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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

Informed trading, information asymmetry and pricing of information risk : empirical evidence from the NYSE

Yadav, Pradeep; Bardong, Florian; Bartram, Söhnke M. - 2009

We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...

Persistent link: https://www.econbiz.de/10003919367

Naked short selling : the emperor's new clothes?

Yadav, Pradeep; Fotak, Veljko; Raman, Vikas - 2009

Regulatory and media concern has focused heavily on the potentially manipulative distortion of market prices associated with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We empirically investigate the impact of naked...

Persistent link: https://www.econbiz.de/10003919368

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