Mid-day volatility spikes in U.S. futures markets

Article Abstract:

The intraday volatility patterns were observed in Eurodollar and deutsche market futures markets. The nature and robustness of these midday fluctuations were explored using time and sales data from Sep 1, 1988 and June 20, 1995. The results help bridge the gap between the apparently divergent findings of Crain and Lee (1995) and Kawaller et al (1994). The new study provides support for some aspects of the volatility patterns found in each work.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Exchanges, Futures market, Futures markets, Eurocurrency market

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Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract

Article Abstract:

In the S&P futures contracts, where the association between volume and volatility are accounted for, price volatility in the nearby and next out contracts experience a lower level of volatility when traded as the higher volume lead contract. That is because a larger population of liquidity providers engenders volatility and vice-versa.

Periodicals, Periodical Publishers, Publishing industry, Statistical Data Included, Periodical publishing, Futures, Standard & Poor's Corp.

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A comment on "A hedging deficiency in Eurodollar Futures"

Article Abstract:

The effect of the deficiency in the design of eurodollar futures contract on imperfections in hedge results, as postulated by Don Chance, is analyzed. Chance is assisstant professor of finance at Virginia's Pamplin College of Business.

Science & research, Evaluation, College teachers, College faculty, Hedging (Finance), Foreign exchange futures, Chance, Don

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