International linkages in Euromark futures markets: Information transmission and market integration

Tse, Yiuman

doi:10.1002/(sici)1096-9934(199804)18:2<129::aid-fut1>3.0.co;2-k

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Introduction2

Hypotheses and Methodology1

Price Discovery and Econometric Methods1

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2009

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Cited by 27 publications

(14 citation statements)

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“…studies such asHill et al (1990),Shyy and Lee (1995),Booth et al (1998) andTse (1998) have examined inter-market return linkages for other futures contracts.…”

mentioning

confidence: 99%

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

Fung

2005

Journal of International Financial Markets, Institutions and Mo

117

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“…studies such asHill et al (1990),Shyy and Lee (1995),Booth et al (1998) andTse (1998) have examined inter-market return linkages for other futures contracts.…”

mentioning

confidence: 99%

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

Fung

2005

Journal of International Financial Markets, Institutions and Mo

117

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“…There is ample evidence that information can transmit between speculative markets. For example, Tse et al (1996), Tse (1998) and Fung et al (2002) have examined the information transmissions and price linkages across markets with similar futures contracts. Prior studies such as those by Ghosh (1993) and Fung and Lo (1995) have investigated the cross-market relationship between futures and spot prices.…”

Section: Hypotheses and Methodologymentioning

confidence: 99%

Implications of futures trading volume: Hedgers versus speculators

Yung

Liu²

2009

J Asset Manag

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The high trading volume in securities markets has puzzled researchers for years. Recently, overconfidence models have offered testable implications to address the puzzle. In this study, we proved empirically that investors have different degrees of overconfidence in trading securities. Using information in the Commitments of Traders reports of the Commodity Futures Trading Commission to differentiate between hedgers and speculators, we find relatively strong and consistent evidence of overconfident trading among futures speculators only. There are four major findings in our results. First, speculators trade more (less) aggressively following gains (losses) in futures markets. Second, speculators trade more (less) aggressively following gains (losses) of related stocks in the stock market. Third, gains (losses) of less-related stocks, however, do not affect the trading of futures speculators. Finally, it is found that overconfident futures speculators assume more (less) risk following market gains (losses). Given that overconfident investors tend to overestimate investment returns, our findings may have important implications for investors in zero-sum financial markets.

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“…There has been an increase in the use of co-integration models to study the relationship between price discovery and lead-lag since the mid-1990s (Hasbrouck, 1995;Tse, 1998;Chu et al, 1999;Tse et al, 2006). The possibility that one variable in a system of n cointegrated series is exogenous within the error correction process motivates the use of error correction models in evaluating price discovery.…”

Section: Price Discovery and Econometric Methodsmentioning

confidence: 99%