Clustering in the futures market: Evidence from S&P 500 futures contracts

2004 ◽  
Vol 24 (5) ◽  
pp. 413-428 ◽  
Author(s):  
Adam L. Schwartz ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  
Futures Market ◽  
Futures Contracts

scholarly journals Holiday effects in the South African futures market

1998 ◽  
Vol 29 (3) ◽  
pp. 119-133 ◽  
Author(s):  
C. F. Smit ◽  
E. V.D.M. Smit
Keyword(s):  
South African ◽  
Futures Market ◽  
Weekend Effect ◽  
Futures Contracts ◽  
The South ◽  
Futures Contract ◽  
Holiday Effect ◽  
Holiday Effects ◽  
Daily Returns ◽  
Local Research

International and local research in share markets offered evidence of a holiday effect. Pre-holiday mean returns are significantly higher than on other trading days. The holiday effect cannot be separated from the weekend effect, as holidays which fall on Fridays and Mondays also influence the weekend analysis. Both these effects exist in their own right. Research on international futures markets supports the existence of a holiday effect. The present study investigates the holiday effect on daily returns of the All Gold Near Futures contract, the All Industrial Near Futures contract and the All Share Near Futures contract in the South African futures market. A distinction is made between pre-holidays, post-holidays and non-holidays. None of the near futures contracts exhibit a significant holiday effect, although signs of a holiday effect are present. It is further shown that the month-end effect is not strongly influenced by the holiday effect. It is also concluded that the pre-holiday effects are not large enough to be exploited on an on-going basis in the South African futures market.

scholarly journals URGENSI PENGATURAN UNDANG-UNDANG PASAR FISIK ASET KRIPTO (CRYPTO ASSET)

2021 ◽  
Vol 13 (1) ◽  
pp. 1-15
Author(s):  
Hans Christoper Krisnawangsa ◽  
Christian Tarapul Anjur Hasiholan ◽  
Made Dharma Aditya Adhyaksa ◽  
Lourenthya Fleurette Maspaitella
Keyword(s):  
Futures Market ◽  
Legal Issues ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Legal Basis ◽  
Legal Certainty ◽  
Futures Trading ◽  
Commodity Trading ◽  
Laws And Regulations ◽  
Alternative Investment

Crypto Assets is a new alternative investment concept in Indonesia. The legal basis for regulating crypto assets currently in force in Indonesia cannot accommodate the development of the Crypto assets concept which continues to undergo significant changes. The physical market for crypto assets is incompatible when regulated by the provisions of Law Number 32 of 1997 on commodity futures trading and its amendments, namely Law Number 10 of 2011 because the physical market has conceptual differences with the provisions of the futures market in general. The object traded in the physical market is the commodity, while in the commodity futures market the object is futures contracts (and their derivatives) for commodities traded in the physical market. The scope of the commodity futures market as regulated in Article 1 of the Commodity Futures Trading Law does not accommodate commodity trading in the physical market. The urgency of regulating the physical market for crypto assets with a separate law is the implementation of the principle of legal certainty and protection of crypto asset investors. The method used in writing this journal is normative research using books, journal references, and laws and regulations that are relevant to the legal issues in this study. The results of this study indicate that the regulation of the physical law on crypto assets is needed because crypto assets should be regulated into two separate arrangements so that it is not appropriate if the regulation regarding crypto assets is only accommodated by the Commodity Futures Trading Law.

Calendar Spread Trading and the Efficiency of Australian Bank Accepted Bill Futures Market

2007 ◽  
Vol 10 (02) ◽  
pp. 157-172
Author(s):  
John A. Anderson ◽  
Steven Li
Keyword(s):  
Transaction Costs ◽  
Futures Market ◽  
Futures Contracts ◽  
Empirical Results ◽  
Holding Period ◽  
Potential Profit

This paper is concerned with the potential profit opportunities in trading calendar spreads of 90-day Bank Accepted Bill (BAB) futures contracts on the Sydney Futures Exchange (SFE) during the 1990s. It is shown that statistically significant gross profits can be generated by a naïve strategy for most of the considered holding periods ranging from 3 months to 18 months. However, after the deduction of generous transaction costs, the net profits are statistically significant only for the 6-month holding period returns. The implications of the profits produced by calendar spread trading methodology on the efficiency of the BAB futures market are also addressed. The empirical results reveal that the efficiency market hypothesis for the BAB futures market cannot be universally accepted in the 1990s.

