The relationship between volume and price variability in futures markets

Article Abstract:

The uncertainty in the futures markets in regards to price and volume is discussed in detail. Risk transfer and differential information are two motives for variability under the uncertainty model.

---

Price movements and price discovery in the municipal bond index and the index futures market

Article Abstract:

The relationship between futures contracts and the municipal bond index at the Chicago Board of Trade is investigated and modeled. It is found that there is a long-run relationship and that prices within that relationship are non-stationary.

Credit market, Credit markets, Municipal bonds, Board of Trade of the City of Chicago Inc.

---

Price discovery and volatility spillovers in the DJIA index and futures market

Article Abstract:

A model for volatility and price discovery on the futures market and the Dow Jones Industrial Average is given. Future volatility in one market can be predicted by innovations in another market.

Securities Exchanges, Analysis, Stocks, Stock-exchange, Stock exchanges, Exchanges, Stock prices, Dow Jones Industrial Average (Index)

Similar abstracts:

• Abstracts: Return and volatility dynemics in the FT-SE stock index and stock index futures market. The intraday distribution of volatility and the value of wildcard options
• Abstracts: Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints. Estimating time-varying optimal hedge ratios on futures markets

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.