"... In PAGE 11: ...10 This is particularly important as we are interested in price adjustments measured over very short time intervals. Table1 provides a brief overview of the specific contracts, the exchanges on which they trade, and their respective EST trading hours, along with the average number of contracts traded daily. The S amp;P500, $/Pound, $/Yen and $/Euro futures contracts are all listed on the Chicago Mercantile Exchange... In PAGE 15: ...S. macroeconomic news announcements for each of the markets in Table1 . In addition to estimating average responses across the full sample, we also estimate the effects and cross market linkages separately in expansions and recessions.... In PAGE 32: ...360 12.656 Notes to Table 2: See the notes to Table1 for a description of the different contracts. The summary statistics for each of the different contracts are based on the 15,764 five-minute returns ten minutes before and one-and-a-half hours after the release of each of the U.... In PAGE 33: ...703 German Euro Bobl 1.000 Notes to Table 3: See the notes to Table1 for a description of the different contracts. The unconditional cross correlations are based on the 15,764 five-minute returns ten minutes before and one-and-a-half hours after the release of each of the U.... ..."

"... In PAGE 5: ... A value of 260 days was chosen to approximate the number of trading days per year (Hull). Table1 shows the annualized volatilities in percentage terms for each month (growing season) from 1982 through 1997, as well as the average monthly volatilities over the study period (Figure 1 is a plot of the averages). What can be seen, in general, is the... In PAGE 6: ... This is the same general seasonal pattern observed in grains with the exception that the peak in volatility occurs later in cotton (August and September) than in feed grains (July) (Hennesey and Wahl). It can also be seen from Table1 that there is considerable variation in the price volatility from year to year. Figure 2 shows the monthly volatilities over the 1982 to 1997 period, which reflects the data found in Table 1 and indicates that volatility appeared to peak during 1986.... In PAGE 6: ... It can also be seen from Table 1 that there is considerable variation in the price volatility from year to year. Figure 2 shows the monthly volatilities over the 1982 to 1997 period, which reflects the data found in Table1 and indicates that volatility appeared to peak during 1986. This corresponds with the Inventory Protection Certificate period, whereby much of the U.... ..."

"... In PAGE 26: ...2%, its value is \resurrected quot; at these high rates of interest. To gain a better understand- ing of this result and further insight into the timing option, Table7 presents a perspective on the value of the timing option by showing the cumulative ex-ante probabilities, viewed as of the 9403 t?1 quote date, of delivery at any of the ve points within the delivery month. The calculation of these probabilities was performed by calculating the undiscounted value of an Arrow-Debreu security paying $1 if delivery took place at or before a given time period within the delivery month.... In PAGE 28: ...Table7 , recognize that the last timing decision takes place at time 3 ; where the short must decide whether to deliver or defer deliverability to the end of the month, time 4 in our notation. Assume for simplicity there is only one bond to be considered for delivery.... ..."

"... In PAGE 4: ... The futures and options on the HSI have traded on the Hong Kong Futures Exchange since May 1986 and March 1993, respectively. Current contract specifications are provided in Table3 . The HSI futures and option contracts have a monthly expiration cycle and close trading on the penultimate business day of the contract month.... ..."

"... In PAGE 19: ...following the first derivative introduction and they should decay with subsequent introduc- tions as the market gradually becomes more complete. To investigate these issues, we apply our methodology to each of the subsequent i n tro- duction dates reported in Table1 . The only difference is that each of these introductions occurs after the start of our daily crude oil price series, so we use the daily prices ( rather than weekly) in this analysis.... ..."