An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobe earthquake and the Barings Bank collapse

Article Abstract:

The degrees and interrelationships of volatility, volume, open interest and effective bid-ask spread on the Nikkei 225 futures contract on the Singapore International Monetary Exchange (SIMEX). Sample data were gathered from during the Jan 1995 Kobe earthquake and the resulting collapse of Barings Bank in Feb 1995. Volume and open interest momentarily rose while the rise in effective bid-ask spread was more permanent.

Economic aspects, Singapore, Securities, Nikkei 225 Index (Index), Kobe, Japan, Earthquake, 1995

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Implied volatility asymmetries in treasury bond futures options

Article Abstract:

Implied volatility based on call options of Treasury bond futures contracts is unproportional with regards to bond futures price changes. The assymetric relationship was based on a result showing bond futures price changes increasing negatively. Implied volatility assymetry is greatly influenced by trading volume conditioning, and not by extreme bond futures price changes.

Commodities Purchasing, Research, Purchasing, Commodities, Treasury securities, Credit market, Credit markets

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Long memory models for daily and high frequency commodity futures returns

Article Abstract:

The article suggests that applications using daily or intraday commodity futures returns will need to consider the long memory property in commodity return volatility. Consistency was achieved by estimating the long memory parameter across different data sampling frequencies.

United Kingdom, United States, South Korea, Returns (Retail trade), Volatility (Finance)

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