Cross-market linkages between U.S. and Japanese precious metals futures trading

Xu, Xiaoqing Eleanor; Fung, Hung‐Gay

doi:10.1016/j.intfin.2004.03.002

Cited by 116 publications

(70 citation statements)

References 32 publications

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“…Despite its importance, with the gold market representing approximately the same gross size as the US--Australian and US -Canadian dollar foreign exchange markets (based on 2010 data in Bank for International Settlements (2011)) we find surprisingly little research has been undertaken on this area in the gold market. Xu and Fung (2005) and Lin, Chiang, and Chen (2008) use GARCH models to examine the COMEX--TOCOM linkages, while Fuangkasem, Chunhachinda, and Nathaphan (2012) look at the COMEX--MIX (india)--TOCOM markets.…”

Section: Introductionmentioning

confidence: 99%

London or New York: Where and When Does the Gold Price Originate?

Larkin

O’Connor

2012

SSRN Journal

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Section: Introductionmentioning

confidence: 99%

London or New York: Where and When Does the Gold Price Originate?

Larkin

O’Connor

2012

SSRN Journal

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“…Prior studies have explored the information transmission mechanism across markets in different geographic locations as well as the price linkages between futures market and the corresponding spot market (e.g., Eun and Shim 1989;Ghosh et al 1999;Xu and Fung 2005). Trading activities in futures markets and their interactions with pricing dynamics have also been examined in the literature (i.e., Seguin 1992, 1993;Fung and Patterson 2001;Kao and Fung 2012;Pliska and Shalen 1991).…”

mentioning

confidence: 99%

The effect of nighttime trading of futures markets on information flows: evidence from China

Fung

Mai

Zhao

2016

China Financ. and Econ. Rev.

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Background: In the past couple of years, China's futures exchanges have launched nighttime trading sessions. Methods: We use daily data from 23 commodity futures to investigate the impact of this important policy change. Results: Our findings suggest that the launching of nighttime trading effectively improved the efficiency of futures prices and reduced the volatility of prices. The normality of returns improves during the post-nighttime trading period. As documented in the literature, the interactions between trading activities (i.e., trading volume and open interest) and volatility conform better to the observed patterns in developed markets. Conclusions: This study provides sound evidence that China has taken steady steps toward its goal of establishing price-setting power in key commodities on world financial markets.

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“…The δ 2 -coefficient (indicating the degree of volatility persistence) is significant for both the original and proxy stocks. All of these coefficients were found to be smaller than one (except for the odd two out of 400 estimated AS models), which, according to Xu and Fung (2005), is a requirement for the stability of volatility persistence terms. A high level of volatility persistence implies that fluctuations will remain for an extended period.…”

Section: Aggregate Shock Modelsmentioning

confidence: 90%

The influence of volatility spill-overs and market beta on portfolio construction

Heymans¹,

Brewer²

2015

SAJEMS

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This study adds to Modern Portfolio Theory (MPT) by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects among stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spill-over effects were estimated with a residual-based test (aggregate shock [AS] model) framework. It is shown that when a particular stock attracted fewer volatility spill-over effects from the other stocks in the portfolio, the overall portfolio volatility decreased as well. In most cases market beta showcased similar results. Therefore, in order to construct a more efficient risk-adjusted portfolio, one requires both a portfolio that has a unit correlation with the market (beta-based), and stocks that showcase the least amount of volatility spill-over effects amongst one another. These results might assist portfolio managers to construct lower mean variance portfolios.

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Cross-market linkages between U.S. and Japanese precious metals futures trading

Cited by 116 publications

References 32 publications

London or New York: Where and When Does the Gold Price Originate?

London or New York: Where and When Does the Gold Price Originate?

The effect of nighttime trading of futures markets on information flows: evidence from China

The influence of volatility spill-overs and market beta on portfolio construction

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