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Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

Tsuchiya, Yoichi - In: Cogent Economics & Finance 3 (2015) 1, pp. 1-13

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

Persistent link: https://www.econbiz.de/10011559149

Does behavioural theory explain return-implied volatility relationship? Evidence from India

Chakrabarti, Prasenjit; Kumar, K. Kiran - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

The study investigates whether behavioural theory is a superior explanation for short-term return-volatility relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study shows that behavioural theory explains the relationship...

Persistent link: https://www.econbiz.de/10011988778

Analysing stock market data: Market sentiment approach and its measures

Moseki, K. K.; Rao, K. S. Madhava - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-15

This paper states that market sentiments are central to any financial data analysis. A vivid distinction is made between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of market sentiments. The former is an existing approach that...

Persistent link: https://www.econbiz.de/10011988786

Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-25

formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging …

Persistent link: https://www.econbiz.de/10011988796

Super-replication of the best pairs trade in hindsight

Garivaltis, Alex - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-14

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

Persistent link: https://www.econbiz.de/10012657487

Firm age and crude oil returns: Stock price sensitivity of oil-producing and consuming companies

Nishi, Hirofumi - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-21

This study aims to identify firm characteristics that affect the cross-firm variation in oil-stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm...

Persistent link: https://www.econbiz.de/10014001327

The effect of new futures contracts on gold futures price volatility: Evidence from the Thailand futures exchange

In: Cogent Economics & Finance 8 (2020) 1, pp. 1-14

This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1),...

Persistent link: https://www.econbiz.de/10014001472

The pricing kernel puzzle: A behavioral explanation

Siddiqi, Hammad; Quiggin, John C. - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-20

We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing...

Persistent link: https://www.econbiz.de/10014001604

Performance of two zero-cost derivative strategies under different market conditions

Basson, L. J.; van den Berg, Lee; van Vuuren, Gary - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-17

options and the sale of two put options. By choosing appropriate strikes, this assembly may also be structured such that it …

Persistent link: https://www.econbiz.de/10011988867

Exponentially fitted block backward differentiation formulas for pricing options

Jator, S. N.; Sahi, R. K.; Akinyemi, M. I.; Nyonna, D. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18

of options on a non-dividend-paying stock. Specific EFBBDFs of order 2 and 4 are applied to solve the PDE after reducing … analytical solution. It is demonstrated that the American put can be exercised early by computing the hedging parameter "delta … options, we elect to focus on the put due to its optimality. …

Persistent link: https://www.econbiz.de/10014001336