The Performance of Event Study Approaches using Daily Commodity Futures Returns

Article Abstract:

The objective of event study methods developed for analysis of daily stock price returns is to test hypotheses relating to the extent to which commodity prices react to market related events. Constant Mean Return (CMR) and several regression models are used to measure reaction of agricultural commodity prices to market related events.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

Information and noise in U.K. futures markets

Article Abstract:

The study of UK future markets reveals that the correlation of futures volume and volatility is based on information inflow. The study also shows that price movements are determined by information and not on noise.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

Futures and options expiration-day effects: The Indian evidence

Article Abstract:

The study of expiration of options and futures effects on the prices, volumes and volatility of underlying shares is presented.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code: