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Price Discovery in Indian Stock Index Futures Market : New Evidence Based on Intraday Data

Inani, Sarveshwar - 2015

market in India. Price discovery is a main function of futures market and has implications for asset pricing, portfolio …

Persistent link: https://www.econbiz.de/10013013501

Artificial Neural Networks - Empirical Analysis of Predictive Accuracy in the Indian Stock Market

Agarwal, Khagesh - 2012

Stock market movement is driven by numerous factors, both at national and international levels, and because of the multiplicative effect of these factors, the market movement has been majorly random and very less predictable. A number of research studies have been undertaken in the past to model...

Persistent link: https://www.econbiz.de/10013113754

An Empirical Model of India's Nifty VIX Index

Slivka, Ronald T. - 2016

volatility clusters in India's implied volatility index (Nifty VIX) daily closing levels for the Nifty VIX were gathered covering … with both clusters and periodic behavior and one with near-white noise. The likely origins of major clusters in India …'s Nifty implied volatility index appeared linked to important global financial events external to India during the study …

Persistent link: https://www.econbiz.de/10013004111

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742

This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive...

Persistent link: https://www.econbiz.de/10013334825

Impact of public news sentiment on stock market index return and volatility

Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

Persistent link: https://www.econbiz.de/10012629835

An Investigation of the Lead-Lag Relationship between the VIX Index and the VIX Futures on the S&P500

Karagiannis, Sotirios - 2019

This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are...

Persistent link: https://www.econbiz.de/10012904389

The Skew Pattern of Implied Volatility in the DAX Index Options Market

Muzzioli, Silvia - 2012

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of implied volatility is examined for the most...

Persistent link: https://www.econbiz.de/10013110064

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

The Effect of Stock Market Indexing on Option Price Efficiency

Chang, Eric C.; Ge, Li; Lin, Tse-Chun; Ma, Xiaorong - 2023

Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...

Persistent link: https://www.econbiz.de/10014350633

Is There Really Excess Comovement? Causal Evidence from FTSE 100 Index Turnover

von Drathen, Christian - 2014

Stock returns appear to comove in excess of common news about stock fundamentals. I examine comovement when stocks are added to or deleted from the FTSE 100 stock index, which are events without news about fundamantals. Using a natural experiment created by FTSE's index balancing rule, I find...

Persistent link: https://www.econbiz.de/10013054811