Volatility, information, and double versus walrasian auction pricing in the US and Japanese futures markets

Article Abstract:

Volatility in the US and Japanese gold futures markets, COMEX and TOCOM, is analyzed and compared using data from prices of futures contracts and monthly trading volumes from the period of July 1987 to May 1992. Results reveal intraday variance for gold futures contracts to be significantly higher in the COMEX than in the TOCOM. It is also noted, contrary to earlier studies such as Amihud and Mendelson (1987) and Stoll and Whaley (1990), that the TOCOM non-trading period volatility is greater than the trading

Economics, Research and Development in the Social Sciences and Humanities, Research, Finance, Commodity futures, Walrasian model, New York Mercantile Exchange Inc. COMEX Div., Tokyo Commodity Exchange

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Interdependence and dynamics in currency futures market: a multivariate analysis of intraday data

Article Abstract:

The short-term dynamics and long-term interdependencies of six major currencies on a intraday trade basis are discussed. The prevailing trait is a lack of cointegration.

World, Statistical Data Included, Models, Futures market, Futures markets, Pound (United Kingdom), Dollar (United States), Franc (Switzerland), Yen (Japan), Foreign exchange market, Dollar (Canada), Mark (Germany), Foreign exchange futures

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The impact of public information on investors

Article Abstract:

A survey of individual investors and of institutions showed both traded on good news but only institutions traded on both good and bad economic news.

Newspapers, Newspaper Publishers, Securities Exchanges, Newspaper publishing, Stock exchanges, Surveys, Securities industry, Consumer behavior, Institutional investments

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