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Published in 2017 at "Journal of Futures Markets"
DOI: 10.1002/fut.21831
Abstract: We analyze whether and how the trading activity of different trader types impacts the rate of convergence between spot and futures markets for a broad range of commodity futures markets over the 1999–2014 period. There…
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Keywords:
futures markets;
trading activity;
rate convergence;
commodity ... See more keywords
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Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21883
Abstract: This study provides evidence of the importance of a well-defined and functioning spot market for the success of the associated futures market. The United States (US) spot market for nonfat dry milk has several distinct…
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Keywords:
futures markets;
spot;
market;
evidence ... See more keywords
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Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21905
Abstract: Chinese financial markets play an ever more pertinent role in the global economic context and are therefore increasingly relevant for stabilizing the economy. In this paper, we scrutinize the impact of a series of new…
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Keywords:
futures markets;
volatility;
commodity;
policy impact ... See more keywords
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Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21984
Abstract: Experts have long discussed and empirically investigated whether speculative activity increases volatility on commodity futures markets. Little empirical research, however, analyzes the role of speculators on commodity futures markets in China. Using time‐varying vector autoregression…
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Keywords:
speculation;
volatility;
futures markets;
time ... See more keywords
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Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.21998
Abstract: This paper examines the relationship between limit order submissions and liquidity. We find that there is a negative relationship between the limit order arrival rate and the depth at the best quotes (limit order queue…
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Keywords:
execution;
order;
limit order;
relationship ... See more keywords
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Published in 2020 at "Journal of Futures Markets"
DOI: 10.1002/fut.22147
Abstract: © 2020 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by…
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Keywords:
futures markets;
trading;
night;
market ... See more keywords
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Published in 2021 at "Journal of Futures Markets"
DOI: 10.1002/fut.22216
Abstract: This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020 We find that bitcoin spot and…
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Keywords:
bitcoin spot;
bitcoin;
spot;
price discovery ... See more keywords
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Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104750
Abstract: Optimal futures hedging positions for those agents trying to maximize their expected utility will depend on their view about the evolution of the market and on how risk adverse they are. The most risk adverse…
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Keywords:
risk;
energy;
futures markets;
biased energy ... See more keywords
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Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104781
Abstract: We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities of crude oil futures markets with exogenous factors. With these IHM models, we lift the restriction of a pre-defined number of regimes and allow…
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Keywords:
oil futures;
structural breaks;
futures markets;
crude oil ... See more keywords
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Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105375
Abstract: Abstract The impact of futures markets on the spot price volatility of storable commodities can be either stabilizing or destabilizing. The underlying theoretical model determines that the impact depends on whether the dominant/prevailing disturbance in…
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Keywords:
price volatility;
storable commodities;
spot;
volatility storable ... See more keywords
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Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.10.014
Abstract: Abstract China has recently seen surging retail investor participation in commodity futures markets and rapid adoption of mobile Internet interface. We study two questions with these developments using search frequency from Baidu, the leading Chinese…
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Keywords:
futures markets;
attention;
investor attention;
commodity futures ... See more keywords