Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME)...Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.展开更多
This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market, both in their means and in their conditional volatilities, to investigate whether the association is l...This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market, both in their means and in their conditional volatilities, to investigate whether the association is linear or not. The novelty of this work is based on intraday data from both markets. The empirical findings indicate the presence of nonlinearities both in means and conditional volatilities. Moreover, non-linear causality estimations both in means and in volatilities reveal the presence of bi-directional causality, a fact that provides additional support to the hypothesis that both markets are driven by the same information sets.展开更多
Price discovery is the basic function of futures market, and whether the futures market has the function of price discovery is an important research field for scholars both at home and abroad. This paper classifies th...Price discovery is the basic function of futures market, and whether the futures market has the function of price discovery is an important research field for scholars both at home and abroad. This paper classifies the test methods and models on a basis of previous research, and introduces the applicable premise of research methods and models as well as the major research achievements of scholars at home and abroad, and also reviews the shortcomings of test methods and models.展开更多
This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three ...This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three methodologies namely the GARCH model, the Generalized Method of Moments （GMM） to estimate systems of equations and the Granger causality test to investigate the relationship more thoroughly. In addition, we introduce the lagged volume as a new explanatory variable in the GARCH model. Overall, the results show the significant contemporaneous and dynamic relationships between trading volume and returns volatility which support the sequential information arrival hypothesis and imply some degree of market inefficiency. The results from this study also show that past information of trading volume can be used to improve the prediction of price volatility. Therefore, regulators and traders could include past information of trading volume of SET50 index futures in tracking and monitoring the market volatility level and the investment risk in order to make a timely decision.展开更多
Data from the World Federation of Exchanges show that Brazil＇s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariat...Data from the World Federation of Exchanges show that Brazil＇s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built： ARFIMA, vector autoregressive （VAR）, and vector error correction （VEC）. Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.展开更多
Electric power market is the lifeblood of business survival, electric power is the power of marketing the company＇ s core business and it is related to the survival and development of the electricity business. Power ...Electric power market is the lifeblood of business survival, electric power is the power of marketing the company＇ s core business and it is related to the survival and development of the electricity business. Power supply enterprises are to strengthen management, improve efficiency, and reduce costs, we must establish a customer-oriented new concept ＂big marketing, big market, big serve,＂ through the analysis of the current electricity market environment, we can develop appropriate marketing power strategy to effectively open up the electricity market and improve power enterprises in the market economy ＇ s competitiveness.展开更多
1.1. Development of international data exchange standards in securities field Securities market involves a large number of participants, like investors, securities companies, exchanges, clearingcorporations and so on...1.1. Development of international data exchange standards in securities field Securities market involves a large number of participants, like investors, securities companies, exchanges, clearingcorporations and so on. Businesses among the participants are completed via data exchange. Therefore, the data exchange protocols serve an important factor to determine and promote the sate and rapid development of the securities market.展开更多
The article presents the example of using relations between the price of wheat flour sold by the milling companies and the price of wheat futures listed on the FOREX market to protect the companies from bakery sector ...The article presents the example of using relations between the price of wheat flour sold by the milling companies and the price of wheat futures listed on the FOREX market to protect the companies from bakery sector against adverse price movements of raw material--wheat flour. The paper aims to present a method which can help to reduce risk of changes wheat flour price in the market by using wheat futures traded at FOREX market. For the analysis authors used weekly data since January 2006 until October 2010 about wheat flour price, wheat grain price, wheat futures prices, quotes a currency pair USD/PLN. Wheat flour prices came from studies of the Department of Agricultural Markets, Ministry of Agriculture, and Rural Development in Poland and represented the average sales price of wheat flour by milling companies. Information about wheat futures and quotes a currency pair USD/PLN reflects the actual trading of the FOREX market. Authors used statistical analysis tool for determining the strength of the relationship between the price of wheat flour and the wheat price on the domestic market and the wheat futures price. The correlation coefficient between them was 0.763. For further test authors used seven different options that use future contracts to reduce fluctuations in the flour price which can be used in bakery businesses. These results of research show that someone can effectively use wheat futures contracts listed on the FOREX market to protect the bakery business against adverse movements of wheat flour prices. Application in practice chosen strategies can allow bakery companies to achieve cost advantages by reducing the adverse changes in the wheat flour prices. Chosen strategies are more efficient if the prices of flour in the domestic market are rising. If prices drop down, the effectiveness of using wheat futures contracts was lower. It should be noted that wheat futures contracts are a good tool to achieve cost advantages in the bakery industry, especially when the wheat flour prices are increased on the domestic market.展开更多
