Information and volatility futures and spot markets: the case of the Japanese yen

Article Abstract:

The effects of information from US macroeconomic announcements on the volatility of Japanese yen futures and spot markets was examined using data from intraday futures and spot rates of the yen in the period covering January 1992 to December 1995. Results gives credence to the opinion that volatility spillovers in futures and spot markets are influenced by information from the US. The results indicate that lower volatility in the spot market may not be prevented through the restriction of the futures market.

Securities & Commodities Exchanges, Research, Prices and rates, Futures, Yen (Japan), Spot market

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The dual listing of stock index futures: arbitrage, spread arbitrage and currency risk

Article Abstract:

An examination of the integration of index futures markets in several countries finds that commodities listed in two markets increase in trading volume due to the arbitrage manipulations of market players. Efficiency in the markets also improve with higher rate of mispricing elimination. Spot-futures arbitrage cannot be without risk if the contract multiplier is based on varying currencies.

Commodity Exchanges, Contracts, Stock index futures

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