We examine relationships among currency and commodity futures markets based on four commodity exporting countries' currency futures returns and a range of index based commodity futures returns. These four commodity linked currencies are the Australian dollar, Canadian dollar, New Zealand dollar,...

The extension of trading hours for HS 300 index futures (China Shanghai Shenzhen 300 Stock Index Futures or Hushen 300 Index) in China provides an opportunity for examining whether extended futures trading has significant price discovery in exchange-traded fund (ETF) returns during regular...

We investigate “black mouth” in the Chinese stock market, which is a form of manipulation based on disinformation, and examine how investors react to such behavior and its underlying impact mechanism. Black mouth temporarily leads to abnormal investor attention and triggers an abnormal stock...

This paper examines the relationship between daily price volatility and trading activity one year before and after a change in the size of selected futures contracts. The following three contracts are included in this study: the Stock Price Index traded on the Sydney Futures Exchange (SFE),...

US dairy futures markets of milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing scheme. We show dairy volatilities have a relatively low connectedness among themselves and a commodity index. Dairy futures markets respond to...

The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988-1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the...

Using the forward-looking Secured Overnight Financing Rate (SOFR), we find that SOFR provides more price discovery than the London Interbank Offered Rate (LIBOR). In the context of incorporating information into market rates, our results support the Alternative Reference Rates Committee policy...

We examine the profitability of a cross-asset time-series momentum strategy (XTSMOM) constructed using past crude oil options and stock market returns as joint predictors. We show that past crude oil options straddle returns negatively predict while past stock returns positively predict future...