This paper examines the relationships amongst volatility, total trading volume (TVOL) and total open interest (TOI) for three Taiwan stock index futures markets as well as the role of the latter two variables in the dynamics of GARCH modeling and forecasting. From both ex-post and ex-ante perspectives, we study this issue by using the VAR model and augmented GARCH-type models, respectively. For the GARCH-type models, we employ both symmetric and asymmetric models augmented with lagged logs in TOI and/or TVOL. We find that whether addition of these two variables helps the basic GARCH models predict future volatility depends upon the sample period examined for all three sets of futures. Nonetheless, the best three models for out-of-sample volatility forecasting in the MSE sense are genera...
The old rules for profiting from drought speculation in the cattle futures markets aren't working in current conditions, said Lane Broadbent, principal at Oklahoma City-based KIS Futures. Too many factors just don't make sense, making it harder than usual to predict where the industry is going to turn next.
The Commission charges fees to designated contract markets and registered futures associations to recover the costs incurred by the Commission in the operation of its program of oversight of self- regulatory organization rule enforcement programs, specifically National Futures Association, a registered futures association, and the designated contract markets. The calculation of the fee amounts charged for FY 2011 by this notice is based upon an average of actual program costs incurred during FY 2008, 2009, and 2010.
The OTC market, which is dominated by commercial banks, has been alleged to pose a considerable barrier to the growth of exchange traded derivatives. If banks substitute OTC products to their captive clients, transactions costs for hedging could be excessive relative to those of exchange traded products. The dominant position of OTC currency derivatives products relative to exchange traded derivatives could be troublesome for a number of other reasons including lack of transparency, with insufficient disclosure at the entity level. Lower transactions costs and trader anonymity provide relative advantages to futures markets for conveying information of informed traders/speculators. This paper tests the informational advantage hypothesis for foreign exchange futures contracts relative to ...
...PART 17: REPORTS BY REPORTING MARKETS, FUTURES COMMISSION MERCHANTS, CLEARING MEMBERS, A...
The study tests the effect of trader types on the intraday volatility-volume relation in four futures markets. Each trade is identified by the trader type on both sides of a transaction. The results from a VAR model show that the dynamic volatility-volume relation depends on the trader types involved. The positive contemporaneous volatility-volume relation is driven mainly by volume from trading between floor traders and customers. Contemporaneous volatility is either not related or negatively related to volume from trading between floor traders, which is consistent with conventional wisdom that floor traders are informed traders. On the other hand, volatility is significantly positively related to volume from trading between customers only in the two agricultural markets but not in the...
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