State space modeling of price and volume dependence: evidence from currency futures

Article Abstract:

Currency futures provide the test for application of a space state model to examine the relationships of trading volume and price change per se and absolute price change and trading volume. Near-month contract data from the Chicago Mercantile Exchange for daily currency futures prices and trading volume in the period Jan 1979 to May 1990 are used. Results indicate no relationship between price change per se and trading volume, but a positive causal relationship is found between absolute price change and trading volume for currencies other than the Japanese Yen. Volume and lagged absolute returns are also found to be related. Article includes literature survey and bibliography.

Noncommercial research organizations, Research, Prices and rates, Pricing, Foreign exchange market

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Inter-currency transmission of volatility in foreign exchange futures

Article Abstract:

An investigation on the impact of information about a foreign currency future on the volatility of other foreign currency futures led to the conclusion that traders in one currency futures drew inferences regarding the impact on one currency after noting price movements in stronger currencies. Both Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroscedastic (GARCH) formulations were used in the study of volatility in currency futures.

Analysis

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Optimal futures positions for life insurance companies

Article Abstract:

Hedge ratios designed for 12 stock companies, many of which were life insurance companies, suggest that most insurance companies should take long positions in futures markets. This proposal is consistent with the gap management literature that indicates that the positive maturity gap in life insurance firms would hurt the company as interest rates drop. However, this hypothesis may vary by company because interest rate changes affect companies differently.

Life insurance, Methods, Insurance industry, Investments, Influence, Life insurance industry, Hedging (Finance), Interest rates, Futures

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