scholarly journals PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA

2017 ◽  
Vol 21 (1) ◽  
pp. 17
Author(s):  
Sukmawati Sukamulja ◽  
Sony Fidanti
Keyword(s):  
Market Efficiency ◽  
Spot Market ◽  
Futures Market ◽  
Market Volatility ◽  
Future Contract ◽  
Underlying Asset ◽  
Futures Contract ◽  
Asset Volatility ◽  
The One ◽  
The Impact

There were some contradictory between the impacts of futures contract to the volatility of underlying asset. In the one side, some researches concluded that futures transaction affect to underlying asset volatility, but in the other side said the future contract not had impact to the volatility of underlying asset. The results were not robust yet. Futures market in Indonesia started with LQ45 futures. The LQ45 futures had been stopped in 2009, just only nine years after it was opened. And then, after seven years off, the LQ45 futures started be operated on February 1, 2016. This research want to examine the impact of futures contract to the underlying spot market volatility. Beside that, this research also want to analyze the affect of futures contract to the market efficiency during 2001-2009 with GARCH (1,1) model. The result says that there is no futures index contract impact to their underlying spot market volatility, even though there is decreasing in volatility during the testing period. This research also find that futures contract index has impact to the market sensitivity and then increase the market efficiency.

scholarly journals Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data

2017 ◽  
Vol 34 (69) ◽  
pp. 3-23
Author(s):  
Jeremías Lachman ◽  
Pablo Jack
Keyword(s):  
Comparative Analysis ◽  
Information Transmission ◽  
Market Efficiency ◽  
Futures Markets ◽  
Buenos Aires ◽  
Relevant Information ◽  
Futures Market ◽  
Daily Data ◽  
Agricultural Futures ◽  
The One

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

Volatility persistence and trading volume in an emerging futures market

2010 ◽  
Vol 11 (3) ◽  
pp. 296-309 ◽  
Author(s):  
Pratap Chandra Pati ◽  
Prabina Rajib
Keyword(s):  
Capital Market ◽  
Trading Volume ◽  
Price Volatility ◽  
Futures Market ◽  
Market Volatility ◽  
Leverage Effect ◽  
Time Varying ◽  
Conditional Volatility ◽  
Content Type ◽  
Futures Contract

PurposeThe purpose of this paper is to estimate time‐varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index futures.Design/methodology/approachTo estimate the volatility and capture the stylized facts of fat‐tail distribution, volatility clustering, leverage effect, and mean‐reversion in futures returns, appropriate ARMA‐generalized autoregressive conditional heteroscedastic (GARCH) and ARMA‐EGARCH models with generalized error distribution have been used. The ARMA‐EGARCH model is augmented by including contemporaneous and lagged trading volume to determine their contribution to time‐varying conditional volatility.FindingsThe paper finds evidence of leverage effect, which indicates that negative shocks increase the futures market volatility more than positive shocks of the same magnitude. In addition, the results indicate that inclusion of both contemporaneous and lagged trading volume in the GARCH model reduces the persistence in volatility, but contemporaneous volume provides a greater reduction than lagged volume. Nevertheless, the GARCH effect does not completely vanish.Practical implicationsResearch findings have important implications for the traders, regulatory bodies, and practitioners. A positive volume‐price volatility relationship implies that a new futures contract will be successful only to the extent that there is enough price uncertainty associated with the underlying asset. Higher trading volume causes higher volatility; so, it suggests the need for greater regulatory restrictions.Originality/valueEquity derivatives are relatively new phenomena in Indian capital market. This paper extends and updates the existing empirical research on the relationship between futures price volatility and volume in the emerging Indian capital market using improved methodology and recent data set.

