Market Liquidity Behaviour in Futures Markets: Empirical Evidence
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 1
Abstract
In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid-ask spread, and intraday price volatility. Hausman’s (1978) tests of specification confirmed that trading volume, bid-ask spread and intraday price volatility are jointly determined. Our study, leaded with a different approach to estimate the three parameters in a three-equation simultaneous structural model, confirm Hausman’s (1978) conclusions. Empirical analysis, based on eight financial futures contracts, the most actively traded futures contracts in the Chicago Board of Trade (CBT) and the Chicago Mercantile Exchange (CME) markets, use the generalized method of moments (GMM) procedure. Empirical results, supporting theoretical developments, indicate the existence of a simultaneous relationship between these three variables of financial markets liquidity.
Authors and Affiliations
Fathi ABID| Professor of Finance University of Sfax: UR: MO.DE.S.FI Faculty of Business and Economics of Sfax, TUNISIA, Lotfi TRABELSI| Assistant professor of finance University of Sfax: UR: MO.DE.S.FI IHEC-Sfax
FINANCIAL ACCOUNTING FRAUD DETECTION USING BUSINESS INTELLIGENCE
The paper investigates the inherent problems of financial fraud detection and proposes a forensic accounting framework using business intelligence as a plausible means of addressing them. The paper adopts an empirical ca...
COMPARATIVE ANALYSIS OF ISLAMIC AND CONVENTIONAL BANKS IN THE UAE DURING THE FINANCIAL CRISIS
The discourses of Islamic and conventional finance differ according to the principles of Islamic finance there is no separation of the spiritual and the secular. Islamic finance is explicitly concerned with spiritual val...
POVERTY AND INCOME INEQUALITY IN NIGERIA: ANY CAUSALITY?
The issue of poverty has continued to pose serious threat to the continued cordial existence of an economy like Nigeria. Issues pertaining to poverty and inequality have also continued to receive wider attention among sc...
NATURAL RESOURCES, CONFLICT AND GROWTH NEXUS
Using panel data and GMM estimators we find that conflict and less developed countries (LDCs) natural resources have a positive and significant impact on GDP in the developed countries (DCs), while the lagged value of th...
GLOBALIZATION AND ECONOMIC GROWTH: THE CASE STUDY OF DEVELOPING COUNTRIES
The aim of this study is to investigate the effect of dimensions of globalization on economic growth in 100 developing countries using panel data. The globalization index used is KOF and period of study is 1970-2014.The...