the trading day than during the first or final hours. Purchase block trades induce relatively smaller price impact on … induce less price impact than in equity or conventional futures markets, and that a significant proportion of the effects … contradict findings on block trades in those markets; thus we provide the first evidence of the curious bent to block trading in …

&P500 futures have experienced increasing volatility persistence to shocks over the 1990s. In all remaining markets, hedgers … most futures returns in the 29 US markets were leptokurtic …

futures markets in China and the United States. Results indicate that the Sino-US trade friction weakened the return spillover … effect between the soybean futures markets in China and the US, and significantly increased market volatilities. As the scale … of additional tariffs increased, the volatility of the Chinese soybean futures market declined; however, the volatility …

management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the … imposition on the total volume traded of a few select commodity futures as well as on the overall efficiency of the commodity … market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …

.By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …

transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures … associated with hedging pressure on the futures and especially on the options market. News media also helps amplify the …