Are regression approach futures hedge ratios stationary?
Article Abstract:
Regression approach futures hedge ratios are stationary, contrary to what some recent studies indicate. Introduced in 1979, the regression method is considered to be the most effective approach in measuring for futures hedge ratios (HRs). While previous studies have assumed a futures contract time-to-maturity random walk, the hypothesis has been rejected. Other studies have considered hedge ratios' nonstationary and failed to reject the hypothesis because of their limited sample sizes and the tendency of the overlapping HR computational approach not to override the hypothesis.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract
Article Abstract:
The alleged manipulation attempt of the Jul. 1989 soybean futures market is analyzed to prove whether publicly available data support its existence and to determine if the actions taken by the Chicago Board of Trade (CBOT) significantly affected the soybean market. Results show a significant difference in spreads and concentration in 1989 than in other years, which match expectations if a long manipulation attempt was being undertaken. The CBOT's liquidation order seems to have had dramatic effects on returns.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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Volume and price relationships: hypothesis and testing for agricultural futures
Article Abstract:
The first differences of the time series of price and trading volume are stationary but is stationary in the following levels. In terms of time length, the price and trading volume are correlated in both the short-term and long-term. Both the trading volume and its volatility are being determined by price volatility. There is also a cointegration and bidirectional causality between price and volume.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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