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Impact of transaction taxes on commodity derivatives trading in India
Ray, Saon; Malik, Neha - 2014
management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the … imposition on the total volume traded of a few select commodity futures as well as on the overall efficiency of the commodity … market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …
Persistent link: https://www.econbiz.de/10010354169
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … suggests that option traders increase bid-ask spreads to account for trading against investors who are skilled processors of …
Persistent link: https://www.econbiz.de/10010472845
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Securities transaction tax-case study of India
Malik, Neha - 2014
only to brokerage fee) of the total cost of trading. The rationale behind STT was to replace the long-term capital gains … attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …
Persistent link: https://www.econbiz.de/10010354157
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Financial transactions taxes
Shome, Parthasarathi - 2011
This paper attempts to address both theoretical and practical considerations for a tax such as financial transactions taxes (FTT). It includes examples of FTT in the wider context, for example, on stocks and derivatives, currency transactions, and tangible property. Most of the discussion...
Persistent link: https://www.econbiz.de/10008987104
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The effects of margin changes on commodity futures markets
Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014
-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases … certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account …
Persistent link: https://www.econbiz.de/10010472794
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Environmental damage news and stock returns : evidence from Latin America
Cavallo, Eduardo A.; Cepeda, Ana; Panizza, Ugo - 2024
This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...
Persistent link: https://www.econbiz.de/10014529773
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Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016
This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...
Persistent link: https://www.econbiz.de/10011410916
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...
Persistent link: https://www.econbiz.de/10011410917
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Positive stock information in out-of-the-money option prices
Gkionis, Konstantinos; Kostakis, Alexandros; … - 2018
risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …
Persistent link: https://www.econbiz.de/10011872403