scholarly journals An Empirical Analysis on the Impact of RMB Exchange Rate Fluctuation on Stock Index Futures Taking Shanghai and Shenzhen 300 Stock Indexes as an Example

2018 ◽  
Author(s):  
Li Jiehui ◽  
He Jinlan
Keyword(s):  
Exchange Rate ◽  
Empirical Analysis ◽  
Stock Index ◽  
Stock Index Futures ◽  
Rmb Exchange Rate ◽  
Exchange Rate Fluctuation ◽  
Index Futures ◽  
Rate Fluctuation ◽  
Stock Indexes ◽  
The Impact

scholarly journals Changes in the USD/EUR exchange rate and their impact on the return of stock indexes from the viewpoint of a european and of an american investor

2004 ◽  
Vol 52 (6) ◽  
pp. 145-160 ◽  
Author(s):  
Oldřich Rejnuš ◽  
Oldřich Šoba
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Correlation Coefficients ◽  
Exchange Rate Fluctuation ◽  
Rate Fluctuation ◽  
Time Periods ◽  
Stock Indexes ◽  
The Impact

This article tries to analyse the impact of changes in the USD/EUR exchange rate on the return of stock indexes. We deal with investments on the American and on the European stock market made by European investors (investing in EUR) and by American investors (investing in USD) simultaneously on both these markets in the period of the last ten years. The investments are analysed from the viewpoint of five different investing periods with a common date of termination on 31 December 2003.Using correlation coefficients, we have quantified the dependence between the development of relative weekly changes in the USD/EUR exchange rate and of relative weekly changes in the value of both indexes converted to the investor’s home currency in different time periods. We have also quantified the dependence between the development of relative weekly changes in the value of both indexes under study expressed in their original currency and after conversion to the investor’s home currency.The analysis has shown that even in periods of considerable exchange rate fluctuation, the development of stock market rates had a significantly greater impact on the return of stock indexes than the development of the two currencies’ exchange rates.

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.  

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