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A tale of two contracts : was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?

Xiong, Tao; Li, Miao - In: The journal of futures markets 44 (2024) 2, pp. 281-301

Persistent link: https://www.econbiz.de/10014475473

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko - 2007

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

Persistent link: https://www.econbiz.de/10010295927

Price discovery on traded inflation expectations: does the financial crisis matter?

Schulz, Alexander; Stapf, Jelena - 2009

We analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on one market and the less one market is disrupted by the financial crisis the more valuable is its information...

Persistent link: https://www.econbiz.de/10010298999

International price discovery in the presence of market microstructure effects

Grammig, Joachim G.; Peter, Franziska J. - 2008

This paper addresses and resolves the problems caused by microstructure effects when measuring the relative importance of home and U.S. market in the price discovery process of internationally cross listed stocks. In order to avoid large bounds for information shares, previous studies applying...

Persistent link: https://www.econbiz.de/10010302547

Tell-tale tails: A data driven approach to estimate unique market information shares

Grammig, Joachim G.; Peter, Franziska J. - 2010

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

Persistent link: https://www.econbiz.de/10010302551

Price discovery no mercado de câmbio Brasileiro: O preço é formado no mercado à vista ou futuro?

Santos, Francisco Eduardo de Luna Almeida; Garcia, … - 2014

This study aims to analyze price discovery in the foreign exchange market in Brazil and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. Using high frequency data from January/2008 to June/2013, we estimate the following price discovery metrics:...

Persistent link: https://www.econbiz.de/10011372252

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The … similar analysis using the usual (non-fractional) CVAR model. Our first finding is that, for all markets except copper, the … do not reject the hypothesis that price discovery takes place exclusively in the spot (futures) market for copper, lead …

Persistent link: https://www.econbiz.de/10011380829

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...

Persistent link: https://www.econbiz.de/10011380833

The information content of Hungarian sovereign CDS spreads

Varga, Lóránt - 2009

In our paper we present how the Hungarian credit default swap (CDS) market functions, and indicate its position in the global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary's credit risk, and to determine the role of the Hungarian...

Persistent link: https://www.econbiz.de/10010322419

Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - 2003

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard variance ratio'' approach,...

Persistent link: https://www.econbiz.de/10010324874

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