The pricing relationship of Eurodollar futures and Eurodollar deposit rates

Article Abstract:

A study was conducted to evaluate the system of prices and rates for the Eurodollar futures and Eurodollar deposit rates. The study focuses on the price discovery function forthe futures markets and considers data covering the period from 1983-1990. Results show that nonstationary conditions were exhibited by futures and spot prices. In addition, Eurodollar interest rate markets need to be considered foranticipating interest rate movements.

Prices and rates, Eurocurrency market, Bank deposits

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Information role of U.S. futures trading in a global financial market

Article Abstract:

Research information regarding the role of information in in U.S. futures trading globally is outlined. Three financial futures contracts that are dual listed on U.S. and Asian markets are analyzed for patterns of information flows.

Commodity Exchanges, Econometrics & Model Building, Research, Econometrics, Commodities industry, Business models

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Information role of U.S. futures trading in a global financial market

Article Abstract:

Information flow models in US and Asian futures markets are given. In pricing information the US market is more significant, but foreign markets are more important in terms of volatility.

Securities & Commodities Exchanges, Asia, Statistical Data Included, Models, Economics, Futures market, Futures markets, Information theory, Information theory in economics

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