Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions

Article Abstract:

A study looks into the price linkages in competing discrete commodity futures auction markets. Researchers used daily data on soybean and sugar futures contracts from both Manila International Futures Exchange (MIFE) and the Tokyo Grain Exchange (TGE) from Oct 1992 to Mar 1994. Results show that there was a lack of of arbitrage activities across the MIFE and TGE contracts. There was also no evidence of cointegration on both exchanges.

Soybean Farming, Soybeans, Raw cane sugar, Sugarcane Mills, Raw Cane Sugar & Byproducts, Sugar, Commodity futures, Futures, Soybean, Raw sugar

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Market microstructure effects on volatility at the TAIFEX

Article Abstract:

The effects on futures price volatility at the Taiwan Futures Exchange (TAIFEX) of market clearing frequency changes or trading hours changes is studied. Futures price volatility increased as market clearing frequency increased from 30 to 20 seconds, but did not increase with further frequency increases. Volatility on the Singapore Exchange (SGX) decreased when the TAIFEX changed its trading hours to match that of the SGX.

Taiwan, Singapore, Futures market, Futures markets, Clearing of securities, Report, Volatility (Finance)

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Transitory real-time property rights and exchange intellectual property

Article Abstract:

The author discusses economic and legal implications of the property rights of stock exchanges to their stock price quotations and the use and ownership of these quotations by internet services.

United States, On-Line Information Services, Videotex & Teletext, Telegraph & other communications, Patents & copyrights, Licenses, Patents & Trademarks, Online services, Internet services, Cable television, Stock-exchange, Stock exchanges, Intellectual property, Cable television/data services, Right of property, Property rights

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