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The European Union Emissions Trading Scheme is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to 8% below 1990 levels by 2012. The key asset traded under the scheme is the European Union allowance (EUA). This article...
Persistent link: https://www.econbiz.de/10010931489
This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008–2009 financial crisis. We find that the equilibrium position for the basis during the ban period is below that normally seen, with the spot price...
Persistent link: https://www.econbiz.de/10010595125
We use DCC-TGARCH-M to study asymmetries in the conditional variance in FTSE100 spot and futures returns before and after cost-reducing market microstructure changes on the London Stock Exchange and the London International Financial Futures Exchange. We find bidirectional causality-in-mean and...
Persistent link: https://www.econbiz.de/10010595131
We use the daily data of 16 commodity futures contracts traded in China and corresponding foreign markets (the US, the UK, Japan, and Malaysia) to analyze the linkages between markets. Several findings are noteworthy. First, trading returns of foreign markets, such as the US, have significant...
Persistent link: https://www.econbiz.de/10010636496
In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector...
Persistent link: https://www.econbiz.de/10010730274
This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by...
Persistent link: https://www.econbiz.de/10011191084
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...
Persistent link: https://www.econbiz.de/10010738209
The purpose of this paper is to introduce a stochastic volatility model for option pricing that exhibits Lévy jump behavior. For this model, we derive the general formula for a European call option. A well known particular case of this class of models is the Bates model, for which the jumps are...
Persistent link: https://www.econbiz.de/10010738217
This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading...
Persistent link: https://www.econbiz.de/10011056752
This study demonstrates how the predicted frequency of a limit hit can assist in designing an optimal futures contract with regard to two issues — the cost of trading and the construction of an optimal limit regime. Using a logit function, we present an initial attempt to estimate the...
Persistent link: https://www.econbiz.de/10011056786