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Debt, Risk and Liquidity in Futures Markets
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The issues of developing country debt crises, increased volatility and risk, and the determination of market liquidity are high on the agendas of policy-makers, market participants and researchers in the area of financial markets. These issues are also of major importance to regulators and exchange officials. This book contains a collection of eight papers which provide new insights into all three issues, with special emphasis on futures markets, which have received relatively little attention in the analysis of these problems.
These papers address issues which range from excess debt as a warning signal of impending financial crisis, through trading patterns in Chinese futures markets, to agricultural futures and Fourier analysis of intraday data. The book then progresses from realized volatility in thin futures markets, through forecast- ing and profits in currency futures, to key issues in liquidity, such as traders’ perceptions of the price path in the presence of order imbalance, and the determinants of liquidity in US electricity futures.
Issues explored and findings reported in this book, have implications for policy-makers in framing recommendations to government, for government offi- cials in shaping the regulatory structure of futures exchanges, for traders on these exchanges, and also for researchers planning future investigations. The book is relevant for postgraduate and advanced undergraduate courses on finan- cial markets in Economics, Finance and Banking
Barry A. Goss - Personal Name
1st Edtion
0-203-94015-6
NONE
Debt, Risk and Liquidity in Futures Markets
Management
English
2008
New York
1-231
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