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The information flow and market efficiency exhibited between the aluminum and copper futures markets in the U.S. and Chinese scenarios are analyzed. Both the markets are shown to be closely related and are also highly efficient on a daily basis.

Purpose--The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach--Rather than using squared returns as a proxy for true volatility, this study adopts three range-based proxies (PK, GK and RS), and one return-based proxy (realized volatility), for use in the empirical exercise. The forecast evaluation is conducted using various proxy measures based on both symmetric and asymmetric loss functions, while back-testing and two utility-based loss functions are employed for further VaR assessment with respect to risk management practice. Findings--Empirical results demonstrate that the EGARCH model provides the most accurate daily volatility forecasts, while the performances of the standard GARCH model and the GARCH models with highly persistent and long-memory characteristics are relatively poor. In the area of risk management, the RV-VaR model tends to underestimate VaR and has been rejected owing to a lack of correct unconditional coverage. In contrast, the GARCH genre of models can provide satisfactory and reliable daily VaR forecasts. Originality/value--The unobservable volatility can be proxied using parsimonious daily price range with freely available prices when applied to Taiwanese futures markets. Meanwhile, the GARCH-type models remain valid downside risk measures for both regulators and firms in the face of a turbulent market. Keywords Taiwan, Futures markets, Financial risk, Stocks Paper type Research paper DOI 10.1108/03074351011070233

Several studies are conducted to explain the dynamics of the long forward rate term structures exhibiting high maturities periods. The forecasting performance is shown to be highly enhanced via the no-arbitrage restriction.

The article presents a new set of multivariate volatility models that can be employed for enhancing the performance and the incremental value of a futures hedge. The various effects of hedge horizon on the hedge ratio and effectiveness of the sample data are also analyzed.

The article presents a complete analysis of VIX futures, the new market for volatility trading. The relationship existing between VIX futures prices and the index itself is also analyzed.

Several statistical investigations are performed to study the profitability of technical trading rules that are followed in the U.S. futures markets. The rules are shown to be not profitable for the U.S. markets.

A study proposes an alternate method to measure speculative and hedging activities in futures markets from volume and open interest data, which provides more information on the type of trading activity on a specific day. An empirical analysis of all ratios when applied to real data reveals their diverse behavior, thereby validating the theoretical concept.

A study examines whether persistence is prevalent in some energy futures markets for different maturities. Findings suggest that persistence is not evident in future markets for gasoline, propane, oil and heating oil at different maturities, but is strongly evident for all the variables at different contracts in the volatility process, as substituted by absolute returns.

A study examines whether conditional skewness forecasts of the underlying asset returns are suited to trade profitably in index option markets. Results indicate that conditional skewness model forecasts enable a better performance of skewness-based trades in index option markets, but the profitability is affected by high trading costs.

Several studies based on the volatility index (VIX) futures market are conducted to explain the variances observed in the term structure dynamics. The analysis demonstrates the significance of the various parameter estimates, hence emphasizing the importance and benefits of the variance factor model.

The article studies the volatility risk priced in the KOSPI 200 index options market. Findings reveal that volatility risk does not require a premium in the KOSPI 200 index options market.

Purpose--The paper's objectives are: to address the issue of cointegration (efficient market hypothesis) between Greek spot and futures markets over the period of the crisis, 1999-2001; to investigate the short-run and long-run efficiency of the FTSE/ASE-20 stock index futures contract and FTSE/ASE Mid 40 stock index futures contract traded on the Athens Derivatives Exchange (ADEX). Design/methodology/approach--This paper examines efficiency of the Greek stock index futures market from 1999 to 2001. A variety of econometric models are employed to test for cointegration between prices. The paper uses daily data from the Athens Stock Exchanges (ASEs) and the ADEX. A more detailed discussion on the causal relationship between spot and futures price in ADEX is obtained by using the impulse response functions of the vector error-correction model (to study the behaviour of series from real shocks). Findings--The results show that the Greek futures and spot prices form a stable long-run relationship. For both FTSE/ASE-20 and FTSE/ASE Mid 40, futures markets play a price discovery role, implying that futures prices contain useful information about spot prices. Futures markets are informationally more efficient than underlying stock markets in Greece. Practical implications--The results have important implications for both traders and speculators. The findings are strongly recommended to financial managers dealing with Greek stock index futures. Originality/value--The contribution of this paper is to provide evidence using data from the early stage of the ADEX (started its official operation on 27 August 1999). It also investigates whether the hypotheses exist after the dramatic rise of ASE stock prices. Keywords Stock exchanges, Futures markets, Greece Paper type Research paper

Financial futures hedges typically use one futures market (e.g., a 10-year-note futures to hedge a position in 10-year U.S. Treasury securities). This article reports tests of combination hedges composed of 10-year-note futures and long-bond futures to hedge 10-year Treasuries and compares combination hedges with the standard one-market hedge. The study applies to the U.S. market an approach developed and tested successfully for the German bond market. Combination hedges are generally found to be superior. Of three methods examined for determining hedge ratios--using yields, option-adjusted modified durations, or non-option-adjusted modified durations--combination hedge ratios derived from option-adjusted modified durations performed best.

The examination of the futures prices on the Taiwan futures market before and after the batching period of the stock closing call is presented. The impact of the stock closing method on the pricing of futures options is discussed.

The analysis of statistical data from the American futures markets for the period between March 4, 1997 and December 27, 2005 is presented. The usage of logistic smooth transition regression models to explore the nonlinear relation between speculative trading activity and price changes in the American futures markets is described.

Purpose--This paper seeks to investigate the relationship between volatility and autocorrelation in major European stock index futures markets. Design/methodology/approach--The methodology is based on the exponential autoregressive model with conditionally heteroskedastic errors (EAR-GARCH). Findings--The evidence points to a negative relationship between volatility and autocorrelation. Specifically, autocorrelation is low during volatile periods and high during calm periods. This evidence is in agreement with LeBaron's findings for US stock market returns, suggesting that return dynamics are similar across asset categories. Research limitations/implications--An obvious limitation of this study is the lack of a theoretical justification for the observed relationships in futures markets, an area where future research should be directed. Practical implications--The observed relationships suggest that futures prices are non-linearly predictable so that short-term trading could produce abnormal returns. Originality/value--The paper documents a negative relationship between volatility and autocorrelation in major European futures markets. This finding should be of interest to researchers and market participants. Keywords Market forces, Futures markets, Europe Paper type Research paper

An assessment of extreme spectral risk measures and their utility with respect to margin requirements of futures clearinghouses are discussed.

With reference to a study on Sydney Futures Exchange, the impact of disclosing limit order information on futures markets' uncertainities and market liquidity is examined.

The feasibility of hedging strategies to examine future market volatility is examined.

Foo-shiung Ho used to be in charge of getting Asians to trade on the Chicago Board of Trade (CBOT). Now, as head of the Taiwan Futures Exchange (Taifex), he's one [...]

We show that historical volatility from high frequency returns outperforms implied volatility when standardized returns by historical volatility tends to be normally distributed. For the FTSE 100 futures, we find [...]

A study on the high-frequency intraday returns depicted by the Italian stock index futures during 2000-2002 is presented.

The conversion factoring system of the Chicago Board of Trade (CBOT) entails two rarely understood hedging implications. First, a convexity-based hedge may be essential because Treasury futures' convexity can be [...]

A calibration algorithm that matches the multifactor Gaussian HJM (Heath, Jarrow and Morton) models to the cap implied volatilities, with the respective minimal consistent family use to conclude the forward-rate curve is proposed.

The results of a study conducted to examine the customer order flow composition, and quality of execution for various customer orders in six future pits of the Chicago Mercantile Exchange (CME) are presented

The study of expiration of options and futures effects on the prices, volumes and volatility of underlying shares is presented.

Consider this hypothetical situation: The futures trader has just read yet another article on how selling options can increase the returns on his portfolio. Curious, and somewhat excited, he picks [...]