Small Traders in Currency Futures Markets Format

2010 ◽  
Author(s):  
Andreas Röthig ◽  
Carl Chiarella
Keyword(s):  
Futures Markets ◽  
Currency Futures ◽  
Small Traders

scholarly journals Small traders in currency futures markets

2010 ◽  
Vol 31 (9) ◽  
pp. 898-914 ◽  
Author(s):  
Andreas Röthig ◽  
Carl Chiarella
Keyword(s):  
Futures Markets ◽  
Currency Futures ◽  
Small Traders

US Monetary Policy Surprises and Currency Futures Markets: A New Look

2008 ◽  
Author(s):  
Tao Wang ◽  
Jian Yang ◽  
Marc William Simpson
Keyword(s):  
Monetary Policy ◽  
Futures Markets ◽  
Currency Futures ◽  
Us Monetary Policy ◽  
New Look

Return, Trading Volume, and Market Depth in Currency Futures Markets

2008 ◽  
Author(s):  
Ai-ru Meg Cheng ◽  
Yin-Wong Cheung
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Market Depth ◽  
Currency Futures

U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look

2008 ◽  
Vol 43 (4) ◽  
pp. 509-541 ◽  
Author(s):  
Tao Wang ◽  
Jian Yang ◽  
Marc W. Simpson
Keyword(s):  
Monetary Policy ◽  
Futures Markets ◽  
Currency Futures ◽  
New Look

CROSS-SPECULATION IN CURRENCY FUTURES MARKETS

2011 ◽  
Vol 17 (3) ◽  
pp. 272-278 ◽  
Author(s):  
Andreas Röthig
Keyword(s):  
Futures Markets ◽  
Currency Futures

An Empirical Study on the Asymmetric Effects of Trading Volume Information in int‘l Currency Futures Markets: Advanced vs Emerging Markets

2012 ◽  
Vol 20 (2) ◽  
pp. 237-264
Author(s):  
Chung-Hyo Hong
Keyword(s):  
Emerging Markets ◽  
Trading Volume ◽  
Futures Markets ◽  
Spillover Effects ◽  
Canadian Dollar ◽  
Strong Impact ◽  
Price Changes ◽  
Empirical Results ◽  
Currency Futures ◽  
Japanese Yen

This paper tested the conditional mean spillover effects between trading volume and price changes in international currency futures markets. We use 8 kinds of currency futures markets such as Japanese yen, British pound, Australian and Canadian dollar as the advanced market and Korean Won/Dollar, Brazilian Real, Russian rubul and South African's land futures as the emerging markets. The sample period is covered from May 19, 2006 to March 15, 2009. For this purpose we employed dynamic time series model such as Nelson (1991)'s Exponential GARCH (1, 1)-M. The major empirical results are as follows; First, according to the empirical results of 4 advanced currency futures markets, we find that the open interests have a strong impact on the price changes at a statistically significant level. In case of the British pound and Canadian dollar futures, the price changes also have influence on the open interests. Second, according to the empirical results of 4 emerging currency futures markets, only Russian currency futures' open interest has an impact on the price change but the price changes of the remain 3 countries have an impact on open interests respectively at a significant level. Third, we also find that there is a asymmetric volatility spillover effects between open interests and price changes in all the advanced and emerging currency futures markets. Fourth, according to Granger causality test the influence of Japanese yen, Australian and Canadian dollar and Brazilian Real futures on the other currency futures markets are dominant. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

The impact of FOMC announcements on currency futures markets

2019 ◽  
Vol 26 (19) ◽  
pp. 1590-1596
Author(s):  
Yiuman Tse
Keyword(s):  
Futures Markets ◽  
Currency Futures ◽  
The Impact
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