The informational role of end-of-day returns in stock index futures

Article Abstract:

The role of end-of-the-day S&P 500 futures returns is investigated. Results indicate that end-of-day futures return volatility for a specific day of the week is positively correlates to the information gathering incentive on the 11:00 am spot price. Friday 11:00 am spot prices are relatively strong which indicate more unfavorable information being produced. Wednesdays exhibit a relatively weak 11:00 am spot price. Analysis indicate that the flow of information is linked to the day of the week.

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Do futures markets react efficiently to predictable errors in government announcements?

Article Abstract:

An analysis of the futures market's reaction to predictable errors in government forecasts revealed that the United State's Department of Agriculture's (USDA) announcement of the actual number of sows farrowing in the previous quarter did contain information touching futures prices, but that the predictable component of errors in the USDA farrowing intentions announcements did not effect the subsequent movements on futures prices for live hogs.

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Rational speculative bubbles in the gold futures market: an application of dynamic factor analysis

Article Abstract:

Issues concerning a study of the gold futures market are discussed with emphasis on the presence of speculative bubbles. The use of dynamic factor analysis to examine whether the occurrence of these bubbles is rational is described.

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