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Intraday information transmission between DJIA spot and futures markets
Soydemir, Gökçe A.; Petrie, A. George - In: Applied financial economics 13 (2003) 11, pp. 817-827
Persistent link: https://www.econbiz.de/10001804435
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Price variability, trading volume and market depth : evidence from the Australian futures market
Ragunathan, Vanitha - In: Applied financial economics 7 (1997) 5, pp. 447-454
Persistent link: https://www.econbiz.de/10001229849
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The impact of listing stock options on the underlying securities : the case of Taiwan
Chen, Dar-hsin; Chang, Po-Hsun - In: Applied financial economics 18 (2008) 13/15, pp. 1161-1172
Persistent link: https://www.econbiz.de/10003760233
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Does options listing impact on the time-varying risk characteristics of the underlying stocks? : evidence from NYSE stocks listed on the CBOE
Mazouz, Khelifa; Bowe, Michael - In: Applied financial economics 19 (2009) 1/3, pp. 203-212
This article extends Mayhew and Mihov (2004) and Mazouz (2004) by investigating if either the (time-varying) systematic or diversifiable risk of a NYSE-traded stock is impacted when its option is listed on the Chicago Board Option Exchange (CBOE). We employ a Kalman Filter to estimate...
Persistent link: https://www.econbiz.de/10003825907
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Existence and extent of impact of individual stock derivatives on spot market volatility in India
Nair, Abhilash S. - In: Applied financial economics 21 (2011) 7/9, pp. 563-600
Persistent link: https://www.econbiz.de/10009153249
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Discrete time linear-quadratic pricing of bonds and options
Realdon, Marco - In: Applied financial economics 21 (2011) 7/9, pp. 463-467
Persistent link: https://www.econbiz.de/10009153287
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New performance-vested stock options schemes
Chen, An; Pelger, Markus; Sandmann, Klaus - In: Applied financial economics 23 (2013) 7/9, pp. 709-727
Persistent link: https://www.econbiz.de/10009750632
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Secondary market pricing behaviour around UK bound auctions
Ahmad, Farooq; Steeley, James M. - In: Applied financial economics 18 (2008) 7/9, pp. 691-699
Persistent link: https://www.econbiz.de/10003739347
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The stock market behaviour prior and subsequent to new highs
Schnusenberg, Oliver - In: Applied financial economics 16 (2006) 6, pp. 429-438
Persistent link: https://www.econbiz.de/10003335008
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Are Chinese stock markets efficient? : further evidence from a battery of nonlinearity tests
Lim, Kian-Ping; Brooks, Robert - In: Applied financial economics 19 (2009) 1/3, pp. 147-155
Given that the efficiency of the Chinese stock markets was empirically examined in extant literature using statistical tests that are designed to uncover linear correlations of price changes, the obtained statistical inferences of efficiency/inefficiency are on very shaky grounds as highlighted...
Persistent link: https://www.econbiz.de/10003825852