The Optimal Wheat Futures Hedge at the Euronext Paris from a Farmer’s Perspective

2020 ◽  
Vol 69 (1) ◽  
pp. 49-63
Author(s):  
Teresa Vollmer
Keyword(s):  
Commodity Prices ◽  
Futures Market ◽  
Futures Contracts ◽  
Risk Minimization ◽  
Price Shocks ◽  
Market Participants ◽  
Hedge Ratios ◽  
Optimal Dynamic ◽  
One Year ◽  
The Cost

Futures contracts are extensively used by commer-cial market participants to hedge commodities against the risk of adverse price fluctuations. But although farmers have faced increased volatility in commodity prices in recent years, only very few of them actively use hedging as a risk management instrument. In this article we analyze the hedging potential of the Euronext milling wheat futures market for German farmers based on the estimation of optimal static as well as optimal dynamic hedge ratios. We find that both hedging approximately one year and half a year before harvesting leads to a reduction in the variance of returns compared with unhedged portfolios. But this risk minimization is achieved at the cost of lower returns on average. In addition we find that margin calls might be one of the reasons why so few farmers hedge since they cause liquidity problems especially in marketing years with unanticipated price shocks.

scholarly journals RESEARCH ON FUTURES TREND TRADING STRATEGY BASED ON SHORT TERM CHART PATTERN

2012 ◽  
Vol 13 (5) ◽  
pp. 915-930 ◽  
Author(s):  
Saulius Masteika ◽  
Aleksandras Vytautas Rutkauskas
Keyword(s):  
Historical Data ◽  
Decision Support Tool ◽  
Technical Analysis ◽  
Futures Market ◽  
Trading Strategy ◽  
Futures Contracts ◽  
Main Task ◽  
Short Term ◽  
Support Tool ◽  
Market Participants

The main task of this paper is to examine a short term trend trading strategy in futures market based on chart pattern recognition, time series and computational analysis. Specifications of historical data for technical analysis and equations for futures profitability calculations together with position size measurement are also discussed in the paper. A contribution of this paper lies in a novel chart pattern related to fractal formation and chaos theory and its application to short term up-trend trading. Trading strategy was tested with historical data of the most active futures contracts. The results have given significantly better and stable returns compared to the change of market benchmark (CRB index). The results of experimental research related to the size of trading portfolio and trade execution slippage are also discussed in the paper. The proposed strategy can be attractive for futures market participants and be applied as a decision support tool in technical analysis.

A Study of Mispricing and Parity in the Hang Seng Futures and Options Markets

2002 ◽  
Vol 05 (03) ◽  
pp. 373-394 ◽  
Author(s):  
Kelvin Wai Lung Lai ◽  
Andrew Marshall
Keyword(s):  
Transaction Costs ◽  
Causal Relationship ◽  
Economic Crisis ◽  
Futures Market ◽  
Futures Contracts ◽  
Options Markets ◽  
Empirical Results ◽  
Option Contracts ◽  
Free Region ◽  
Derivative Market

This paper examines mispricing, volatility and parity on the Hang Seng Index (HSI) options and futures market. Most of the previous research has focused on futures contracts; we update this research and extend it by considering also option contracts. It is also important to examine these issues post 1997 Asian crisis. We find mispricing of HSI futures and option contracts if no transaction costs were considered. However, by incorporating transaction costs, the HSI futures are bounded within the arbitrage free region and most of the mispricing of the HSI options disappears. Additional tests on the mispricing series reveals that most of the derivative HSI contracts are positively autocorrelated and that the mispricing series for both derivative contracts are not identical among the different contract months. From our results we cannot conclude that there is causal relationship between the mispricing and the spot index volatility. Finally, our empirical results show that for HSI derivative contracts future and option parity holds, supporting our mispricing test that the HSI derivative market is efficient and has not been adversely affected by the Asian economic crisis.

Volatility Spillover between the KOSPI 200 Spot and Futures Markets Using the VECM-DCC-GARCH Model

2011 ◽  
Vol 19 (3) ◽  
pp. 233-249
Author(s):  
Sang Hoon Kang ◽  
Seong-Min Yoon
Keyword(s):  
Information Flow ◽  
Futures Markets ◽  
Price Discovery ◽  
Spillover Effects ◽  
Spot Market ◽  
Futures Market ◽  
Market Volatility ◽  
Futures Contracts ◽  
Volatility Spillover ◽  
Asymmetric Volatility

This paper investigates the price discovery, volatility spillover, and asymmetric volatility spillover effects between the KOSPI 200 market and its futures contracts market. The investigation was performed using the VECM-DCC-GARCH approach. In the case of returns, we found a significant unidirectional information flow from the futures market to the spot market; this implies that the KOSPI 200 futures market plays an important role on the price discovery in the spot market. In addition, we found a strong bi-directional casualty involving the volatility interaction between the spot and futures markets; this implies that market volatility originating in the spot market will influence the volatility of the futures market and vice versa. We also found strong asymmetric volatility spillover effects between the two markets.

