The temporal relationship between derivatives trading and spot market volatility in the U.K.: empirical analysis and Monte Carlo evidence

Article Abstract:

The dynamic relationship between spot market volatility and futures and options trading is studied in the context of a trivariate simultaneous equations model. Empirical analysis provides evidence that spot market volatility is time-varying. Monte Carlo evidence suggests that failure to account for simultaneity significantly reduces the power and accuracy of Granger causality tests. However, omission of a relevant variable within the model tends to create overall bias towards causality tests leading to the rejection of the null of noncausality due to its generation of misleading results.

Securities Exchanges, Exchanges, Derivatives (Financial instruments)

---

A note: the CSCE cheddar cheese cash and futures price long-term equilibrium relationship revisited

Article Abstract:

Fortenbery and Zapata's (1996) examination of the cheese and cash-futures relationship was extended by using a much longer time period over which such a relationship could develop. The findings indicate that the cheddar cheese market has a cointegrating association among the futures and spot markets, suggesting an information flow between the two. The results also imply that there are no institutional factors that would hinder efficient pricing in either market.

Cheese, natural and processed, Cheese Manufacturing, Cheddar Cheese

---

A test of the cost-of-carry relationship using the London Metal Exchange lead contract

Article Abstract:

Data on commodity prices from the London Metals Exchange was used to examine the connection between factors of the cost-of-carry relationship, spot price, futures price, interest rate to maturity, and stock level effects. Results for the commodity of lead support unit root processes for interest rates and stock levels. However, results for spot price and futures price are unconfirmed.

Finance, Commodity exchanges, Futures, London Metal Exchange Ltd.

Similar abstracts:

• Abstracts: Relationship between JIT and TQM: practices and performance. The impact of quality management practices on performance and competitive advantage
• Abstracts: AT&T to offer new nationwide cut-rate wireless service. Paging allies focus strategy on the Internet; plan is to build niche as cell phone auxiliary
• Abstracts: Survival patterns among newcomers to franchising. Franchising growth and franchisor entry and exit in the U.S. market: myth and reality
• Abstracts: N2O: At its best at high volume in the dark. On 'Deer Hunter's' trail, rivals and a spoof
• Abstracts: Integrating activity-based costing and economic value added. The scope of strategic cost management

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