The relation between the federal funds cash and futures markets

Mark D. Griffiths; Drew B. Winters

doi:10.1111/j.1475-6803.1996.tb00219.x

The relation between the federal funds cash and futures markets

Mark D. Griffiths, Drew B. Winters

Business Administration

Research output: Contribution to journal › Article › peer-review

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 we find a positive preholiday effect in the Fed funds futures returns, we do not find evidence that Federal Reserve regulations cause that effect. Contrary to previous observations for other futures contracts, we find Fridays and preholidays have the largest net volume. We suggest this finding of high volume is consistent with hedging activity by financial institutions before market closings.

Original language	English
Pages (from-to)	359-376
Number of pages	18
Journal	Journal of Financial Research
Volume	19
Issue number	3
DOIs	https://doi.org/10.1111/j.1475-6803.1996.tb00219.x
State	Published - Sep 1996

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title = "The relation between the federal funds cash and futures markets",

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 we find a positive preholiday effect in the Fed funds futures returns, we do not find evidence that Federal Reserve regulations cause that effect. Contrary to previous observations for other futures contracts, we find Fridays and preholidays have the largest net volume. We suggest this finding of high volume is consistent with hedging activity by financial institutions before market closings.",

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The relation between the federal funds cash and futures markets

Abstract

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