A tale of two coffees? Analysing interaction and futures market efficiency

2020 ◽  
Vol 37 (1) ◽  
pp. 89-109
Author(s):  
Mark J. Holmes ◽  
Jesús Otero
Keyword(s):  
Market Efficiency ◽  
Unit Root ◽  
Futures Market ◽  
Recursive Estimation ◽  
Futures Contracts ◽  
Futures Prices ◽  
Content Type ◽  
Spot Prices ◽  
Unit Root Testing ◽  
Price Differentials

Purpose The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices. Design/methodology/approach Futures market efficiency is associated with the existence of a long-run equilibrium relationship between spot and future prices such that coffee futures prices are unbiased predictors of future spot prices. This study applies unit root testing to daily data for futures-spot price differentials. A range of maturities for futures contracts are considered, and the study also uses a recursive approach to consider time variation in futures market efficiency. Findings The other milds and Robusta futures prices tend to be unbiased predictors for their own respective spot prices. The paper further finds that other milds and Robusta futures prices are unbiased predictors of the respective Robusta and other milds spot prices. Recursive estimation suggests that the futures market efficiency associated with these cross cases has increased, though with no clear link to the implementation of the 2007 International Coffee Agreement. Originality/value The paper draws new insights into futures market efficiency by examining the two key types of coffee and analyses the potential interactions between them. Hitherto, no attention has been paid to futures contracts of the Robusta variety. The employment of unit root testing of spot futures coffee price differentials can be viewed as more stringent than an approach based on non-cointegration testing.

scholarly journals Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index

Mathematics ◽  
2021 ◽  
Vol 9 (21) ◽  
pp. 2736
Author(s):  
Pablo Urtubia ◽  
Alfonso Novales ◽  
Andrés Mora-Valencia
Keyword(s):  
Latin American ◽  
International Market ◽  
Futures Market ◽  
Alternative Possibilities ◽  
Futures Contracts ◽  
Garch Models ◽  
Conditional Moments ◽  
Emerging Stock Markets ◽  
Asymmetric Garch ◽  
Cross Hedging

We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index, it is unclear whether a relatively successful hedge can be found. We explore the plausibility of employing futures on four stock market indices: EUROSTOXX 50, S&P500, BOVESPA, and IPC, and simulate the results that could be obtained by a hedge position based on either unconditional or conditional second order moments estimated from different asymmetric GARCH models. Several criteria for hedging effectiveness suggest that futures contracts on BOVESPA should be preferred, and that a salient reduction in risk can be achieved over the unhedged LATIBEX portfolio. The evidence in favor of a better performance of conditional moments is very clear, without significant differences among the alternative GARCH specifications.

scholarly journals INVESTIGATING THE IMPACT OF HEDGE HORIZON UPON HEDGING EFFECTIVENESS: EVIDENCE FROM NATIONAL STOCK EXCHANGE OF INDIA

2019 ◽  
Vol 18 (2) ◽  
pp. 131
Author(s):  
MANDEEP KAUR ◽  
KAPIL GUPTA
Keyword(s):  
Variance Reduction ◽  
Direct Relationship ◽  
Stock Exchange ◽  
Futures Market ◽  
Futures Contracts ◽  
Risk Averse ◽  
Risk Return ◽  
Hedging Effectiveness ◽  
The Impact ◽  
Reduction Approach

Present study attempts to investigate the impact of hedge horizon upon hedging effectiveness in Indian equity futures market by comparing hedging performance of near, next and far month futures contracts of NIFTY50 index and its 17 composite stocks. Hedging effectiveness has been measured using two approaches, namely, Variance Reduction approach and Risk-Return approach. The study finds that near month futures contracts are most effective when hedge effectiveness is measured using variance reduction approach, whereas, on the other hand, far month futures contracts are found to be most effective using risk-return approach. These results imply that for highly risk-averse investors (concerned with only minimization of risk), near month futures contracts enable effective hedging, whereas for less risk-averse investors (concerned with risk as well as return), far month futures contracts offer superior hedge effectiveness. The study also finds that coefficient of correlation between spot and futures returns is a significant factor affecting variance reduction of returns and bears direct relationship with it.

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