TIME‐VARYING VOLATILITY IN CANADIAN AND U.S. STOCK INDEX AND INDEX FUTURES MARKETS: A MULTIVARIATE ANALYSIS

We use a multivariate generalized autoregressive heteroskedasticity model (M‐GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, S&P 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross‐market influences. Estimated time variation in volatility is significant, and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures markets has declined over time.     

THE RELATION BETWEEN THE FEDERAL FUNDS CASH AND FUTURES MARKETS

The introduction of futures contracts did not alter the regularity in the cash market that results from the Federal Reserve regulation of the bank-settlement process. Although we find a positive preholiday effect in the Fed funds futures returns, we do not find evidence that Federal Reserve regulations cause that effect. Contrary to previous observations for other futures contracts, we find Fridays and preholidays have the largest net volume. We suggest this finding of high volume is consistent with hedging activity by financial institutions before market closings.     

THE OVERNIGHT AND DAILY TRANSMISSION OF STOCK INDEX FUTURES PRICES BETWEEN MAJOR INTERNATIONAL MARKETS

Stock index futures prices for the world's major equity markets, Japan, the UK and the US, are used to examine the interaction of international equity markets. By using stock index futures prices, we avoid the nonsynchronous data problem inherent with opening and closing market averages. We find that the US is the dominant world market; overnight returns in Japan and the UK are greatly influenced by the US daily returns. In contrast, the Japanese market has no impact on the overnight or daily returns in the UK, while the UK daily performance has a small influence on Japanese overnight returns. Slight evidence of over-reaction at the opening of Japanese futures exists as the daily Nikkei returns are negatively related to the US returns.     

LIQUIDITY AND PRICE VARIABILITY IN FUTURES MARKETS

This paper tests the hypothesis that market liquidity affects the price variability of futures contracts. The analyses used take into account the maturity effect and various sources of nonstationarity. Empirical testing involved eleven commodities in various markets. The evidence strongly suggests that futures contracts in distant and thinly traded months exhibit different price variability than contracts in near to maturity and liquid traded months, and that the behavior is commodity dependent. These findings could help investors better evaluate risks and provide a better basis for hedging strategies. Also, monthly averages of open interest can be used interchangeably with volume to measure liquidity in determining which pattern applies to a given commodity.     

期货市场倾心“三农”——访全国人大代表、大连商品交易所总经理刘兴强

发端于农产品的期货市场在服务“三农’’方面大有可为已经成为全世界公认的事实。如何发挥市场配置资源的基础性作用,让期货市场更好地为“三农”、产业及国民经济服务,是刘兴强一直在研究、思索与努力的方向。 “今年期货市场发展大环境比过去更加有利。,刘兴强表示,尽管总理政府工作报告对期货市场没有提出具体要求,但“十二五”规划、今年一号文件和全国金融工作会议都对期货市场发展提出了新的目标和要求。