500000 (Price Discovery))) (A Study on Price Discovery in KOSDAQ50 Index Spot and Futures Markets)

2005 ◽  
Author(s):  
Jung-Hyo Hong
Keyword(s):  
Futures Markets ◽  
Price Discovery

scholarly journals Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 115
Author(s):  
Osama Ahmed
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
The United States ◽  
The Black Sea ◽  
Correction Model ◽  
Black Sea Region ◽  
Dynamic Copula ◽  
Wheat Market ◽  
The World ◽  
Market Leadership

This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and semi-parametric dynamic copula methods are used for this purpose. The results indicate a positive link between U.S. and Europe price discovery which is stronger, fluctuating less after August 2010 because of a drought occurring in the Black Sea region, and then lessens, fluctuating more after 2015 with the changing wheat trade map. Furthermore, after 2015, wheat market leadership moved from the U.S. to the European market, meaning price discovery is primarily located by the Marché à Terme International de France (MATIF) futures market.

Price Discovery Process and Volatility Spillover in Spot and Futures Markets: Evidences of Individual Stocks

2010 ◽  
Vol 35 (2) ◽  
pp. 49-62 ◽  
Author(s):  
T Mallikarjunappa ◽  
E M Afsal
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Spillover Effect ◽  
Spot Market ◽  
Futures Market ◽  
Discovery Process ◽  
Short Term ◽  
Asymmetric Volatility ◽  
Spot Volatility ◽  
Price Discovery Process

This paper analyses information-based superiority of markets mainly with an objective of exploring arbitrage opportunities. It attempts to determine the lead-lag relationship between spot and futures markets in the Indian context by using high frequency price data of twelve individual stocks, observed at one-minute interval. The study applies the concept of co-integration and establishes the spot-futures relationship using Vector Error Correction Mechanism (VECM) represented by EGARCH framework. To study the price discovery process in the two markets, five lags each of one-minute resolution for nine individual stocks and four lags for the remaining three stocks are chosen. The key results of the study are given below: There is a contemporaneous and bi-directional lead-lag relationship between the spot and futures markets. A feedback mechanism of short life is functional between the two markets. Price discovery occurs in both the markets simultaneously. There exists short-term disequilibrium that could be corrected in the next period. Volatility spillover from spot market to futures market is present in such a way that a decrease in spot volatility leads to a decrease in futures volatility. Volatility shocks are asymmetric and persistent in both the markets. Spillover from futures market to spot market is not significant. Neither spot nor futures assume a considerable leading role and neither of the markets is supreme in price discovery. In the case of 33.33 per cent of spot values and 33.33 per cent of futures values, there exists short-term disequilibrium that could be corrected in the next period by decreasing the prices. Spot market volatility spills over to futures market in most of the cases (66.66 %) and a decrease in spot volatility brings about a decrease in futures volatility in 50 per cent of the cases. Spillover effect from futures to spot market is present and significant in 91.66 per cent of stocks and is more than the spillover effect from spot to futures (50% valid cases). The markets are highly integrated. Asymmetric behaviour of volatility shocks is mixed in both the markets. Asymmetric volatility is detected in 50 per cent of the cases of spot market and 58.33 per cent cases of futures market. Stocks exhibiting asymmetric volatility show more sensitivity to negative shocks. There are no cases of market becoming more volatile in response to good news.

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