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Illiquidity transmission from spot to futures markets

Korn, Olaf; Krischak, Paolo; Theissen, Erik - 2014

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with price risk,...

Persistent link: https://www.econbiz.de/10010399342

Illiquidity transmission from spot to futures markets

Korn, Olaf; Krischak, Paolo; Theissen, Erik - 2017 - [vers. 08/2017]

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity...

Persistent link: https://www.econbiz.de/10011713434

Price discovery in spot and futures markets : a reconsideration

Theissen, Erik - 2009

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage operations to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...

Persistent link: https://www.econbiz.de/10003919404

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …

Persistent link: https://www.econbiz.de/10003857823

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

Price discovery in spot and futures markets : a reconsideration

Theissen, Erik - 2011 - This version: April 2011

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...

Persistent link: https://www.econbiz.de/10009705494

Dividend taxation and DAX futures prices

Fink, Christopher; Theissen, Erik - 2014 - This Draft: August 05, 2014

The taxation of dividends in Germany underwent major changes. We analyze the implications of these changes for the valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain the level of deviations from the cost-of-carry...

Persistent link: https://www.econbiz.de/10010399362

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

with RNS. -- risk-neutral distribution ; skewness ; stock options ; ARCH models …We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS …) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of …

Persistent link: https://www.econbiz.de/10003919376

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005 - This Draft: May, 2005

As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...

Persistent link: https://www.econbiz.de/10009524806

Competition between exchanges : Euronext versus Xetra

Kasch-Haroutounian, Maria; Theissen, Erik - 2007

Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...

Persistent link: https://www.econbiz.de/10009525969