Search results for "Future."
showing 10 items of 414 documents
The effect of the launch of bitcoin futures on the cryptocurrency market: an economic efficiency approach
2021
We analyze the economic efficiency of the cryptocurrency market after the launch of Bitcoin futures by means of the Data Envelopment Analysis and Malmquist Indexes. Our results show that the introduction of Bitcoin futures did not affect the economic efficiency of the cryptocurrency market. However, we observe that Bitcoin obtained the highest risk-return trade-off due to its liquidity compared to the rest of cryptocurrencies. Therefore, our paper underlines the support of investors on Bitcoin to the detriment of the rest of cryptocurrencies.
Introduction: Why to Study Ageing in Organisations?
2017
Questions related to ageing are shared widely in and between organizations. People are living longer and working longer than they used to earlier (Levinson 1978). The percentage of people over 60 years of age is growing rapidly worldwide, with one report estimating that by mid-century the number of people over 60 will triple to nearly two billion people. This tendency is evident especially in Europe and North America, which countries face the retiring of the baby-boom generation (Aaltio et al., International Journal of Work Innovation, 1(4), 323–329, 2016). The growing phenomenon of ageing has had and will have a major impact on the economy, and on social and work life (Davoudi et al., Futu…
New Nationalism and Higher Education
2020
This book closes with a discussion of new nationalism and the future of Finnish higher education from a language policies viewpoint, in the meeting points of the different national and global spheres. I will first discuss the nature of “new” nationalism. Then, the main discourses of educational, economic and epistemic nationalisms will be discussed. The next section presents global scenarios from the perspective of the intertwined nature of national and international. I will finish with a look into the future of Finnish higher education and the implications of current new nationalist trends for language policies, nationalism, alternate futures and the role of language in all this.
Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold
2018
Based on daily data from 1989-2016 we find that the correlations between some relevant commodity market futures and equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate U.S. equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. For energy sector equities, the dynamics of hedge ratios does not support using either crude oil or gold futures for cross-hedging during stock market crises.
Market efficiency and price discovery relationships between spot, futures and forward prices: the case of the Iberian Electricity Market (MIBEL)
2016
ABSTRACTThis paper analyses the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and over the counter (OTC) forward markets. The study focuses on three items: (i) contrasting the Weak-form efficiency hypothesis of the markets involved in the study, (ii) analysing the Semi-strong-form efficient market hypothesis (EMH) of the MIBEL futures market and (iii) examining the price discovery relationships between the series of prices of the considered markets.The empirical results confirm that 1-month-, 1-quarter-, 1-year-ahead futures and spot markets satisfy, generally, the Weak-form efficiency hypoth…
Do Carbon Traders Behave as a Herd?
2017
Abstract This paper shows the existence of herding behavior in the European Carbon Futures Market and studies its possible causes and consequences. This market is characterized by leading the carbon price discovery process and by being highly dominated by professional traders. Both features make it an appropriate environment for the existence of herding. A patterns analysis indicates that the herding level increases in speculative periods, on those days on which the price and size clustering effect is stronger, and with the arrival of carbon-related news. Regarding possible market drivers, we find that herding behavior is positively related with the number of trades, the intraday volatility…
Is the leadership of the Brent-WTI threatened by China's new crude oil futures market?
2020
Abstract The recent listing of a new crude oil futures contract on the Shanghai International Energy Exchange (INE) has reopened the debate over whether crude oil produced in different countries or locations constitutes a unified world oil market. The aim of this paper is to study the information flows among Brent, West Texas Intermediate (WTI) and the new Medium Sour Crude Oil (SC) futures contract listed on INE futures markets to assess whether the trading of this new futures contract has altered the dominant role of the most traded oil benchmarks in the world. A multiple regression model identifies the Brent futures market as the most influential market in the oil price discovery process…
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
Asymmetric covariance in spot-futures markets
2003
This article studies how the spot-futures conditional covariance matrix responds to positive and negative innovations. The main results of the article are achieved by obtaining the Volatility Impulse Response Function (VIRF) for asymmetric multivariate GARCH structures, extending Lin (1997) findings for symmetric GARCH models. This theoretical result is general and can be applied to analyze covariance dynamics in any financial system. After testing how multivariate GARCH models clean up volatility asymmetries, the Asymmetric VIRF is computed for the Spanish stock index IBEX-35 and its futures contract. The empirical results indicate that the spot-futures variance system is more sensitive to…
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …