Intraday futures volatility and theories of market behavior

Article Abstract:

The issues surrounding U-shaped volatility and trading activity curves are examined in future markets of remarkable timing qualities. The market behavior of the MMI, S&P 500 and T-bond futures contracts are investigated using 5-minute and 15-minute time intervals. Trading activity and volatility follow a U-shape pattern in the futures contracts. S&P 500 and MMI futures contracts have an initial fall in trading activity and volatility after the closure of the New York Stock Exchange. The futures contracts also have a closing peak when the futures market closes.

Research, Stock price indexes, Treasury securities

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Optimal margin level in futures markets: extreme price movements

Article Abstract:

The margin mechanism guarantees the integrity of futures markets by lowering the risk of customer default, brokers' bankruptcy and systemic market instability. However, setting the margin level presents the challenge of balancing the costs and benefits of a high level. A high margin strengthens the market's integrity by protecting brokers against insolvent customers, but also lessens the market's appeal by increasing the cost supported by investors. A new approach to setting the margin level for such markets is presented.

Management, Prices and rates, Margins (Security trading), Margins (Securities trading)

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A bivariate generalized autoregressive conditional heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures markets

Article Abstract:

A study reveals that second-order dependence in the joint futures return and trading volume process for different international financial futures markets is evident. It also shows that the level of trading volume positively affects the conditional variance of the futures price change. The conditional return on holding various international futures contracts is inversely proportional to a measure of systematic risk.

Analysis, Futures

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