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...

Underlying the search for arbitrage opportunities across commodity futures markets that differ in market structure is the idea that the futures prices for similar commodities that are traded on different exchanges adjusted for differences in currency, delivery time (if any), location, and market...

This article investigates the predictive power of popular market‐based sentiment measures for subsequent returns on the Standard & Poor’s (S&P) 500 futures contract over 10‐day, 20‐day, and 30‐day horizons from January 1989 through June 1999. These measures include the volatility...