Prior to 1986, any opening position on feeder cattle futures contract must be settled with physical delivery after the last trading day. Due to dwindling commercial interests, Chicago Mercantile Exchange (CME) subsequently replaced the system with the cash settlement method. It was argued that...

We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we document the subtle interaction between...

On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the...

In this note, I derive a new formula for PEG ratio, utilizing the insight from Farina's (1969) original equation and Lynch's (1989) assertion that for a stock to be fairly valued, the PEG and earnings growth rate has to be the same. After deriving the new formula, I demonstrate how the new...

This paper investigates the correlation and feedback relationships between the Hong Kong Hang Seng Index (HSI), the Hang Seng Chinese Enterprise Index (CEI) and the S&P 500 Index (SP). We divide the indexes into two separate periods, from the inception of the CEI in 1994 to the stock market...

We propose using a new relative measure, the speculative ratio, defined as trading volume divided by open interest, to gauge speculative activity in the oil futures market. We apply the speculative ratio to examine the relation between basis and speculative activity in the oil futures market...

Empirical studies support evidence of major financial markets affecting minor markets. During the Asian Crisis, however, major markets, such as the US and Japan, reacted to the problems in smaller markets such as Hong Kong and Singapore. In this paper we apply a VAR model to capture the changes...

Before the return of Hong Kong to China there has been speculations that the change will reduce the role of Hong Kong as the financial center in Southeast Asia. It is also suggest that Singapore will take over such role. In this paper we study the change in information flows between the stock...

On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the...

This paper investigates the impact of the introduction of options on the underlying asset's price formation process, using Geweke feedback measures. We derive the feedback measures from the Deutsche Mark, British Pound, Swiss Franc, Japanese Yen and Canadian Dollar futures and spot prices,...