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second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …
Persistent link: https://www.econbiz.de/10003902551
In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the...
Persistent link: https://www.econbiz.de/10013002128
For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage is measured and decomposed into distinct contributions arising from commissions, fees, bid/offer spreads and stock loan costs. This study also extends the literature of stock...
Persistent link: https://www.econbiz.de/10013003009
This article examines the determinants of trading decisions, and the performance of trader types, in the context of the E-Mini S&P 500 futures and S&P 500 futures markets. Although the markets are very similar, essentially trading the same underlying asset but with different contract sizes, some...
Persistent link: https://www.econbiz.de/10013007388
This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an alternative to econometric models (OLS, ECM, and GARCH) and assesses the efficacy of the model when applied to the IBEX 35 for the period 2007-2015. The model is initially formulated...
Persistent link: https://www.econbiz.de/10012967536
This paper applies GARCH models to ascertain the impact of index futures trading on the volatility of the spot market. Specifically, the research aims to determine whether the introduction of index futures trading increases or decreases the level of volatility within the underlying spot market....
Persistent link: https://www.econbiz.de/10012968425
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices...
Persistent link: https://www.econbiz.de/10012914094
correction model and Granger causality analysis are applied. The results suggest that VIX futures lead spot VIX index, which …
Persistent link: https://www.econbiz.de/10012904389
When stock prices deviate from their fundamental values due to excess demand, investors anticipate reversals and trade in the options market to exploit the temporary misvaluation. This leads to options’ predictability of stock returns beyond the well-known informed trading channel. Using S&P...
Persistent link: https://www.econbiz.de/10013492388
We document that leverage-adjusted returns on S&P 500 index call and put portfolios are decreasing in their strike-to-price ratio over 1986-2010, contrary to the prediction of the Black-Scholes-Merton model. We test a large number of plausible unconditional factor models and find that only...
Persistent link: https://www.econbiz.de/10013116707