Search results for "futures"

Calendar Anomalies in Stock Index Futures

2011

There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes. In this paper, we present a comprehensive study of 188 possible cyclical anomalies in S&P 500, DAX and Nikkei stock index futures contracts from 1991 to 2008. Frictions in futures markets, unlike spot markets frictions, make it feasible to produce economically significant profits from trading rules based on calendar effects. By applying a percentile-t-bootstrap and Monte Carlo methods, our analysis rev…

What You Should Know About Carbon Markets

2008

Since the entry into force of the Kyoto Protocol, carbon trading has been in continuous expansion. In this paper, we review the origins of carbon trading in order to understand how carbon trading works in Europe and, specifically, the functioning of the European Union Emission Trading Scheme (EU ETS) and the workings of several spot, futures and options markets where European Union Allowances are traded. As well, the linking of the EU ETS with the other United Nations carbon markets is also studied.

Information Flows Across Wheat Futures Markets

2015

We study information flows across four wheat futures markets on four continents: Zhengzhou Commodity Exchange (ZCE), South African Futures Exchange (SAFEX), Euronext/Liffe, and Kansas City Board of Trade (KCBT). Three main approaches have been applied: cointegration techniques, VAR analysis, and a multiple regression model proposed by Peiro, Quesada, and Uriel (1998) to study information flows among non-synchronous markets. Our results indicate that no long-run links exist among the four markets, that ZCE is by far the most endogenous market, and that Euronext/Liffe is the most exogenous one. Furthermore, the model by Peiro et al. (1998) points to KCBT as the most influential as well as the…

Trend Switching Processes in Financial Markets

2010

For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes at a specific point from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating increasing trends (“bubble formation”) and decreasing trends (“bubble collapse”), on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for very short time scales. Our analysis is based on a German DAX Future data base containing 13,991,275 transactions recorded with a time resolution of 10− 2 s. For a parallel analysis, we use a data base of all S&P500 stocks …

The inconvenience yield of carbon futures

2021

Abstract Since 2009, the European Carbon Futures Market has been in a permanent contango situation that is characterised by systematic negative convenience yields that allow investors to exploit profitable arbitrage opportunities. The objective of this paper is to analyse the possible drivers of these negative convenience yields. Our empirical results indicate that although some carbon trading variables are behind this contango situation, the carbon inconvenience yield is better explained if other financial markets and variables are considered, suggesting a financialization of the European Carbon Futures Market.

Differences in agency? How adolescents from 18 countries perceive and cope with their futures

2012

This study investigated how N = 5,126 adolescents (mean age of 15 years) from 18 countries perceive and cope with future- and school-related stress. The adolescents completed the Problem Questionnaire (PQ), which assesses stress, and the Coping Across Situations Questionnaire (CASQ), which assesses three coping styles (reflection/support-seeking, emotional outlet, and withdrawal/denial). Across countries, adolescents reported considerably higher levels of future-related stress than school-related stress. The adolescents actively coped with stressors in both domains and seldom relied on emotional outlet or withdrawal/denial. A clustering of the countries according to socioeconomic criteria …

What factors drive returns on initial coin offerings?

2020

Abstract In recent years, initial coin offerings (ICOs) have received considerable attention as a new form of crowdfunding. Because of the rapid growth in their popularity, ICOs have become a prominent research topic. However, the lack of knowledge about the nature of this kind of financial operation inevitably raises several important unanswered questions. This study starts by providing a comprehensive description of the characteristics, benefits, and risks associated with ICOs. Then, using a panel data set comprising daily information for 125 ICOs (44,217 observations gathered from December 2017 to December 2018), this study explores the influence of the ICO presale period, ICO category, …

Museums and public value – creating sustainable futures

2013

Introduction: using our pasts, defining our futures – debating heritage and culture in Europe

2019

This introduction to the themed section Using our Past, Defining our Futures – Debating Heritage and Culture in Europe summarises the three articles and outlines their approach to heritage. The aut...

La industria del cómic en España: radiografía de ¿un mito o una realidad?

2011

In spite of the importance of figures referred to published titles, or number of copies printed, which help to set publishing strategies and to really know the comic situation in Spain, there are no liable data. We are giving in this article, some enlightening data along with some explanations related to the evolution of the market from 2001 to 2009. The different titles are grouped considering the place they come from (Europe, Asia, United States…), along with their format (album, book, magazine, comic-book…). Using all this information, we can deduce evolution lines, tendencies, futures perspectives in an industry that, despite its precariousness, is facing an increasing number of copies …