Chang, Ya-Kai; Chen, Yu-Lun; Chou, Robin K.; Gau, Yin-Feng - In: Journal of Banking & Finance 37 (2013) 11, pp. 4501-4509
This study considers the effects of the relative size of hedger and speculator open interests and the potential impact of implementing position limits on the price discovery process in both JPY–USD and EUR–USD futures markets. Hedging trading exerts a negative impact, regardless of its size,...