The role of futures trading activity in exchange rate volatility

The role of futures trading activity in exchange rate volatility The purpose of this study is to examine the relationship between the level of trading in currency futures and the variability in underlying exchange rates. The growth in the popularity of currency futures during the last decade has been noteworthy. For instance, a Commodity Futures Trading Commission (CFTC) report, January, 1983, on the Commitment of Traders indicated that for the deutsche mark futures, there were 16,289 long contracts outstanding, of which 3710 were reported as being held by speculators and 7574 held by hedgers. The March, 1993 report on the currency indicated that there were 102,96 1 long contracts outstanding of which 16,822 were reported as being held by speculators and 65,676 held by hedgers. The growth in the popularity of currency futures has Contact Person: Frank Song, Department of Economics, Cleveland State University, Euclid Avenue at East 24th Street, Cleveland, Ohio 44 1 15. rn Arjun Chatrath is an Assistant Professor in the Department of Graduate Studies, Lake Erie College, Ohio. rn Sanjay Ramchander is an Assistant Professor i the Department of Management n Science at Coppin State College, Maryland. rn Frank Song is an Assistant Professor in the Department of Economics, Cleveland State University. The Journal http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

The role of futures trading activity in exchange rate volatility

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Publisher
Wiley
Copyright
Copyright © 1996 John Wiley & Sons, Inc.
ISSN
0270-7314
eISSN
1096-9934
D.O.I.
10.1002/(SICI)1096-9934(199608)16:5<561::AID-FUT4>3.0.CO;2-E
Publisher site
See Article on Publisher Site

Abstract

The purpose of this study is to examine the relationship between the level of trading in currency futures and the variability in underlying exchange rates. The growth in the popularity of currency futures during the last decade has been noteworthy. For instance, a Commodity Futures Trading Commission (CFTC) report, January, 1983, on the Commitment of Traders indicated that for the deutsche mark futures, there were 16,289 long contracts outstanding, of which 3710 were reported as being held by speculators and 7574 held by hedgers. The March, 1993 report on the currency indicated that there were 102,96 1 long contracts outstanding of which 16,822 were reported as being held by speculators and 65,676 held by hedgers. The growth in the popularity of currency futures has Contact Person: Frank Song, Department of Economics, Cleveland State University, Euclid Avenue at East 24th Street, Cleveland, Ohio 44 1 15. rn Arjun Chatrath is an Assistant Professor in the Department of Graduate Studies, Lake Erie College, Ohio. rn Sanjay Ramchander is an Assistant Professor i the Department of Management n Science at Coppin State College, Maryland. rn Frank Song is an Assistant Professor in the Department of Economics, Cleveland State University. The Journal

Journal

The Journal of Futures MarketsWiley

Published: Aug 1, 1996

References

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