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The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects

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  • Chng, Michael T.

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  • Chng, Michael T., 2004. "The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 463-483.
    • Handle: RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:463-483
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    1. Hartzmark, Michael L, 1986. "The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance," The Journal of Business, University of Chicago Press, vol. 59(2), pages 147-180, April.
    2. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    3. Ito, Takatoshi & Lin, Wen-Ling, 2001. "Race to the center: competition for the Nikkei 225 futures trade," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 219-242, July.
    4. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    5. Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, June.
    6. Carmine Di Noia, 2001. "Competition and Integration among Stock Exchanges in Europe: Network Effects, Implicit Mergers and Remote Access," European Financial Management, European Financial Management Association, vol. 7(1), pages 39-72, March.
    7. Hsieh, David A & Miller, Merton H, 1990. "Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March.
    8. Howe, John S. & Ragan, Kent P., 2002. "Price discovery and the international flow of information," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 201-215, July.
    9. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
    10. Gannon, G.L., 1994. "Simultaneous Volatility Effects in Index Futures," Papers 94-1, Melbourne - Centre in Finance.
    11. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-684.
    12. Kim, Kenneth & Rhee, S Ghon, 1997. "Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-899, June.
    13. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    14. Kang, Jun-Koo & Stulz, Rene M., 1997. "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan," Journal of Financial Economics, Elsevier, vol. 46(1), pages 3-28, October.
    15. Hasbrouck, Joel, 1995. "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
    16. Kunitomo, Naoto, 1992. "Improving the Parkinson Method of Estimating Security Price Volatilities," The Journal of Business, University of Chicago Press, vol. 65(2), pages 295-302, April.
    17. Wu, Chunchi & Xu, Xiaoqing Eleanor, 2000. "Return Volatility, Trading Imbalance and the Information Content of Volume," Review of Quantitative Finance and Accounting, Springer, vol. 14(2), pages 131-153, March.
    18. Salinger, M.A., 1989. "Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures," Papers t4, Columbia - Center for Futures Markets.
    19. repec:bla:jfinan:v:53:y:1998:i:2:p:431-465 is not listed on IDEAS
    20. Ming-Shiun Pan & L. Hsueh, 1998. "Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 211-225, November.
    21. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
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    Cited by:

    1. Difang Wan & Yang Yang & Dong Fang & Guang Yang, 2010. "Research on the margin of futures markets and the policy spillover effect," China Finance Review International, Emerald Group Publishing, vol. 1(1), pages 34-56, October.
    2. Michael C. Nwogugu, 2020. "Decision-Making, Sub-Additive Recursive "Matching" Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Pref," Papers 2005.01708, arXiv.org.
    3. Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.

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