A VIX futures calendar spread involves buying a futures contract maturing in one month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. A calendar...

Recently, the Shanghai Futures Exchange (SHFE) introduced gold futures trading in China. This paper is the first to study the SHFE gold futures, and to evaluate the futures hedging effectiveness since the introduction. The results show that hedging with gold futures reduces the variance of a...

In April, 2006, the newly established Thailand Futures Exchange (TFEX) launched the SET 50 index futures contract as its first traded product. The launch provides this study with a unique opportunity to investigate the development of liquidity and trading activity on an emerging futures market....

This study presents a model for estimating the asymmetry of the futures price with respect to the futures bid-ask spread. Using data from the Swedish OMXS 30 index futures market, estimation results show clear evidence of futures price asymmetry, where the futures price in general tends to be...

Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, that are, transactions intended to produce idiosyncratic gains based on investors’ beliefs. With futures transactions data, we estimate bet volume as the...