Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...

With the development of global market and information network, international futures markets have become integrated. Price fluctuation of one futures market may cause related price fluctuation in another exchange. Many researches have shown that there is high correlation between international and domestic futures price fluctuation. However, quantitative research and the information system for a...

In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders’ positions of commodity futures. The result shows that, the correlation between...

The aim of this article is to examine the presence of volatility transmission between futures index and underlying stock index by using intraday data in Turkey. We first examined the sudden changes in the variance of futures index return and the underlying spot index return. Then we employed the causality in the variance tests proposed by Hong (2001) and Hafner and Herwartz (2006). According to...

In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method proposed by Hasbrouck in order to examine the market efficiency in price discovery and information transmission. Results show that although the ...

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

Various trading strategies are applied in intraday high-frequency market to provide investors with reference signals to be on the right side of market at the right time. In this paper, we apply a trading strategy based on the combination of ACD rules and pivot points system, which is first proposed by Mark B. Fisher, into Chinese market. This strategy has been used by millions of traders to ach...

The agricultural goods futures market has recently regained the interest of corporate business, research institutions, and governments. This renewed interest is brought about by the increasing volatility of the prices of agricultural raw materials. In turn, these reflect the shift that has taken place in the European Union’s joint agricultural policy: from price support to income support and to...