Author: Yin-Wong CheungPublisher:
ISBN:
Category : Euro-dollar market
Languages : en
Pages : 32
Book Description
Information flows between the Eurodollar spot and futures markets
Author: Yin-Wong CheungPublisher:
ISBN:
Category : Euro-dollar market
Languages : en
Pages : 32
Book Description
Information Flows Between Eurodollar Spot and Futures Markets
Author: Yin-Wong CheungPublisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In addition, there is evidence of volatility spillover between the two markets. Our results also indicate that information conveyed by data on futures tends to have a more persistent impact on both the mean and volatility of cash market price movements than the other way around.
The Relative Pricing of Eurodollar Futures and Forward Contracts
Author: Narasimhan JegadeeshPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Recent research reports significant differences between Eurodollar futures and forward interest rates. In this paper, we document that the futures-forward yield difference was economically and statistically significant only in the early years of the Eurodollar futures contract. The difference has steadily diminished and in recent years has been negligible of nonexistent. The primary explanation in the literature for the observed differences between the futures and forward Eurodollar yields has been the mark-to- market feature of the futures contracts. We derive closed form solutions for the futures-forward yield difference under two popular term structure models and show that the theoretical futures-forward yield difference is indeed small. We also find that liquidity differences and default risk premia cannot explain the large differences observed in the early part of the sample period. Furthermore, we find that there was a delay in the flow of information between the spot and the futures markets during the early years of the futures contract, but we find no evidence of such a delay in the later years. Our results suggest that the differences between the futures and forward rates observed in the early part of the sample period is likely to be attributable to the mispricing of futures contracts relative to the forward rates and that the mispricing was eliminated over time.
An Empirical Investigation of Stock Markets
Author: Shigeyuki HamoriPublisher: Springer Science & Business Media
ISBN: 1441992081
Category : Business & Economics
Languages : en
Pages : 140
Book Description
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Multinational Finance Journal
Author: Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 332
Book Description
The Microstructure of Foreign Exchange Markets
Author: Jeffrey A. FrankelPublisher: University of Chicago Press
ISBN: 0226260232
Category : Business & Economics
Languages : en
Pages : 358
Book Description
The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
On Existence of an "optimal Stock Price"
Author: Lifan WuPublisher:
ISBN:
Category : Stock splitting
Languages : en
Pages : 44
Book Description
International Evidence on the Stock Market and Aggregate Economic Activity
Author: Yin-Wong CheungPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 52
Book Description
Capital Structure and Socially Optimal Capacity in Oligopoly
Author: Tae Hoon OumPublisher:
ISBN:
Category : Aeronautics, Commercial
Languages : en
Pages : 48
Book Description
Macroeconomic Determinants of Long-term Stock Market Comovements Among Major EMS Countries
Author: Yin-Wong CheungPublisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 48
Book Description