Search Results - subject:"Open Interest"

Mexico; Financial Sector Assessment Program Update: Technical Note: Derivatives Market: Overview and Potential Vulnerabilities

International Monetary Fund (IMF); International … - 2007

This technical note provides an overview of Mexicoâ€™s derivatives markets, and describes concisely the derivatives regulatory framework and risk management practices in financial institutions active in these markets. The most important derivatives market in Mexico is the over-the-counter...

Persistent link: https://www.econbiz.de/10011243042

Mexico; Financial Sector Assessment Program Update: Detailed Assessment on the Implementation of the IOSCO Objectives and Principles of Securities Regulation

International Monetary Fund (IMF); International … - 2007

The Detailed Assessment report on Mexicoâ€™s implementation of the International Organization of Securities Commissions Objectives and Principles of Securities Regulation is analyzed. The Mexican securities market is dominated by daily trading in short-term government debt securities,...

Persistent link: https://www.econbiz.de/10011243947

Impact of open interest on realized volatility in oil futures

Chung, Huimin; Tseng, Tseng-chan; Chen, Chi-yuan - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 853-860

Persistent link: https://www.econbiz.de/10010363101

Crude oil, equity and gold futures open interest co-movements

Souček, Michael - In: Energy economics 40 (2013), pp. 306-315

Persistent link: https://www.econbiz.de/10010350647

On the predictive role of large futures trades for S&P500 index returns : an analysis of COT data as an informative trading signal

Chen, Haojun; Maher, Daniela - In: Journal of international financial markets, … 27 (2013), pp. 177-201

Persistent link: https://www.econbiz.de/10010411744

Expiration day effects and market manipulation : evidence from Taiwan

Chow, Edward Hsing-yi; Hung, Chung-wen; Liu, Christine … - In: Review of quantitative finance and accounting 41 (2013) 3, pp. 441-462

Persistent link: https://www.econbiz.de/10010188258

Expiration day effects and market manipulation: evidence from Taiwan

Chow, Edward; Hung, Chung-Wen; Liu, Christine; Shiu, … - In: Review of Quantitative Finance and Accounting 41 (2013) 3, pp. 441-462

open interest for the final settlement of index futures contracts relating to different classes of traders, as well as the … profits they earn from their open interest positions. We find that proprietary traders exhibit superior performance whereas …

Persistent link: https://www.econbiz.de/10010867740

On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal

Chen, Haojun; Maher, Daniela - In: Journal of International Financial Markets, … 27 (2013) C, pp. 177-201

This study examines the information role of large S&P500 futures trades (commercial, noncommercial, dealers, asset managers, and hedge funds) in shaping index returns. Using consolidated data across both standard and E-mini futures contracts, we find that commercial firms’ net trading level...

Persistent link: https://www.econbiz.de/10010718962

Crude oil, equity and gold futures open interest co-movements

Souček, Michael - In: Energy Economics 40 (2013) C, pp. 306-315

gold futures market, proxied by open interest. It provides empirical evidence that stock and crude oil futures demand for … hedging is positively related, but reacts negatively to sudden shocks in open interest on the other market. Furthermore, gold … futures open interest reacts positively to shocks in the crude oil futures trading activity. The level of instantaneous …

Persistent link: https://www.econbiz.de/10011039652

Open interest, cross listing, and information shocks

Aguenaou, Samir; Ap Gwilym, Owain; Rhodes, Mark J. - In: The journal of futures markets 31 (2011) 8, pp. 755-778

Persistent link: https://www.econbiz.de/10009157428