In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...

This paper examines the intertemporal pricing behavior between the largest futures markets within the Pacific region with those in the UK and US. Both mean return and volatility transmissions between these markets are analyzed to understand the channels by which the international pricing mechanism functions. Results obtained from using a mixture of intraday and overnight returns show a preponde...

Any announcement from the Federal Reserve has a huge impact on the interest rate markets. The press releases from the Federal Open Market Committee (FOMC) are major inputs to the market and the random intervention model is applied to interest rate futures transaction data to measure FOMC announcement impact. Missing prices during non-trading time periods are imputed iteratively during the estim...

This research develops an early warning system (EWS) for equity market crises based on multinomial logit models and variables relating to the information content of index futures and options. We show that the information impounded in S&P 500 futures and options are useful as leading indicators of financial crises. The current literature is absent of such studies. Results reveal that models esti...

Holmstrom (1982) argues that a principal is required to restrain moral hazard in a team: wasting output in a certain state is required to enforce efficient effort, and the principal is a commitment device for such enforcement. Under competition in commodity and team-formation markets, I extend his model à la Prescott and Townsend (1984) to show that competitive contracts can exploit the futures...

In this paper, we present a description of foresighting activities undertaken by EPIC, Scotland's Centre of Expertise on Animal Disease Outbreaks, to investigate the future uncertainty of animal health security in the Scottish sheep and cattle sectors. Using scenario planning methodologies, we explored four plausible but provocative long-term futures which identify dynamics underpinning the res...

The hypothesis that futures rates are unbiased and efficient predictors of future spot interest rates has been one of the most controversial topics in the empirical literature on market efficiency. The first part of this article concentrates on the question of whether the hypothesis that rates are unbiased holds for the 3-month Euribor futures market. The empirical analysis differs from usually...

In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in...

a r t i c l e i n f o We analyze firms' entry, production and hedging decisions under imperfect competition. We consider an oligopoly industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then compete in Cournot with one another. Each firm faces uncertainty in the input cost when making production decision, and has access to the fu...

This paper solves the optimal futures hedging problem in several simple continuous-time settings, and examines the resultant equilibrium in one case. Spot and futures prices are described by vector diffusion processes. A hedge is a vector stochastic process specifying a futures position in each futures market. Hedging profits and losses are marked to market in an interest-bearing (or interest-p...