The Impact of Introduction of QFIIs Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures Market

2006 ◽  
Vol 09 (01) ◽  
pp. 25-49 ◽  
Author(s):  
Wen-Hsiu Kuo ◽  
Shih-Ju Chan
Keyword(s):  
Futures Market ◽  
Market Volatility ◽  
Spot Markets ◽  
Noise Traders ◽  
Index Futures ◽  
Market Inefficiency ◽  
Foreign Institutional Investors ◽  
The Impact ◽  
Opening Up

This paper investigates whether the introduction of trading by qualified foreign institutional investors (QFIIs) has impacted the lead and volatility behavior of the futures market when the macroeconomic effects and some major economic events are controlled. First, we detect that some market inefficiency exists in Taiwan index futures market. Second, the evidence shows a strengthening in the lead of index futures over index spot markets following the introduction of trading by QFIIs. Third, we find evidence of an increase in the level of futures market volatility, implying that the quantity of information flowing into the futures market increases following the onset of trading by QFIIs. Finally, the asymmetries do not reduce after the opening up of the futures market to QFIIs. This finding is inconsistent with the view that the introduction of informed foreign investors may improve the reliability and quality of information and mitigate the effect of noise traders on market volatility.

scholarly journals The Impact of Futures Price Volatility to Spot Market : Case of Coffee in Indonesia

2019 ◽  
Vol 15 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Anis Erma Wulandari ◽  
Harianto Harianto ◽  
Bustanul Arifin ◽  
Heny K Suwarsinah
Keyword(s):  
Exchange Rate ◽  
Price Volatility ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Price Risk ◽  
Price Inflation ◽  
Spot Prices ◽  
Futures Price ◽  
The Impact

Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and Colombia with export potential and higher national consumption concluded in 2017 while the coffee production was relatively stagnant. This was led the producer to not only the production risk but also the price risk which then emphasize the importance of futures markets existence as price risk management. This study is performed to examine the impact of futures price volatility to spot market using ARCH-GARCH toward primary data of coffee futures and spot prices of 1172 trading days starting from January 2014 to June 2018. The ARCH-GARCH analysis result indicates that futures price volatility and monetary variables are impacting the volatility of spot price. Arabica spot price volatility is impacted by volatility of Arabica futures price, inflation and exchange rate while Robusta spot price is impacted by Robusta futures price volatility and exchange rate. This is confirming that futures market plays dominant role in spot price discovery. Local futures and spot prices are also found to be significantly influenced by volatility of offshore futures prices which indicates that emerging country futures market is actually influenced by offshore futures market which the price itself used as price reference.

Wavelet-based analysis of guar futures in India: did we kill the golden goose?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Arunava Bandyopadhyay ◽  
Souvik Bhowmik ◽  
Prabina Rajib
Keyword(s):  
Spot Market ◽  
Futures Market ◽  
Shale Oil ◽  
Volatility Spillover ◽  
Short Term ◽  
Content Type ◽  
Business Ecosystem ◽  
Excessive Speculation ◽  
The Impact ◽  
Economic Linkages

PurposeGuar Gum (GG) is used in Shale oil exploration. Excessive price increase in the Guar futures market had a spillover impact on Guar spot prices and affected Guar export from India as Shale oil producers started exploring alternate sources. In this paper, the role of excessive speculation in the futures market, and its adverse impact on the guar-based agri-business ecosystem have been empirically explored.Design/methodology/approachVolatility spillover dynamics between WTI crude oil and Guar futures have been explored using bivariate-Granger Causality, BEKK–GARCH models with Wavelet multi-resolution analysis. The wavelet-based models capture the multi-scale features of mean and volatility spillover to identify the effect of heterogenous investment behavior in the time and frequency domain.FindingsThe results provide evidence that excessive speculation in futures markets increases spot market volatility. The results also suggest that the excess presence of short-term investors can destabilize the futures market.Research limitations/implicationsThe purpose of the commodity futures market is to support price discovery and risk management. However, speculative practices can destabilize these purposes leading to the failure of the business ecosystem.Originality/valueThe novelty of this paper is twofold. First, it explores the economic linkages between the spot and futures market and tests whether the presence of heterogeneous traders affects the economic linkages. Second, it models the impact of short-term speculative investment on the destabilization of the spot market.

Sign in / Sign up

Export Citation Format

Share Document