Futures Market Liquidity During the Financial Crisis

2012 ◽  
Author(s):  
Craig Furfine
Keyword(s):  
Financial Crisis ◽  
Futures Market ◽  
Market Liquidity

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 An Empirical Study on Effects of US Treasury Futures Market on the KTB Futures Market and Its Information Transfer Effect – Mainly after the Global Financial Crisis

2015 ◽  
Vol 7 (12) ◽  
pp. 262
Author(s):  
Kim Sung-Hyun ◽  
Park Sang-Bum
Keyword(s):  
Financial Crisis ◽  
Information Transfer ◽  
Global Financial Crisis ◽  
Futures Market ◽  
Future Market ◽  
Risky Assets ◽  
The Us ◽  
Treasury Market ◽  
The Global Financial Crisis ◽  
Treasury Futures

Since the Global Financial Crisis in 2008, funds have been moved to safe assets from previously preferred risky assets on a global basis. Moreover, the financial crisis ignited in the U.S.A. led to strong quantitative easing policies, which played a major variable in the monetary policies of the major countries. So, the US treasury yield rates and Korean counterpart have showed signs of being synchronized. On the other hand, foreigners’ investments on Korean bonds became accelerated; the amount invested to Korean treasury by foreigners as well as their influence in the Korean treasury market has been expanded. Particularly, investment on the 10 year treasury bonds has increased, which spread influence of the Korean treasury market. In this regard, the study analyzed effects of the US treasury market on Korean counterpart. In order to analyze the volatility transfer effects from US treasury market to the KTB future market, in consideration of the synchronized maturity dates of the treasury and the officially announced prices, data on US 10 year treasury futures index and Korean 10 year treasury futures index . GARCH model was used for empirical analysis. Effects of the daily volatility and direction of US 10 year treasury futures index on the Korean counterpart was analyzed. Through the analysis, it was confirmed that information was transferred to the yield of Korean 10 year treasury futures index from the US counterpart. The study will be able to help establish more rational and efficient strategy for bond investment and operation.

Marking-to-Market, Commonality in Liquidity, and Government Guarantee Effect

2016 ◽  
Vol 32 (1) ◽  
pp. 73-91
Author(s):  
Hawfeng Shyu
Keyword(s):  
Financial Crisis ◽  
Positive Association ◽  
Fair Value ◽  
Market Liquidity ◽  
Economic Consequences ◽  
Vicious Cycle ◽  
Market Prices ◽  
Stock Liquidity ◽  
Government Guarantee ◽  
Value Measurement

Based on market prices and other market inputs to value assets and liabilities, adopting fair-value measurement creates many unpredictable economic consequences, such as amplifying the vicious cycle of falling prices during a worldwide financial crisis. This article investigates whether marking-to-market disclosure affects the commonality in liquidity. Commonality in liquidity is defined as the sensitivity of stock liquidity to the variation in market liquidity. My study indicates that marking-to-market disclosure is associated with higher commonality in liquidity. In addition, I find that higher commonality in liquidity is associated with lower stock liquidity. I also find that a positive association between commonality in liquidity and stock illiquidity is mitigated by the effect of a government guarantee.

Sign in / Sign up

Export Citation Format

Share Document