Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information

The role of proprietary information in forecasting and market efficiency in the U.S. live cattle futures market is investigated. Using a unique proprietary data source collected by a private firm, we test whether the initial estimates in the USDA Cattle on Feed Report and the Knight‐Ridder pre‐release forecasts are unbiased and efficient forecasts of final revised USDA Cattle on Feed Report numbers. We then use these results to test whether futures price movements are predictable based on information in the proprietary data. We also test whether the initial estimates from the Cattle on Feed Report have new information that moves prices once the information contained in the proprietary data source has been taken into account. Results suggest that the information contained in the proprietary data source does have statistically significant explanatory power for forecasting final revised Cattle on Feed Report numbers and for predicting short‐term price movements of futures contracts. The results are inconsistent with strong‐form market efficiency in the live cattle futures market. We also find that the initial estimates in the Cattle on Feed Report still have new information that moves prices even after accounting for the unique information in both the Knight‐Ridder pre‐release forecasts and the proprietary data. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:429–451, 2004     

Information revelation in the futures market: Evidence from single stock futures

This paper analyzes 31 months of data on 137 single‐stock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the ratio of spreads in the futures and the stock markets and the volatility in the stock market. Moreover, the quality of the market for the underlying stocks improves substantially after the introduction of the SSFs market, with the largest improvement occurring on days with SSFs trading. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:335– 353, 2008     

Clustering in the futures market: Evidence from S&P 500 futures contracts

We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is designated a front‐month contract (decrease in clustering) and a back‐month contract (increase in clustering). We find that trade price clustering is a positive function of volatility and a negative function of volume or open interest. In addition, we find a high degree of clustering in the daily opening and closing prices, but a lower degree of clustering in the settlement prices. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:413–428, 2004     

Resiliency in the E-mini futures market

We study how quickly liquidity is replenished on the order book in E-mini futures. The results show that participants who use patient methods, such as limit orders, are often fast to place new orders, while those using impatient market orders are slow to re-enter the market. These delays are a function of state constants, such as firm types, state conditions, such as whether the order is price improving, and time-varying covariates, such as the volume of trade during the gap. We also find support for the view that certain traders delay providing liquidity during active markets to avoid informed trading.     

Causality in the VIX futures market

This study examines the price‐discovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear Engle–Granger cointegration test with an error correction mechanism (ECM) shows that during the full sample period, VIX futures prices lead spot VIX index, which implies that the VIX futures market has some price‐discovery function. But a modified Baek and Brock nonlinear Granger test detects bi‐directional causality between VIX and VIX futures prices, suggesting that both spot and futures prices react simultaneously to new information. Quarter‐by‐quarter investigations show that, on average, the estimated parameters are not significantly different from zero, thus providing further evidence supporting information efficiency in the VIX futures market. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

股指期货对股票市场的影响分析

中国股票市场发展至今已有近18年的历史,多年来,由于缺乏有效的风险对冲工具,市场一直处于一条腿走路的尴尬局面.而股指期货的推出必将对股票市场产生重大影响,本文将就此做简要的分析.     

The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis

This paper investigates and analyzes the intraday and daily determinants of bid-ask spreads (BASs) in the foreign exchange futures (FXF) market. It is found that the number of transactions and the volatility of FXF prices are the major determinants. The number of transactions is negatively related to the BAS, whereas volatility in general is positively related to it. The study also finds that there are economies of scale in trading FXF contracts. The intraday BAS follows a U-shaped pattern, and they tend to be higher on Mondays and Tuesdays than on other days of the week. Higher spreads at the beginning and end of a trading day are consistent with the presence of adverse selection and the avoidance of the possibility of carrying undesirable inventory overnight, respectively. Seasonal differences in BASs that are related to the delivery date of a contract are also found. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 307–324, 1999