development in the futures market of the EU Emissions Trading Scheme. Our results indicate significant developments consistent …

methodological shortcomings of earlier studies. Acknowledging their practical relevance, we focus on futures and examine the … volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the … imposition on the total volume traded of a few select commodity futures as well as on the overall efficiency of the commodity … market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …

This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to … modify the model to account for time-varying transaction costs. We find that the futures market leads in the process of price … discovery. The lead of the futures market is more pronounced in the presence of arbitrage signals. Thus, when the deviation …

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to … we modify the model to account for time-varying transaction costs. We find that a) the futures market leads in the … price discovery process. -- price discovery ; futures markets ; threshold error correction ; common factor weights …