search query: @author Winters, D. / total: 3
reference: 2 / 3
| Author: | Griffiths, M. Winters, D. |
| Title: | The relation between the federal funds cash and futures markets |
| Journal: | Journal of Financial Research
1996 : FALL, VOL. 19:3, p. 359-376 |
| Index terms: | FINANCE FUTURES MARKETS RESEARCH |
| Language: | eng |
| Abstract: | The introduction of futures contracts did not alter the regularity in the cash market that results from the Federal Reserve regulation of the bank-settlement process. Although the authors find a positive preholiday effect in the Fed funds futures returns, they do not find evidence that Federal Reserve regulations cause that effect. Contrary to previous observations for other futures contracts, the authors find Fridays and preholidays have the largest net volume. The authors suggest this finding of high volume is consistent with hedging activity by financial institutions before market closings. |
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