Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...

Existing research examines the impact of volatility shocks on the relative pricing of long-term vs. short-term options and documents patterns of short-horizon underreaction and long-horizon overreaction in the options market. These studies, however, rely on implied volatilities derived from...

The main purpose of introducing gold option futures is because option futures on gold will be fundamentally used for hedging the risks associated with gold price changes. But there is a common question whether that gold option contracts are effective in hedging price. This paper will be the...

Securities Laws in China are administered by the Chinese Securities Regulatory Commission (CSRC). The CSRC has great flexibility in administering securities laws since the committee represents the will of the state. Under the state-controlled financial system, the CSRC works closely with...

We examine the association between active options market trading and the (in)efficiency of corporate investment in terms of deviation from optimal investment levels. Past research considers the volume of options trading as contributing to firms’ informational efficiency. Investment efficiency...

We study options market participants’ trading behavior before and after the options multiplier increases. After the options multiplier increases, the options market becomes more efficient. By analyzing the high-frequency microstructure dataset, we show that local retail and local institutional...

Purpose of the article: Put and call prices have a deterministic relationship for identical options irrespective of the investor dmand. The theoretical put-call parity (PCP) relationship may be analysed to explore the arbitrage opportunity and determine the extent of market efficiency. We have...