TITLE

Price discovery and causality in the Australian share price index futures market

AUTHOR(S)
Turkington, Joshua; Walsh, David
PUB. DATE
December 1999
SOURCE
Australian Journal of Management (University of New South Wales);Dec99, Vol. 24 Issue 2, p97
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Studies the causal relationship between prices of share index futures and the All-Ordinaries Index in Australia. Impact of market structure on informed trading; Electronic market's potential to enhance price discovery; Correctness of the cost-of-carry model.
ACCESSION #
2608037

 

Related Articles

  • A study of the index-futures price relationship within the Malaysian stock index futures market. Ramasamy, Suganthi; Shanmugam, Bala // Derivatives Use, Trading & Regulation;2004, Vol. 10 Issue 2, p156 

    Many studies have been undertaken on the index--futures lead--lag in developed countries. Hardly any, however, have been focused on the Malaysian stock index futures market. This project focuses on the index--futures lead--lag in the Malaysian stock index futures market. The data used in this...

  • index futures.  // Bloomsbury Business Library - Business & Management Dictionary;2007, p3823 

    A definition of the term index futures is presented. It refers to a futures contract trading in one of the major stock market indices.

  • Understanding crossovers. Farley, Alan // Futures: News, Analysis & Strategies for Futures, Options & Deri;Jul2007, Vol. 36 Issue 9, p54 

    The article reports on the concept of moving average crossovers which add horsepower to many types of trading strategies in the U.S. It is stated that crossovers mark important shifts in momentum and support/resistance regardless of holding period. However, despite benefits of using crossovers...

  • Speed of Adjustment and Infraday/Intraday Volatility in the Italian Stock and Futures Markets. Gottardo, Pietro // Modern Economy;Nov2011, Vol. 2 Issue 5, p735 

    We estimate the speed of adjustment of prices to value changes in the Italian stock and futures markets using variances in different return intervals. The paper presents evidence that an assumption of linearity for the relationship volatility-time is untenable when intraday and infraday data are...

  • Navigating markets in the age of index funds. van Essen, Emily // Futures: News, Analysis & Strategies for Futures, Options & Deri;Nov2008, Vol. 37 Issue 12, p54 

    The article focuses on the impact of the massive influx of capital into commodity futures from index funds on some basic market relationships in the U.S. Long only commodity funds (LOCF) have come to dominate the futures industry through both their sheer position sizes and the constant swirl of...

  • Momentum brake.  // Money (Australia Edition);Aug2007, Issue 93, p81 

    The article presents a trend analysis of the economic conditions in Australia. Over the last few months to August 2007, the Australian stock exchange would surge forward and drop back, a pattern repeated a number of times. As a result the key market indices such as the S&P/ASX 200 and All...

  • VIX futures, options to be available for trading.  // Pensions & Investments;9/15/2003, Vol. 31 Issue 19, p22 

    The Chicago Board Options Exchange (CBOE) announced that futures and options on the CBOE Volatility index will soon be available for trading. VIX futures, which offer a standardized, exchange-traded volatility contract, will be the first product listed on the newly established CBOE Futures Exchange.

  • Commodity Index Investing and Commodity Futures Prices. Stoll, Hans R.; Whaley, Robert E. // Journal of Applied Finance;2010, Vol. 20 Issue 1, p7 

    Recently, commodity index investing has come under attack. A Staff Report by the US Senate Permanent Subcommittee on Investigation (hereafter, the "subcommittee report") "...finds that there is significant and persuasive evidence to conclude that these commodity index traders, in the aggregate,...

  • The legal limits.  // Futures: News, Analysis & Strategies for Futures, Options & Deri;Dec2007, Vol. 36 Issue 15, p57 

    The article discusses the legal issues in futures trading in the U.S. and in the international market. The financial contracts outside of the country need to be approved by the Securities and Exchange Commission (SEC) for legal use by consumers. The Commodity Futures Trading Commission (CFTC)...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics