Intraday return dynamics between the cash and the futures markets in Japan

Article Abstract:

Futures markets trading is affected by the price movement limit and the waiting time that limits movements in quotes and execution prices. This was gleaned from an analysis of the time series properties of intraday returns for the stock index and stock index futures in Japan. Of specific concern is whether the unique Japanese trading system, which uses special price quotation, averts extreme fluctuations of futures and stock prices. Special price quotations pertain to bid quotes or asked quotes established by the stock exchange to gather counter orders during major order imbalance.

Japan, Securities

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Macroeconomic news and the efficiency of international bond futures markets

Article Abstract:

An examination of the intraday efficiency of US futures prices to the news content of macroeconomic releases in which the news is determined reveals a puzzling behavior in the prices of Eurodollar and T-bond contracts over the course of the trading day. The futures market appears to register a delayed response to news about the merchandise trade balance, and tends to immediately underreact in the case of consumer price index and nonfarm payroll news. No rational explanations are available for the market's failure to absorb and react quickly to all of the information at hand.

Bonds, Bonds (Securities), Media coverage, Macroeconomics

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Conditional dynamics and optimal spreading in the precious metals futures markets

Article Abstract:

The returns and price volatilities of some assets are jointly predictable. This can be tested in the precious metals market by analyzed in the independence and identical distribution behavior of gold and silver. The results indicate significant dependence between these two commodities in terms of price changes and volatilities. A bivariate model that describes the joint price change generation process is developed and used to calculate optimal spread positions.

Precious metals

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