developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound …

. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …

, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of …

-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

We study in this work the liquidity, defined as the size of the trading volume, in a situation when an infinite number …

We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our results generalize …-Pliska arbitrage pricing theorem under transaction costs. Journal of Mathematical Economics 35, 185–196; Kabanov, Y., Rásonyi, M …-arbitrage property. Finance and Stochastics] and by Schachermayer [Schachermayer, W., 2004. The fundamental theorem of asset pricing …

mainly due to substantial returns that investors made. However, literature exposes that poor liquidity is one of the main … the liquidity of emerging markets and their effects on the contagion from one another in order to prevent illiquid events … or systemic risk. Emerging market liquidity measures are the basis for the sovereign debt market, the deviations of the …