Models of futures markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Routledge
2000
|
| Edition: | 1. publ. |
| Series: | Routledge studies in the modern world economy
18 |
| Subjects: | |
| Online Access: | Table of Contents Inhaltsverzeichnis |
| Physical Description: | XV, 170 S. |
| ISBN: | 0415182549 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
List of figures x
List of tables xi
List of contributors xii
Brief description of this book xvi
1 Introduction: welfare, rationality and integrity
in futures markets 1
BARRY A. GOSS
The gains from futures trading 1
Rationality and rival hypotheses 4
The integrity of futures markets: price limits and the
distribution of price changes 10
2 The gains from futures trading 15
DEREK FRANCIS
Introduction 15
The basic model 16
The Pareto production gains from
forward contracting 18
The evolution of futures trading 20
Some initial implications 23
Gains from futures trading 24
Comparing futures trading with forward contracting 26
Dynamic welfare considerations 27
The need for futures markets explained through quicker
adaptation to exogenous disturbance 29
viii Contents
Adaptation to the shock with only a spot market 33
The effects of futures on spot price variability 34
Overall summary 35
3 The development of commodity futures exchanges
in Kazakhstan and China: evidence on their role in
market development 42
ANNE E. PECK
Introduction 42
The development of commodity futures exchanges 43
The history of a wheat futures market in Kazakhstan 46
The successful development of futures trading
at CZCE 50
Conclusions 56
4 A simultaneous model of the US doIlar/Deutschmark
spot and futures markets 61
BARRY A. GOSS AND S. GULAY AVSAR
Introduction 61
Specification of the model 62
Data, unit roots and co integration
tests, and estimation 67
Results: intrasample period 73
Post sample results 77
Conclusions 79
5 Noise trader sentiment in futures markets 86
DWIGHT R. SANDERS, SCOTT H. IRWIN AND RAYMOND M. LEUTHOLD
Introduction 86
A theoretical noise trader risk model for
futures markets 87
Empirical methodology 91
Noise trader sentiment and data 95
Noise traders impact on futures prices 102
Summary and conclusions 112
Contents ix
6 Microanalytics of price volatility in futures markets 117
A.G. MALL1ARIS AND JEROME L. STEIN
Introduction 117
Background literature 118
An economic theory that implies the
Lorenz system 120
Analysis of the Lorenz system 123
Empirical tests 125
Conclusion 131
7 The integrity of futures markets: the impact of price
limits on futures prices 135
ANTHONY D. HALL, PAUL KOFMAN AND ANTHONY SIOUCLIS
Introduction 135
Absorbing limits: a target zone model 139
Price limits in agricultural futures contracts 144
Concluding remarks 162
Index 168
Figures
1.1 Allocation of two goods, X and Y, depending on spot
price ratio 2
1.2 Production of goods X and Y by producers A and B 3
2.1 Maximum quantities of X and Y that can be produced
by A and B under the basic model 17
2.2 An Edgeworth box construction showing the Pareto
gains from forward contracting 19
2.3 Average transaction costs as a function of volume for
forward contracting and futures trading 27
2.4 Welfare levels for agents trading in alternative
institutional settings 28
2.5 Effect on production of an exogenous disturbance 30
2.6 The cobweb phenomenon 34
4.1 Spot price: intrasample simulation 75
4.2 Futures price: intrasample simulation 76
4.3 Futures price: post sample simulation 78
4.4 Spot price forecasts: post sample 78
5.1 Extrapolative expectations, impulse response function and
Market Vane data 102
6.1 Time series of volatility, errors and speculation for corn 126
6.2 Time series of volatility, errors and speculation for soybeans 126
7.1 June 1988 agricultural futures prices and number of
transactions 149
7.2 Soybean futures price limits in action 150
7.3 Volatility and jumps in futures prices 151
7.4 Liquidity measures 152
7.5 Soybean futures basis behaviour and volatility ratio 153
7.6 Folded distributions for soybean futures price
deviations from the target price 154
7.7 S shapes in agricultural futures returns in the fitted target
zone models, based on the parameter estimates in Table 7.4 160
7.8 Confidence limits for corn 161
Tables
4.1 Unit root tests: augmented Dickey Fuller 69
4.2 Unit root tests: Phillips Perron 70
4.3 Johansen co integration procedure: maximum
eigenvalue test 71
4.4 Parameter estimates 74
4.5 Intrasample simulation of exchange rates 74
4.6 Post sample simulation of exchange rates 77
4.7 Post sample forecasts of spot exchange rate 79
5.1 Markets and contract months 97
5.2 Summary statistics, Market Vane Bullish Sentiment Index 98
5.3 Granger causality test, returns lead sentiment, individual
markets 100
5.4 Pooled causality test, returns lead sentiment 101
5.5 Cross sectional test. 103
5.6 Cross sectional tests, Fama MacBeth regressions 104
5.7 Cumby Modest test, individual markets 106
5.8 Pooled Cumby Modest test, Market Vane data, weekly 108
5.9 Granger Causality test, sentiment leads returns, weekly
Market Vane data 110
5.10 Pooled causality test, sentiment leads returns, weekly
Market Vane data 111
6.1 Interaction of variables 124
6.2 Values of coefficients from system estimation: model 2 128
6.3 Wald coefficient tests: model 2 129
7.1 Descriptive statistics 145
7.2 Sample split statistics 147
7.3 Target zone log likelihoods 157
7.4 Target zone estimates 158
|
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| spelling | Goss, Barry A. Verfasser aut Models of futures markets Barry A. Goss 1. publ. London Routledge 2000 XV, 170 S. txt rdacontent n rdamedia nc rdacarrier Routledge studies in the modern world economy 18 Futures gtt Wiskundige modellen gtt Mathematisches Modell Futures market -- Mathematical models Terminmarkt (DE-588)4184759-3 gnd rswk-swf Termingeschäft (DE-588)4117190-1 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Terminmarkt (DE-588)4184759-3 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Termingeschäft (DE-588)4117190-1 s Routledge studies in the modern world economy 18 (DE-604)BV010677319 18 http://lcweb.loc.gov/catdir/toc/99036657.html Table of Contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008760191&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Goss, Barry A. Models of futures markets Routledge studies in the modern world economy Futures gtt Wiskundige modellen gtt Mathematisches Modell Futures market -- Mathematical models Terminmarkt (DE-588)4184759-3 gnd Termingeschäft (DE-588)4117190-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4184759-3 (DE-588)4117190-1 (DE-588)4114528-8 (DE-588)4143413-4 |
| title | Models of futures markets |
| title_auth | Models of futures markets |
| title_exact_search | Models of futures markets |
| title_full | Models of futures markets Barry A. Goss |
| title_fullStr | Models of futures markets Barry A. Goss |
| title_full_unstemmed | Models of futures markets Barry A. Goss |
| title_short | Models of futures markets |
| title_sort | models of futures markets |
| topic | Futures gtt Wiskundige modellen gtt Mathematisches Modell Futures market -- Mathematical models Terminmarkt (DE-588)4184759-3 gnd Termingeschäft (DE-588)4117190-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Futures Wiskundige modellen Mathematisches Modell Futures market -- Mathematical models Terminmarkt Termingeschäft Aufsatzsammlung |
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