Futures trading, information and spot price volatility: evidence for the FTSE-100 Stock Index Futures contract using GARCH

Article Abstract:

The characteristics of prices in the spot market are analyzed in relation to the futures trading with particular emphasis on the activity in the FTSE-100 Stock Index Futures. The GARCH tool was used to determine results which showed that there was increased volatility as a result of futures activity. Contrary to common view, however, such volatility was not generated because of destructive speculation but by increased access to information by market players.

Prices and rates, Stock index futures, Spot market

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Futures trading activity and predictable foreign exchange market movements

Article Abstract:

The relation between trading activity by trader type and future returns over short horizons is presented in five major foreign currency futures markets like the British Pound, Canadian Dollar, Deutsche Mark, Japanese Yen and Swiss Franc. It is found that hedging pressure explains a large portion of change in foreign currency futures returns.

Science & research, Singapore, Reports, Securities trading

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Intraday price reversals for index futures in the US and Hong Kong

Article Abstract:

Intraday price reversals were examined during major prices changes at the opening of the S&P 500 Futures market and the HSI Futures market.

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