Recent price movement All benchmark prices except the CC Index increased over the past month.Prices for the March NY futures contract surged in late December,rising from75 cents/lb to just below 80 cents/lb.Following ...Recent price movement All benchmark prices except the CC Index increased over the past month.Prices for the March NY futures contract surged in late December,rising from75 cents/lb to just below 80 cents/lb.Following that round of increases,展开更多
2017.09 Released by Cotton Incorporated Recent price movement NY futures and the A Index were influenced by U.S.crop expectations over the past month.Chinese prices were affected by exchange rates.South Asian prices w...2017.09 Released by Cotton Incorporated Recent price movement NY futures and the A Index were influenced by U.S.crop expectations over the past month.Chinese prices were affected by exchange rates.South Asian prices were flat or lower.After collapsing with the release of a higher U.S.production forecast in last month＇s report,NY futures moved higher with production-related concerns stemming from the arrival of two major.展开更多
This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and volume.It is different from stock market,whic...This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and volume.It is different from stock market,which has a distinctive pattern of U-shaped.The financial market microstructure theory,traders' psychology and trading mechanism are applied to explain it.Then this paper studies the factors that influence volatility of return and the lagged orders.The results show that there is a bilateral Granger causality among any two of the absolute return,volume and open interest,and it is different from the empirical results of the stock market,in the sense that there is only a unilateral Granger causal relationship from volume to absolute return.The authors also analyze the dynamic relationship among these three factors.The empirical results tell that the influence of open interest on volatility of absolute return and volume is weak,and there is a strong correlation between absolute return and volume.Some investment suggestions are offered from the analysis mentioned above.展开更多
supported by the National Natural Science Foundation of China under Grant Nos.71125005 70871108 and 70810107020;; Outstanding Talents Funds of Organization Department Beijing Committee of CPC
During the late Ming dynasty, conspicuous consumption based on global commerce vicariously impacted on literati life and elite taste in gardens, paintings, books, and antiquities. The expanding literati appetite for c...During the late Ming dynasty, conspicuous consumption based on global commerce vicariously impacted on literati life and elite taste in gardens, paintings, books, and antiquities. The expanding literati appetite for consumption carried over to the eighteenth century. The patrons of the late Ming（1368-1644） and early Qing（1644-1911） garden estates, for example, lived in a world where silver from the New World was exchanged to pay for Chinese commodities, principally silk, porcelain, tea, and jade. The Ming economy was further transformed by an agrarian revolution in which cotton displaced rice production in southern coastal provinces and the influx of Japanese silver heightened the monetarization of the sixteenth century economy in unprecedented ways. Ming Chinese unwittingly faced a global marketplace. Their arts and letters would never be the same again.展开更多
文摘Research on information spillover effects between financial markets remains active in the economic community. A Granger-type model has recently been used to investigate the spillover between London Metal Exchange(LME) and Shanghai Futures Exchange(SHFE) ,however,possible correlation between the future price and return on different time scales have been ignored. In this paper,wavelet multiresolution decomposition is used to investigate the spillover effects of copper future returns between the two markets. The daily return time series are decomposed on 2n(n=1,…,6) frequency bands through wavelet mul-tiresolution analysis. The correlation between the two markets is studied with decomposed data. It is shown that high frequency detail components represent much more energy than low-frequency smooth components. The relation between copper future daily returns in LME and that in SHFE are different on different time scales. The fluctuations of the copper future daily returns in LME have large effect on that in SHFE in 32-day scale,but small effect in high frequency scales. It also has evidence that strong effects exist between LME and SHFE for monthly responses of the copper futures but not for daily responses.
文摘This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market, both in their means and in their conditional volatilities, to investigate whether the association is linear or not. The novelty of this work is based on intraday data from both markets. The empirical findings indicate the presence of nonlinearities both in means and conditional volatilities. Moreover, non-linear causality estimations both in means and in volatilities reveal the presence of bi-directional causality, a fact that provides additional support to the hypothesis that both markets are driven by the same information sets.
文摘Price discovery is the basic function of futures market, and whether the futures market has the function of price discovery is an important research field for scholars both at home and abroad. This paper classifies the test methods and models on a basis of previous research, and introduces the applicable premise of research methods and models as well as the major research achievements of scholars at home and abroad, and also reviews the shortcomings of test methods and models.
文摘This study investigates the relationship between trading volume and returns in SET50 index Futures market in the period from April 2006 to December 2008 using 653 observations. From previous studies, we include three methodologies namely the GARCH model, the Generalized Method of Moments （GMM） to estimate systems of equations and the Granger causality test to investigate the relationship more thoroughly. In addition, we introduce the lagged volume as a new explanatory variable in the GARCH model. Overall, the results show the significant contemporaneous and dynamic relationships between trading volume and returns volatility which support the sequential information arrival hypothesis and imply some degree of market inefficiency. The results from this study also show that past information of trading volume can be used to improve the prediction of price volatility. Therefore, regulators and traders could include past information of trading volume of SET50 index futures in tracking and monitoring the market volatility level and the investment risk in order to make a timely decision.
