Does International Order Flow Contribute to Price Discovery in Futures Markets?

This study examines whether order flow originating from overseas contributes to price discovery in domestic futures markets. This issue is examined using a unique dataset for stock index futures traded on the Australian Securities Exchange that identifies the geographic location of computer servers on which orders are placed. We find that (i) transactions originating from overseas servers have a significant impact on the price volatility of stock index futures; (ii) trades initiated from international servers also have a permanent impact on price; and (iii) price movements caused by trades initiated from overseas servers lead those on domestic servers and make a greater contribution to price discovery. Our results confirm that international order flow is important in the price discovery process in domestic markets.     

Price Savings to Consumers at Farmers' Markets

This study determined the price savings to be realized by consumers by shopping at 15 certified farmers’ markets in California during the summer and fall of 1979. Substantial savings were found compared to local supermarket prices and the differences appeared in cities of different size and during different seasons of the year.     

Price Discovery in Interrelated Markets

In this study, we generalize the information share (IS) proposed by Hasbrouck (1995) and extended by Lien and Shrestha (2009). The new generalized information share (GIS) can be used to analyze the price discovery process in interrelated securities markets, whereas the previous two measures can only be applied to almost identical markets. Thus, using the GIS, we can analyze broader markets thereby improving our understanding of the price discovery process as well as the efficiency of securities markets. As an empirical demonstration of the proposed method, we apply the GIS to credit default swap (CDS) and bond markets, and find that for the majority of cases price discovery mostly takes place in the CDS markets. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:203–219, 2014     

沪深300股指期货与现货的价格发现分析——基于频带分解的视角

运用集合经验模式分解方法(EEMD)对沪深300股指期货与现货价格进行频带分解,并在重构不同周期长度的波动分量的基础上,应用向量自回归、Granger因果检验分析指数期货与现货在对应短周期、中周期波动分量与长期趋势分量间的引导关系,结果表明:指数期货与现货间的价格发现关系具有随着波动成分周期长度不同而变化的结构化特征;在短周期波动分量上,指数期货对现货存在较为有限的价格发现能力;而在中周期波动分量与长期趋势分量上,现货在价格发现中居主要地位。     

Hedging in Futures and Options Markets with Basis Risk

This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in most models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in both the settlement price and the basis risk and (ii) futures contracts and options on futures at different strike prices are available. The design of the first‐best hedging instrument is first derived and then it is used to examine the optimal hedging strategy in futures and options markets. The role of options as useful hedging tools is highlighted from the shape of the first‐best solution. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:59–72, 2002     

Investor Sentiment and Return Predictability in Agricultural Futures Markets

This study examines the usefulness of trader‐position‐based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment‐based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging‐pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:929–952, 2001     

Slower Price Rises in Commodity Markets

The rise in commodity prices continues due to strong demand from emerging economies in Asia. But not all prices are going up. Several industrial raw materials seem to have peaked earlier this year. Is this the beginning of a general change in price direction?     

论电子商务市场中的"价格歧视"

本文分析了电子商务市场上价格歧视的形式与内容 ,并运用信息经济学的方法分析了电子商务市场中价格歧视的实施障碍、形成原因及所造成的后果 ,最后提出了解决此问题的对策建议。     

我国期货市场的波动性与有效性--基于三大交易市场的实证分析

通过对中国三大期货市场的铜、黄豆和小麦三种主要期货品种收益率的分布与波动性的实证分析 ,论证了其时间序列存在ARCH效应 ;运用GARCH模型对这三种期货品种进行了拟合分析和统计检验 ,检验结果表明这三个期货品种的波动性均具有很高的持续性 ,但大连黄豆的波动持续性弱于上海铜和郑州小麦 ,其波动性受各种外部冲击的影响较大 ;通过GARCH( 1 ,1 )的市场有效性检验 ,论证了中国期货市场尚未达到弱式有效 ,市场风险较大。     

High-Frequency Price Discovery and Price Efficiency on Interest Rate Futures

This paper estimates a collection of high-frequency informational efficiency metrics by constructing a unique Eurodollar futures data set with the complete messaging history. To capture price efficiency, this paper calculates the mid-quote return autocorrelations following a full range of time intervals. The findings suggest the mid-quote return autocorrelations are positive and gradually increase from the tick-level to 30-min. Then, I utilize a vector autoregression to estimate the pricing error, which shows the adjustment time of trade returns is completed in 1 s. Furthermore, trade prices are less sensitive about incorporating any available new information as the Eurodollar futures approaches its maturity.