Futures commitments and exchange rate volatility

Journal of Business Finance and Accounting

Volumn 25, Issue 3-4, 1998, Pages 501-520

  Adrangi, Bahram ^a   Chatrath, Arjun ^a  

^a UNIVERSITY OF PORTLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 27844579399     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00200     Document Type: Article

References (40)

1. Akaike, H. (1973), 'Information Theory and the Extension of the Maximum Likelihood Principle', in B.N. Petrov and F. Caski (eds.), Second International Symposium on Information Theory (Budapest).
2. Akgir, V. (1989), 'Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts', Journal of Business, Vol.62, pp. 55-80.
3. Backus, D.K. and P.J. Kehoe (1992), 'International Evidence on the Historical Properties of Business Cycles', American Economic Review, pp. 864-888
4. Barro, R.J., E.F. Fama, D.R. Fischel, A.H. Meltzer, R. Roll and L.G. Telser (1989), 'Black Monday and the Future of Financial Markets' (Mid-America Institute of Public Policy Research, Homewood, IL: Irwin).
5. Becketti, S. and D.J. Roberts (1989), 'Will Increased Regulation of Stock Index Futures Reduce Stock Market Volatility?', Federal Reserve Bank of Kansas City, Economic Review, Vol.75, pp. 33-46.
6. Bessembinder, H. and P.J. Seguin (1992), 'Futures Trading Activity and Stock Price Volatility, Journal of Finance, Vol.47, pp. 2015-2034
7. Bollerslev, T. (1986), 'Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, Vol.33, pp. 307-327
8. Brady, N. (1988), 'Report of the Presidential Task Force on Market Mechanisms' (Washington, DC).
9. Bray, M. (1981), 'Futures Trading, Rational Expectations, and the Efficient Market Hypothesis', Econometrica, Vol.49, pp. 575-596
10. Chatrath, A., S. Ramchander and F. Song (1995), 'Does Options Trading Lead to Greater Cash Market Volatility?' Journal of Futures Markets, Vol.15, pp. 785-803.
11. - (1996), 'The Role of Futures Trading Activity in Exchange Rate Volatility', Journal of Futures Markets, Vol.16, pp. 561-584
12. Clifton, E.V., (1985), 'The Currency Futures Market and Interbank Foreign Exchange Trading', Journal of Futures Markets, Vol.5, pp. 375-384
13. Committee on Banking, Finance, and Urban Affairs (1988), US House of Representatives (May).
14. Cox, C. (1976), 'Futures Trading and Market Information', Journal of Political Economy, Vol.48, pp. 1215-1237
15. Danthine, J. (1978), 'Information, Futures Prices, and Stabilizing Speculation', Journal of Economic Theory, Vol.17, pp. 79-98.
16. Darrat, A.F. and S. Rahman (1995), 'Has Futures Trading Activity Caused Stock Price Volatility?' Journal of Futures Markets, Vol.15, pp. 537-557
17. Durbin, J. (1970), 'Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables', Econometrica, Vol.38, pp. 410-421
18. Edwards, F.R. (1988), 'Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures, Journal of Futures Markets, Vol.8, pp. 421-439
19. Eldridge, R. M. (1984), 'Intertemporal Price Volatility of Foreign Currency Futures Contracts', Journal of Futures Markets, Vol.4, pp. 133-140
20. Grammatikos, T. and A. Saunders (1986), 'Futures Price Variability: A Test of Maturity and Volume Effects', Journal of Business, Vol.59, pp. 319-330
21. Grossman, S.J. (1988), 'An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies', Journal of Business, Vol.61, pp. 275-298
22. - and Z. Zhou (1996), 'Equilibrium Analysis of Portfolio Insurance', Journal of Finance, Vol.51, pp. 1379-1403
23. Hartzmark, M. (1986), 'The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance', Journal of Business, Vol.59, pp.157-180
24. Hodrick, R.J. and E.C. Prescott (1980), 'Postwar US Business Cycles: An Empirical Investigation', Discussion Paper 451 (Carnegie-Mellon).
25. Hsieh, D.A. (1989), 'Testing for Nonlinear Dependence in Exchange Rate Changes', Journal of Business, Vol.62, pp. 339-368
26. Ito, T. and V.V. Roley (1987), 'News From the US and Japan: Which Moves the Yen/Dollar Exchange Rate?', Journal of Monetary Economics, Vol.19, pp. 255-277
27. Kwast, M. L. (1986), 'Futures Markets and Transaction Costs', in: M.L. Kwast (ed.), Financial Futures and Options in the US Economy (Federal Reserve Board of Governors, Washington, DC), pp. 1-38.
28. Kydland, F.E. and E.C. Prescott (1989), 'A Fortran Subroutine for Efficiently Computing HP-filtered Time Series', Federal Reserve Bank of Minneapolis Research Memorandum (April).
29. - (1990), 'Business Cycles: Real Facts and Monetary Myth', Federal Reserve Bank of Minneapolis Quarterly Review (Spring), pp. 3-18.
30. Kyle, A.S. (1985), 'Continuous Auction and Insider Trading', Econometrica, Vol.53, pp. 1315-1335
31. - (1988), 'Improving the Performance of the Stock Market', California Management Review, Vol.30, pp. 90-114.
32. Martin, L. and P. Garcia (1981), 'The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis', American Journal of Agricultural Economics, Vol.63, pp. 209-215
33. Newey, W. and K. West (1987), 'A Simple, Positive Semi-deñnite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix', Econometrica, Vol.55, pp. 703-708
34. Powers, M.J. (1970), 'Does Futures Trading Reduce Price Fluctuations in Cash Markets?', American Economic Review, Vol.60, pp. 460-464
35. Schwarz, T.V. and F. Laatsch (1991), 'Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets', Journal of Futures Markets, Vol.11, pp. 669-683
36. Simpson, W.G. and T.C. Ireland (1985), 'The Effect of Futures Trading on Price Volatility of GNMA Securities', Journal of Futures Markets, Vol.2, pp. 357-366
37. Skinner, D. J. (1989), 'Options Markets and Stock Return Volatility', Journal of Financial Economics, Vol.23, pp. 61-78.
38. Stein, J.C. (1987), 'Information Externalities and Welfare-Reducing Speculation', Journal of Political Economy, Vol.95, pp. 1123-1145
39. Stoll, H.R. and R. E. Whaley (1988), 'Volatility and Futures: Message Versus Messenger', Journal of Portfolio Management, Vol.14, pp. 20-22.
40. US General Accounting Office (1994), 'Financial Derivatives: Actions Needed to Protect the Financial System' (Washington, DC), GAO/GGD-94-133.