Earticle

초록

영어

To test the effectiveness of position limits, this study examines the impact of the relative size of hedger and speculator open interests on the price discovery process in both JPY-USD and EUR-USD futures markets. Hedging trading has a negative impact, regardless of its size, on price discovery in futures markets. Hedgers are less likely to be information motivated, so their trading uniformly delays the price discovery process. However, there is a positive and nonlinear impact of speculators’ trade size on price discovery, the contribution of which depends on the relative size of the speculative open interest. Contrary to conventional wisdom among regulators, speculative trading does not harm the market in terms of price discovery; more important, as long as speculative trading is lower than an endogenously determined threshold, it even improves futures market efficiency.

목차

Abstract
 1. Introduction
 2. Data
 3. Methodology
  3.1. Information shares
  3.2. Logistic smooth transition regression (LSTR) model
  3.3. Empirical models
 4. Empirical Results
  4.1 Impact of hedger trading positions on price discovery
  4.2 Impact of speculators’ trading positions on price discovery
 5. Conclusions
 References
 Table
 Appendix

키워드

저자

• Ya-Kai Chang [ Department of Money and Banking College of Commerce National Chengchi University ]
• Yu-Lun Chen [ Department of Finance College of Business Chung Yuan Christian University ]
• Robin K. Chou [ Department of Finance College of Commerce National Chengchi University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330