authority. Originality/value It is the first literature research to discuss the risk and the impact of spillover effects of copper options on China copper market and its derivative markets. The MV-CAViaR model can capture the mutual risk influence between markets by modeling multiple markets simultaneously.

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