This study examines whether information from derivative markets is useful for signaling "hot money" and other large capital flows in an economy where the monetary authority pursues a policy of exchange rate stability. Specifically, this study examines the information content of various Hong Kong...

This article analyzes the behavior of futures prices when the exchange is regulated by price limits. With a model analogous to exchange‐rate target‐zone models, we tested for the existence of a nonlinear S‐shape relation between observed and theoretical futures prices. This phenomenon...

This study examines whether changes in the frequency of market clearing or changes in trading hours on competing exchanges that use different auction systems affect the volatility of futures prices. In particular, this study exploits a natural experiment in the frequency of market clearing of...