The effectiveness of coordinating price limits across futures and price markets

Article Abstract:

The work of Brennan (1986) is extended to examine if the imposition of spot price limits will result in reducing the default risk and lower the effective margin requirement. The study observed that the spot price limits actually reduce the default risk and margin requirement effectively.

United States, Price control, Price regulations, Marginal costs

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Price limits, margin requirements, and default risk

Article Abstract:

Issues are presented concerning the effect which price limits can have on the effective margin requirement and default risk for a self-enforcing futures contract. The spillover of unrealized residual shocks is evaluated.

Research, Futures, Default (Finance), Margins (Futures trading)

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Benchmark tipping and the role of the swap market in price discovery

Article Abstract:

The analysis of high-frequency statistics to determine the impact of the sterling swap and futures markets on price discovery on the sterling yield curve is presented.

New Zealand, Usage, Measurement, Statistics, Statistics (Data), Yield (Investments)

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