The dynamics of the relationship between spot and futures markets under high and low variance regimes

2009 ◽  
Vol 25 (6) ◽  
pp. 696-718 ◽  
Author(s):  
Ming-Yuan Leon Li
Keyword(s):  
Futures Markets ◽  
The Relationship

Assessing the relationship between closing prices and trading volume in the US livestock futures markets

2020 ◽  
Vol 37 (3) ◽  
pp. 413-428
Author(s):  
Dimitrios Panagiotou ◽  
Alkistis Tseriki
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Quantile Regressions ◽  
Content Type ◽  
Feeder Cattle ◽  
Daily Data ◽  
The Us ◽  
Volume Relationship ◽  
Agricultural Futures ◽  
The Relationship

Purpose The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.

The relationship between Asian equity and commodity futures markets

2013 ◽  
Vol 28 ◽  
pp. 67-75 ◽  
Author(s):  
Kannan S. Thuraisamy ◽  
Susan Sunila Sharma ◽  
Huson Joher Ali Ahmed
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Commodity Futures Markets ◽  
The Relationship

scholarly journals The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase

2020 ◽  
Vol 12 (6) ◽  
pp. 2517 ◽  
Author(s):  
Hao Chen ◽  
Zhixin Liu ◽  
Yinpeng Zhang ◽  
You Wu
Keyword(s):  
Phase Ii ◽  
Futures Markets ◽  
Garch Model ◽  
Futures Market ◽  
Phase Iii ◽  
Volatility Spillover ◽  
Dynamic Correlation ◽  
Third Phase ◽  
Highly Correlated ◽  
The Relationship

Based on the prices selected from European Energy Exchange (EEX) from 2013 to 2018, we investigate the inter-correlation of carbon spot and futures markets. Specifically, we adopt the widely used DCC-GARCH model and VAR-BEKK-GARCH model to conduct a comprehensive analysis on the carbon market, i.e., the dynamic correlation and volatility spillover between carbon spot and carbon futures. Moreover, we develop a hedge strategy based on the VAR-BEKK-GARCH model and calculate the hedging effectiveness (HE) value to evaluate the strategy performance. The empirical results show that (i) during our sample period, carbon spot and futures markets are highly correlated, (ii) carbon spot overflows to the futures market and vice versa, and (iii) the HE value is equal to 0.9370, indicating a good performance for the hedging strategy. Then, we provide further discussion on the relationship between carbon spot and futures markets by replacing our dataset with the data of phase II. The results do not change our conclusions on the dynamic correlation and volatility spillover. However, the HE value of phase III is higher than that of phase II, which indicates that the carbon futures market of phase III is not only an available market to hedge risk from the contemporaneous carbon spot market but also has a better hedge effectiveness than phase II.

scholarly journals PRICE DISCOVERY AND VOLATILITY TRANSMISSION IN AUSTRALIAN REIT CASH AND FUTURES MARKETS

2016 ◽  
Vol 20 (2) ◽  
pp. 113-129 ◽  
Author(s):  
Ming-Te LEE ◽  
Shew-Huei KUO ◽  
Ming-Long LEE ◽  
Chyi Lin LEE
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Futures Market ◽  
Real Estate Investment Trust ◽  
Real Estate Investment ◽  
Index Futures ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Cash Market ◽  
The Relationship

This study examines the price discovery function and volatility spillovers in australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global fi- nancial crisis (gfc) on these two features. as opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the a-reIt futures market in price discovery and volatility transmission processes before the gfc. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., in- formation flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.

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