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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 management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...

Persistent link: https://www.econbiz.de/10010354169

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

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10010472845

The Value of Tradeability

Chesny, Mark; Kempf, Alexander - Institut für Schweizerisches Bankwesen <Zürich> - 2011

This paper determines the value of asset tradeability in an option pricing framework.In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability:The value of tradeability is...

Persistent link: https://www.econbiz.de/10009249000

The Endogenous Price Dynamics of Emission Allowances: An Application to CO2 Option Pricing

Chesney, Marc; Taschini, Luca - Institut für Schweizerisches Bankwesen <Zürich> - 2011

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, such as air and water. Tradable permits have emerged as the most cost effective measure leading to the emergence of both nationwide (SO2 ) and supranational (CO2 ) emission...

Persistent link: https://www.econbiz.de/10005857751

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

Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story

Jeanneret, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper sheds light on the influence of exchange rate volatility on foreign direct investment (FDI), both at the theoretical and the empirical level. The novelty of the empirical analysis, which is based on a panel of 27 OECD countries over the period 1982-2002, is to provide evidence of a...

Persistent link: https://www.econbiz.de/10005858054

Can financial hedging serve macroprudential objectives?

Andrián, Leandro; León-Díaz, John; Rojas, Eugenio - 2025

We examine hedging as a macroprudential tool in a Sudden Stops model of an economy exposed to commodity price fluctuations. We find that hedging commodity revenues yields significant welfare gains by stabilizing public expenditure, which heavily depends on these revenues. However, this added...

Persistent link: https://www.econbiz.de/10015396125

Option Implied Dividends

Kragt, Jac - 2018

This is the first paper to calculate and analyze option-implied dividends for individual US companies, while accounting for the early exercise premium. These firm-level implied dividends show substantial variation relative to actual dividends over time as well as in the cross-section. Implied...

Persistent link: https://www.econbiz.de/10012933833

A Regime-Switching Copula Approach to Modeling Day-Ahead Prices in Coupled Electricity Markets (Pre-print)

Pircalabu, Anca - 2017

The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR-GARCH copula...

Persistent link: https://www.econbiz.de/10012963695

Impact of proposed commodity transaction tax on futures trading in India

Sahoo, Pravakar (contributor); Kumar, Rajiv (contributor) - 2008

cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government … imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity. However …. -- Commodity Transaction Tax ; Futures Market ; Liquidity ; Volatility …

Persistent link: https://www.econbiz.de/10003746267