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Currency Futures Markets (currency + future_market)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Intraday price-reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euro

THE JOURNAL OF FUTURES MARKETS, Issue 11 2006
Joel Rentzler
This article assesses the intraday price-reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988,2003 after 1-day returns and opening gaps. Significant intraday price-reversal patterns are observed in five of the seven currency futures contracts, following large price changes. Additional tests are conducted in three subperiods (1988,1992, 1993,1998, and 1999,2003) to examine the impact of the introduction of electronic trading on GLOBEX in 1992 (to assess how a near 24-hour trading session might impact the next-day opening and closing futures prices) and the introduction of the euro in 1999 (to assess its impact on price predictability in other futures markets). It is found that the introduction of the GLOBEX in 1992 significantly reduced pricing errors in currency futures in the second subperiod, making the currency futures markets fairly efficient. However, the introduction of the new currency, the euro, and the disappearance of several European currencies in 1999, resulted in significant price patterns (mostly reversals and some persistence) in most of the currency futures, indicating inefficiencies in the third subperiod. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1089,1130, 2006 [source]

Looking for contagion in currency futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 10 2003
Chu-Sheng Tai
This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak-form efficient. However, this weak-form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion-in-mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion-in-volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957,988, 2003 [source]

Cross-market correlations and transmission of information

THE JOURNAL OF FUTURES MARKETS, Issue 11 2002
Salim M. Darbar
We investigate characteristics of cross-market correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information in a market affects subsequent cross-market conditional correlations in the sample period following the stock market crash of 1987, but there is little evidence of such a relationship in the precrash period. In the postcrash period, we also find evidence that the prime rate of interest affects daily correlations between futures returns. Furthermore, we find that conditional correlations between currency futures and other markets decline steeply a few months before the crash and revert to normal dynamics after the crash. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1059,1082, 2002 [source]

Foreign-Exchange Trading Volume and Federal Reserve Intervention

THE JOURNAL OF FUTURES MARKETS, Issue 9 2001
Alain Chaboud
We find a large positive correlation between daily trading volume in currency futures markets and foreign-exchange intervention by the Federal Reserve over the period 1979 to 1996. Neither contemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or not the intervention operation is publicly reported appears to be an important determinant of trading volume. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:851,860, 2001 [source]

The Simultaneous Hedging of Price Risk, Crop Yield Risk and Currency Risk

CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 2 2000
Govindaray N. Nayak
This study analyzes the joint hedging decision of a Canadian firm in U S. based price and yield futures. The key results of this study are that jointly hedging price and yield can reduce more revenue risk than hedging only with price futures. For offshore hedgers, the evidence shows that foreign exchange risk is important and can be reduced by jointly hedging in the currency futures markets. Nous analysons les décisions de couverture multiple d'une entreprise canadienne contre les risques afférents aux prix et aux rendement à terme. Les conclusions clés de l'étude sont qu'une couverture simultanée contre ces deux risques peut accorder une meilleure protection qu'une couverture établie seulement contre les risques des prix à terme. Pour ceux qui font affaire avec un pays étranger, l'expérience montre que le risque afférent au taux de change est important et qu'il est possible de le réduire en se couvrant en m,me temps contre les risques affectant la valeur à terme de l'argent. [source]