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Does international order flow contribute to price discovery in futures markets?

Frino, Alex; Webb, Robert I.; Zheng, Hui - In: The journal of futures markets 32 (2012) 12, pp. 1124-1143

Persistent link: https://www.econbiz.de/10009697772

Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions

Low, Aaron; Muthuswamy, Jayaram; Webb, Robert I. - In: The journal of futures markets 19 (1999) 7, pp. 799-815

Persistent link: https://www.econbiz.de/10001443356

Continuously traded options on discretely traded commodity futures contracts

Webb, Robert I.; Iwata, Gyoichi; Fujiwara, Koichi; … - In: The journal of futures markets 17 (1997) 6, pp. 633-666

Persistent link: https://www.econbiz.de/10001228028

Price Discovery in China’s Crude Oil Futures Markets : An Emerging Asian Benchmark?

Yu, Ziliang; Yang, Jian; Webb, Robert I. - 2022

We examine the price discovery performance of China’s crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and non-deliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at...

Persistent link: https://www.econbiz.de/10014236263

The price impact of futures trades and their intraday seasonality

Webb, Robert I.; Ryu, Doojin; Ryu, Doowon; Han, Joongho - In: Emerging markets review 26 (2016), pp. 80-98

Persistent link: https://www.econbiz.de/10011670875

Commodity futures characteristics and asset pricing models

Qin, Yiyi; Cai, Jun; Zhu, Jie; Webb, Robert I. - 2025

Persistent link: https://www.econbiz.de/10015376604

Price discovery in China's crude oil futures markets : an emerging Asian benchmark?

Yu, Ziliang; Yang, Jian; Webb, Robert I. - In: The journal of futures markets 43 (2023) 3, pp. 297-324

Persistent link: https://www.econbiz.de/10014293068

The impact of commodity benchmarks on derivatives markets : the case of the dated Brent assessment and Brent futures

Frino, Alex; Ibikunle, Gbenga; Mollica, Vito; Steffen, Tom - In: Journal of banking & finance 95 (2018), pp. 27-43

Persistent link: https://www.econbiz.de/10011966695

Are hedgers informed? : an examination of the price impact of large trades in illiquid agricultural futures markets

Frino, Alex; Lepone, Andrew; Mollica, Vito; Zhang, Shunquan - In: The journal of futures markets 36 (2016) 6, pp. 612-622

Persistent link: https://www.econbiz.de/10011568463

The Impact of Commodity Benchmarks on Derivatives Markets : The Case of the Dated Brent Assessment and Brent Futures

Frino, Alex - 2018

We examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark published by Platts. Trading activity in the futures market intensifies during the benchmark assessment. We also find trading in the direction of the published benchmark during the price assessment window....

Persistent link: https://www.econbiz.de/10012936590