Return-volume dynamics in futures markets

Article Abstract:

A comparison of causality findings shows that the results are almost the same in two alternative model specifications, namely Schwarz and Sims. The results on the contemporaneous relationship between volume and absolute returns are constant with both the mixture of distributions hypothesis and sequential information arrival hypothesis and Wang's heterogeneous investors model. The intertemporal Granger causality test findings provide contradictory evidence against the mixture of distributions hypothesis.

Security brokers and dealers, Securities Brokerage, Securities Trading, Analysis, Management, Futures market, Futures markets, Securities industry, Closing costs

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Short selling, unwinding, and mispricing

Article Abstract:

The impact of short selling restrictions and early unwinding opportunities on the relation between futures and spot prices is revealed. A multiperiod equilibrium model was also developed to determine the influence of optimal arbitrage trading on mispricing. Empirical results revealed that short selling restrictions and early unwinding opportunities are influential factors for the mispricing behavior.

Legislative Bodies, Finance, Research, Spot market

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