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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …
Persistent link: https://www.econbiz.de/10012818141
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index
Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13
Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...
Persistent link: https://www.econbiz.de/10014284076
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Issues in Islamic derivatives and proposals for reforms in the OTC market in Indonesia
Setiawan, Romi Adetio - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-16
This paper aims to propose reforms to develop the Islamic derivatives transactions in Indonesia's over-the-counter (OTC) market. It is argued that the use of derivatives instruments is considered non-sharia compliant by the National Sharia Board (NSB) of the Indonesian Council of Ulama. However,...
Persistent link: https://www.econbiz.de/10013273484
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Causality between arbitrage and liquidity in platinum futures
Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17
arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …. The markets provide an interesting institutional setting because the futures are based on an identical underlying … that deviation in currency-adjusted futures prices leads, on average, to an immediate increase in liquidity, suggesting …
Persistent link: https://www.econbiz.de/10014284282
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Improving MACD technical analysis by optimizing parameters and modifying trading rules : evidence from the Japanese Nikkei 225 futures market
Kang, Byung-Kook - In: Journal of risk and financial management : JRFM 14 (2021) 1/37, pp. 1-21
days. This study confirms that applying the traditional model to Japan’s Nikkei 225 futures prices produces negative … optimized parameter values. This suggests that the Japanese market is not weak-form efficient in the sense that futures prices …
Persistent link: https://www.econbiz.de/10012417747
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Testing the efficiency of globally listed private equity markets
Tegtmeier, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-16
This study is the first to investigate the efficient market hypothesis in its weak form and the random walk behaviour of globally listed private equity (LPE) markets represented by nine global, regional, and style indices based on weekly data covering the period from January 2004 to December...
Persistent link: https://www.econbiz.de/10012622817
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Asymmetric mean reversion in low liquid markets : evidence from BRVM
Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...
Persistent link: https://www.econbiz.de/10012022315
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Choosing a price and cost combination : the role of correlation
Bar-Ilan, Avner; Maoz, Yishay - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
Often, firms can choose from different combinations of price and cost processes. For example, they can choose between different production locations or technologies, between different products to produce, or between different locations for selling them. To study the choice of the optimal...
Persistent link: https://www.econbiz.de/10012795559
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Testing the information-based trading hypothesis in the option market : evidence from share repurchases
Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11
The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the … accounts for prescient pricing behavior in options relative to stocks. …
Persistent link: https://www.econbiz.de/10012171287