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Detecting Informed Trading Activities in the OptionsMarkets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
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Non-Institutional Market Making Behavior: The Dalian Futures Exchange
Jordá, Oscar; Liu, Holly; Williams, Jeffrey - 2002
This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and...
Persistent link: https://www.econbiz.de/10010318591
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Impact Of Proposed Commodity Transaction Tax On Futures Trading In India
Sahoo, Pravakar; Kumar, Rajiv - 2008
Trading in commodity derivatives on exchange platforms is an instrument to achieve price discovery, better price risk … taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper …
Persistent link: https://www.econbiz.de/10011807622
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Impact of transaction taxes on commodity derivatives trading in India
Ray, Saon; Malik, Neha - 2014
Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk …
Persistent link: https://www.econbiz.de/10011807678
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Asset Liquidity in Monetary Theory and Finance: A Unified Approach
Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019
Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...
Persistent link: https://www.econbiz.de/10012655877
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‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns
Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …
Persistent link: https://www.econbiz.de/10009248845
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …
Persistent link: https://www.econbiz.de/10010292171
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Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006
volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …
Persistent link: https://www.econbiz.de/10005858509
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Asset co-movements: Features and challenges
Gospodinov, Nikolaj - 2017
This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We...
Persistent link: https://www.econbiz.de/10012030265
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Monetary policy surprises, positions of traders, and changes in commodity futures prices
Gospodinov, Nikolay; Jamali, Ibrahim - 2013
Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the...
Persistent link: https://www.econbiz.de/10010397679