Cash Market (cash + market)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting80%

Selected Abstracts

An examination of the impact of macroeconomic news on the spot and futures treasuries markets

THE JOURNAL OF FUTURES MARKETS, Issue 5 2004
Marc W. Simpson
In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated with the corresponding cash market. Second, of the 23 types of periodic macroeconomic announcements, 19 of them have a significant influence on either the cash or futures prices. Most notably, surprises in nonfarm payroll and Treasury budget significantly influence the cash and futures market across the entire maturity spectrum. Third, consistent with the Fisher and real activity hypotheses, macroeconomic news that conveys higher inflation and/or economic growth has a negative influence on cash and futures prices. Finally, hedging with Treasury futures appears to offer investors protection from inflation-related fluctuations in interest rates, but not against fluctuations arising due to variations in real output. Some important policy implications of the results are offered. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:453,478, 2004 [source]

Expiration day effects: The case of Hong Kong

THE JOURNAL OF FUTURES MARKETS, Issue 1 2003
Ying-Foon Chow
Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market, but there is no evidence of abnormal trading volume on the expiration day, or price reversal after expiration. Thus, the existence of expiration day effects cannot be confirmed in the Hong Kong market. [JEL classification: G13; G14; G15]. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:67,86, 2003 [source]

Index futures leadership, basis behavior, and trader selectivity

THE JOURNAL OF FUTURES MARKETS, Issue 7 2002
Arjun Chatrath
Employing intraday data for futures and cash values for the S&P 500 over the 1993,1996 period, we attempt to characterize the lead,lag relationship between these two markets and their basis behavior. Our findings show evidence of pronounced futures leadership when markets are rising, with no feedback from the cash market. However, when markets are falling, futures leadership is less evident and significant feedback from the cash market is noted. We also provide evidence of a positive relationship between the basis and return volatility. We offer an explanation, based on trader selectivity, for the leadership-asymmetry and the basis,volatility relationship. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:649,677, 2002 [source]

Price discovery in the Texas cash cattle market

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 4 2004
David A. Bessler
Abstract Time series methods and directed acyclic graphs are used to uncover the centre of price discovery in 10 weight/gender classes of feeder and fed cattle from cash markets in Texas, U.S.A. Heavy feeder heifers, animals sitting on a margin of feeding for meat or breeding for new stocks, are weakly exogenous in an error correction representation of these prices. Further, contemporaneous price innovations from this class of animals cause price innovations in feeder steers and lighter weight feeder heifers. Innovation accounting shows the prominent role that heavy heifers play in cattle price discovery. Copyright © 2004 John Wiley & Sons, Ltd. [source]

Efficiency tests of agricultural commodity futures markets in China

AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 2 2005
H. Holly Wang
The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen's cointegration approach for three different cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long-term equilibrium relationship between the futures price and cash price for soybeans and weak short-term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by over-speculation and government intervention. [source]