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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
By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option … trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …
Persistent link: https://www.econbiz.de/10012818141
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News co-occurrences, stock return correlations, and portfolio construction implications
Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...
Persistent link: https://www.econbiz.de/10012022291
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The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires : a sectoral analysis
Gunay, Samet; Bakry, Walid; Al-Mohamad, Somar - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-19
In this study, we investigated the impact of the first wave of the COVID-19 pandemic on various sectors of the Australian stock market. Market capitalization and equally weighted indices were formed for eleven Australian sectors to examine the influence of the pandemic on them. First, we...
Persistent link: https://www.econbiz.de/10012522165
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International information spillovers and asymmetric volatility in South Asian stock markets
Gajurel, Dinesh; Chawla, Akhila - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-18
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor...
Persistent link: https://www.econbiz.de/10013471157
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Pre-IPO financial performance and offer price estimation : evidence from India
Yadav, Ajay; Prosad, Jaya Mamta; Sumanjeet Singh - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19
The primary focus of this paper is to develop an empirical model to study the relationship between key Financial Performance Indicators and IPO Offer Prices. It seeks to assist Indian IPO investors to make more informed decisions by advancing their knowledge about relevant Pre-IPO Financial...
Persistent link: https://www.econbiz.de/10014305516
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The nexus between social capital and bank risk taking
Xie, Wenjing; Ding, Haoyuan; Chong, Terence Tai-Leung - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19
This study explores social capital and its relevance to bank risk taking across countries. Our empirical results show that the levels of bank risk taking are lower in countries with higher levels of social capital, and that the impact of social capital is mainly reflected by the reduced value of...
Persistent link: https://www.econbiz.de/10011543159
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011555867
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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62
difficulty in achieving profitable active trading. …
Persistent link: https://www.econbiz.de/10011555959
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Models for risk aggregation and sensitivity analysis : an application to bank economic capital
Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189
A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...
Persistent link: https://www.econbiz.de/10011556126
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Dynamic and static volatility interruptions : evidence from the Korean stock markets
Eom, Kyong Shik; Kwon, Kyungyoon; La, Sung Chae; Park, … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...
Persistent link: https://www.econbiz.de/10013161697