Trading Activity and Rate of Convergence in Commodity Futures Markets
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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… read more here.
Keywords: futures markets; trading activity; rate convergence; commodity ... See more keywords
Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures
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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… read more here.
Keywords: futures markets; spot; market; evidence ... See more keywords
Policy impact on volatility dynamics in commodity futures markets: Evidence from China
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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… read more here.
Keywords: futures markets; volatility; commodity; policy impact ... See more keywords
Speculation and volatility-A time-varying approach applied on Chinese commodity futures markets
Sign Up to like & getrecommendations! 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… read more here.
Keywords: speculation; volatility; futures markets; time ... See more keywords
Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation
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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… read more here.
Keywords: execution; order; limit order; relationship ... See more keywords
Night trading and market quality: Evidence from Chinese and US precious metal futures markets
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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… read more here.
Keywords: futures markets; trading; night; market ... See more keywords
Fractional cointegration in bitcoin spot and futures markets
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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… read more here.
Keywords: bitcoin spot; bitcoin; spot; price discovery ... See more keywords
Functional Volatility Relationship Analysis and Prediction in International Crude Oil Futures Markets
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DOI: 10.1002/fut.22538
Abstract: To measure intraday volatility in international crude oil futures markets, we use the functional conditional variance to measure volatility and focus on volatility relationship analysis and prediction. This paper analyzes the simultaneous and predictive volatility… read more here.
Keywords: futures markets; oil futures; volatility; crude oil ... See more keywords
The Reaction of Corn Futures Markets to US and Brazilian Crop Reports
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DOI: 10.1002/fut.22601
Abstract: The purpose of this study is to examine the impact of US (WASDE) and Brazilian (CONAB) crop reports on corn futures prices and trading volumes in both the US and Brazilian markets. Employing an intraday… read more here.
Keywords: crop reports; trading volumes; corn futures; futures markets ... See more keywords
Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets
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DOI: 10.1002/fut.70033
Abstract: We examine the performance of trend‐based strategies in Chinese commodity futures markets, using a data set of 64 commodity futures from 2003 to 2023. We find that TSMOM strategies generate high returns. The performance is… read more here.
Keywords: based strategies; futures markets; trend based; commodity futures ... See more keywords
Linkages Between Shanghai and Global Crude Oil Futures Markets
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DOI: 10.1002/fut.70040
Abstract: This study investigates the relationships between Shanghai crude oil futures (International Exchange [INE]) and Brent, West Texas Intermediate (WTI), and Oman crude oil futures from March 26, 2018, to January 16, 2024. We identify three… read more here.
Keywords: futures markets; oil futures; crude oil; markets linkages ... See more keywords