文摘Data from the World Federation of Exchanges show that Brazil＇s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built： ARFIMA, vector autoregressive （VAR）, and vector error correction （VEC）. Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.
文摘Electric power market is the lifeblood of business survival, electric power is the power of marketing the company＇ s core business and it is related to the survival and development of the electricity business. Power supply enterprises are to strengthen management, improve efficiency, and reduce costs, we must establish a customer-oriented new concept ＂big marketing, big market, big serve,＂ through the analysis of the current electricity market environment, we can develop appropriate marketing power strategy to effectively open up the electricity market and improve power enterprises in the market economy ＇ s competitiveness.
文摘1.1. Development of international data exchange standards in securities field Securities market involves a large number of participants, like investors, securities companies, exchanges, clearingcorporations and so on. Businesses among the participants are completed via data exchange. Therefore, the data exchange protocols serve an important factor to determine and promote the sate and rapid development of the securities market.
文摘The article presents the example of using relations between the price of wheat flour sold by the milling companies and the price of wheat futures listed on the FOREX market to protect the companies from bakery sector against adverse price movements of raw material--wheat flour. The paper aims to present a method which can help to reduce risk of changes wheat flour price in the market by using wheat futures traded at FOREX market. For the analysis authors used weekly data since January 2006 until October 2010 about wheat flour price, wheat grain price, wheat futures prices, quotes a currency pair USD/PLN. Wheat flour prices came from studies of the Department of Agricultural Markets, Ministry of Agriculture, and Rural Development in Poland and represented the average sales price of wheat flour by milling companies. Information about wheat futures and quotes a currency pair USD/PLN reflects the actual trading of the FOREX market. Authors used statistical analysis tool for determining the strength of the relationship between the price of wheat flour and the wheat price on the domestic market and the wheat futures price. The correlation coefficient between them was 0.763. For further test authors used seven different options that use future contracts to reduce fluctuations in the flour price which can be used in bakery businesses. These results of research show that someone can effectively use wheat futures contracts listed on the FOREX market to protect the bakery business against adverse movements of wheat flour prices. Application in practice chosen strategies can allow bakery companies to achieve cost advantages by reducing the adverse changes in the wheat flour prices. Chosen strategies are more efficient if the prices of flour in the domestic market are rising. If prices drop down, the effectiveness of using wheat futures contracts was lower. It should be noted that wheat futures contracts are a good tool to achieve cost advantages in the bakery industry, especially when the wheat flour prices are increased on the domestic market.
文摘Recent price movement All benchmark prices except the CC Index increased over the past month.Prices for the March NY futures contract surged in late December,rising from75 cents/lb to just below 80 cents/lb.Following that round of increases,
文摘2017.09 Released by Cotton Incorporated Recent price movement NY futures and the A Index were influenced by U.S.crop expectations over the past month.Chinese prices were affected by exchange rates.South Asian prices were flat or lower.After collapsing with the release of a higher U.S.production forecast in last month＇s report,NY futures moved higher with production-related concerns stemming from the arrival of two major.
基金supported by the National Science Fund of China under Grant Nos.71471182 and 71071170Program for New Century Excellent Talents in University under Grant No.NCET-11-0750Program for Innovation Research in Central University of Finance and Economics
文摘This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and volume.It is different from stock market,which has a distinctive pattern of U-shaped.The financial market microstructure theory,traders' psychology and trading mechanism are applied to explain it.Then this paper studies the factors that influence volatility of return and the lagged orders.The results show that there is a bilateral Granger causality among any two of the absolute return,volume and open interest,and it is different from the empirical results of the stock market,in the sense that there is only a unilateral Granger causal relationship from volume to absolute return.The authors also analyze the dynamic relationship among these three factors.The empirical results tell that the influence of open interest on volatility of absolute return and volume is weak,and there is a strong correlation between absolute return and volume.Some investment suggestions are offered from the analysis mentioned above.
基金supported by the National Natural Science Foundation of China under Grant Nos.71001096,70933003,and 71071170
文摘supported by the National Natural Science Foundation of China under Grant Nos.71125005 70871108 and 70810107020;; Outstanding Talents Funds of Organization Department Beijing Committee of CPC
文摘During the late Ming dynasty, conspicuous consumption based on global commerce vicariously impacted on literati life and elite taste in gardens, paintings, books, and antiquities. The expanding literati appetite for consumption carried over to the eighteenth century. The patrons of the late Ming（1368-1644） and early Qing（1644-1911） garden estates, for example, lived in a world where silver from the New World was exchanged to pay for Chinese commodities, principally silk, porcelain, tea, and jade. The Ming economy was further transformed by an agrarian revolution in which cotton displaced rice production in southern coastal provinces and the influx of Japanese silver heightened the monetarization of the sixteenth century economy in unprecedented ways. Ming Chinese unwittingly faced a global marketplace. Their arts and letters would never be the same again.
