Starting from November 20, 1998, Hong Kong Futures Exchange extends its trading hours of Hang Seng Index Futures (HSIF) by opening 15 minutes earlier in the morning session, and closes 15 minutes later in the afternoon session. The longer trading period of the index futures contracts provides an opportunity for investors to trade on any new information in the absence of the underlying spot mark...

Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...

This study examines the impact of migration to electronic trading on the relative informational efficiency between an index futures contract and the underlying cash index. The recent move to electronic trading of the Hong Kong Hang Seng Index futures contract provides an opportunity to study how the change affects the effective bid and ask spread in the futures market and the dynamic relationsh...

The paper investigates downtrend algorithm and trading strategy based on chart pattern recognition and technical analysis in futures market. The proposed chart formation is a pattern with the lowest low in the middle and one higher low on each side. The contribution of this paper lies in the reinforcement of statements about the profitability of momentum trend trading strategies. Practical bene...

Brooksley Elizabeth Born, of the District of Columbia, to be a Commissioner of the Commodity Futures Trading Commission for the remainder of the term expiring April 13, 1999. Brooksley Elizabeth Born, of the District of Columbia, to be Chairman of the Commodity Futures Trading Commission. David D. Spears, of Kansas, to be a Commissioner of the Commodity Futures Trading Commission for the term e...

Since financial derivatives are key instruments for risk taking as well as risk reduction, it is only straightforward to examine their role in currency crises. This paper addresses this issue by investigating the impact of currency futures trading on the underlying exchange rates. After a discussion of trading mechanisms and trader types, the linkage between futures trading activity and spot ma...

In this article, we explore what happens when idea(l)s of Islamic charity ( sadaqah ) and social enterprise converge within a low-cost public health clinic in Colombo, Sri Lanka. For both the clinic’s wealthy sponsors urban poor who use it, interpreting intervention as pious expression care toward or for-profit humanitarian venture meant extending different futures to poor. The ambiguous tempor...

This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using 15 years of futures and futures options data for three agricultural commodities, we find that the si...

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...

Screen-based futures markets are gaining trading volumes at the expense of traditional open outcry floor markets. In comparison with open outcry trading – used on the Chicago Board of Trade (CBOT), the world largest futures market – electronic markets offer enhanced transparency, and greater access to users, who can enter orders directly. Screen markets can also maintain strict time priorities ...