Price Discovery In The Foreign Currency Futures And Spot Market
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| Author | : Joshua V. Rosenberg |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
In this paper, we compare price discovery in the foreign exchange futures and spot markets during a period in which the spot market was less transparent but had higher volume than the futures market. We develop a foreign exchange futures order flow measure that is a proxy for the order flow observed by Chicago Mercantile Exchange pit traders. We find that both foreign currency futures and spot order flow contain unique information relevant to exchange rate determination. When we measure contributions to price discovery using the methods of Hasbrouck and of Gonzalo and Granger, we obtain results consistent with our order flow findings. Taken together, our evidence suggests that the amount of information contained in currency futures prices is much greater than one would expect based on relative market size.
| Author | : Juan Cabrera |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures.
| Author | : Jerome Leon Stein |
| Publisher | : |
| Total Pages | : 148 |
| Release | : 1992 |
| Genre | : Commodity futures |
| ISBN | : |
| Author | : Alastair Graham |
| Publisher | : Routledge |
| Total Pages | : 120 |
| Release | : 2014-06-23 |
| Genre | : Business & Economics |
| ISBN | : 1135968101 |
The Currency Risk Management series offers readers, researchers, and financial professional a time-tested training tool for understanding and working in the increasingly complex currency markets. This series breaks new ground in simplicity, clarity, and ease of application in risk management practice.
| Author | : Fouad Sabry |
| Publisher | : One Billion Knowledgeable |
| Total Pages | : 313 |
| Release | : 2024-01-22 |
| Genre | : Business & Economics |
| ISBN | : |
What is Spot Market The spot market, often known as the cash market, is a public financial market that facilitates the acquisition and sale of financial instruments or commodities for immediate delivery. On the other hand, a futures market, in which delivery is scheduled for a later date, is not the same thing. The settlement process in a spot market typically takes place in T+2 working days, which means that the delivery of cash and commodities must be completed after two working days have passed since the date of the trade. An exchange or an over-the-counter (OTC) market are both viable options for using a spot market. Spot markets are able to function in any location where the necessary infrastructure is present to carry out the transaction. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Spot market Chapter 2: Derivative (finance) Chapter 3: Commodity market Chapter 4: Futures contract Chapter 5: Forward contract Chapter 6: Hedge (finance) Chapter 7: Spot contract Chapter 8: Commodity Futures Modernization Act of 2000 Chapter 9: Swap (finance) Chapter 10: Over-the-counter (finance) Chapter 11: Brent Crude Chapter 12: Foreign exchange option Chapter 13: Contract for difference Chapter 14: Securities market Chapter 15: Non-deliverable forward Chapter 16: Energy derivative Chapter 17: Option (finance) Chapter 18: Weather risk management Chapter 19: LCH (clearing house) Chapter 20: GFI Group Chapter 21: London bullion market (II) Answering the public top questions about spot market. (III) Real world examples for the usage of spot market in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Spot Market.
| Author | : Dimitris Chorafas |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 27 |
| Release | : 2008-03-13 |
| Genre | : Business & Economics |
| ISBN | : 0071731288 |
This chapter comes from Derivative Financial Instruments, written by a renowned corporate financial advisor. This timely guide offers a comprehensive treatment of derivative financial instruments, fully covering bonds, interest swaps, options, futures, Forex, and more. The author explains the strategic use of derivatives, their place in portfolio management, hedging, and the importance of managing risk.
| Author | : Zuliu Hu |
| Publisher | : International Monetary Fund |
| Total Pages | : 26 |
| Release | : 1996-02-01 |
| Genre | : Business & Economics |
| ISBN | : 1451921640 |
A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on the validity of this model. First, contrary to the suggestions in the literature, changes in foreign currency futures prices are serially correlated; variance ratio tests and other related tests overwhelmingly reject Samuelson’s martingale hypothesis. Second, foreign exchange futures prices do not appear to have continuous sample path; the evidence suggests the presence of a jump component, which may lead to pricing bias when applying the standard Black-Scholes option pricing formula to foreign exchange markets.
| Author | : Allan M. Loosigian |
| Publisher | : Irwin Professional Publishing |
| Total Pages | : 344 |
| Release | : 1981 |
| Genre | : Business & Economics |
| ISBN | : |
| Author | : Cornelius Luca |
| Publisher | : Penguin |
| Total Pages | : 516 |
| Release | : 2007-08-07 |
| Genre | : Business & Economics |
| ISBN | : 1101006919 |
Completely updated third edition-insights into the lucrative foreign exchange markets for both beginner and expert traders. A renowned authority on international investing brings the complex machinations of the foreign currency markets vibrantly to life. Cornelius Luca clearly and concisely analyzes the various currencies, market forces, and emerging technologies-and illuminates them all with real-world examples and graphics.
| Author | : Cornelius Luca |
| Publisher | : Penguin |
| Total Pages | : 516 |
| Release | : 2007 |
| Genre | : Business & Economics |
| ISBN | : 9780735204218 |
An expert in the field of international investment furnishes an updated guide to the lucrative but complex world of foreign currency exchange markets for investors of all levels that covers such topics as different types of currency, market forces, emerging technologies, and more.
