This paper investigates the pricing efficiency and hedging effectiveness of the Winnipeg barley futures market, using the Chicago corn futures market as a norm. Several tests of pricing efficiency were conducted and the stability of the basis was studied. The barley futures market operates in a heavily regulated economic environment and this is shown to impact on both price behavior and hedging...

Xiaoyang Wang ([email protected]) is a Graduate Research Assistant with the Office of Futures and Options Research in the Department of Agricultural and Consumer Economics in the University of Illinois at Urbana-Champaign. Philip Garcia is the T.A. Hieronymus Distinguished Chair in Futures Markets and Director, Office of Futures and Options Research in the University of Illinois at UrbanaCha...

This paper aims to illustrate how the combination of Network Analysis and Futures Studies becomes a powerful instrument for envisioning and analyzing futures and social change. The study of three cases shows network analysis becoming an analytical tool in futures studies while, at the same time, acquiring the dimension of change and dynamics steaming from the futurist perspective.

Regional Knowledge Hub for HIV/AIDS Surveillance, Institute for Futures Studies in Health, Kerman University of Medical Sciences, Kerman, Iran DVM, Regional Knowledge Hub for HIV/AIDS Surveillance, Institute for Futures Studies in Health, Kerman University of Medical Sciences, Kerman, Iran Regional Knowledge Hub for HIV/AIDS Surveillance, Institute for Futures Studies in Health, Kerman Universi...

This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula differs from Black’s futures option pricing formula due to the effects of m...

Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...

We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...

Various authors claim to have found evidence of stochastic long memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic and an estimate of the long-memory parameter based on the process spectrum. Results based on these new methods provide no evidence...