The STAR model is used to characterize the time series of aggregate consumption. It makes smooth transition from one optimal level to another, as heterogeneous individuals reach their optimal revision points over time. These results suggest that consumption adjustment costs and heterogeneity...

We test whether stock returns in the Asian markets are characterized by infinite variance or just large variance, which has an important implication for the applicability of many financial models in Asian market data. Employing the extreme value framework, we find that the Asian index return...

This paper has two purposes. First, we examine the relationship between daily price volatility and trading activity one year before and after a change in contract size by examining the results of contract splits in the Australian share price index futures and the U.K. FTSE-100 futures contracts...

<section xml:id="fut21652-sec-0001"> This study examines the informativeness of trades and quotes in the FTSE 100 index futures market. Using a tick time model, we decompose the innovation in the efficient price into a trade‐induced and a quote‐induced part. For the extensive time period from 2001 to 2011, we find that trades...</section>

On December 4, 2006, the side-by-side trading of Commodities Exchange (COMEX) Division’s gold and silver futures contracts was launched on Chicago Mercantile Exchange’s Globex electronic trading platform, as a fight-back against the introduction of copies of these contracts from the Chicago...

We test the hypothesis of Avramov, Chordia, and Goyal (2006) that asymmetric volatility is governed by the trading dynamics of informed and uninformed traders; uninformed trades increase volatility following asset price declines while informed trades decrease volatility following asset price...

The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute‐by‐minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating...