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Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review

Hiremath, Gourishankar S - Volkswirtschaftliche Fakultät, … - 2009

The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...

Persistent link: https://www.econbiz.de/10011258169

The 2007-2008 global financial crisis, and cross-border mergers and acquisitions: A 26-nation exploratory study

Reddy, Kotapati Srinivasa; Nangia, Vinay Kumar; … - Volkswirtschaftliche Fakultät, … - 2014

Many interdisciplinary studies of the 2007–2008 global financial crisis examine the causes of crisis, corporate governance and firm value, stock market efficiency, new firm registration, macroeconomic performance, and compare this crisis to previous crises. However, we do not find conceptual...

Persistent link: https://www.econbiz.de/10011111203

Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia

Murinde V.; Poshakwala S. - In: European Research Studies Journal IV (2001) 3-4, pp. 73-102

This paper investigates the main features of stock market volatility in the emerging markets of European transition … daily return volatility. The main findings are fourfold. First, in all the six markets, volatility exhibits significant … conditional heteroskedasticity and non–linearity. Second, volatility seems to be of a persistent nature; however, no asymmetric …

Persistent link: https://www.econbiz.de/10008478760

Index Futures Activity and Stock Market Volatility: An Empirical Analysis of the Italian Stock Exchange

Bologna, Pierluigi - In: Giornale degli Economisti 59 (2000) 1, pp. 51-88

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results … suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of … the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is …

Persistent link: https://www.econbiz.de/10005612304

The costs and benefits of short sale disclosure

Duong, Truong X.; Huszár, Zsuzsa R.; Yamada, Takeshi - In: Journal of Banking & Finance 53 (2015) C, pp. 124-139

-chasing, prices became less informative, and short-term price volatility increased. Overall, the pricing efficiency benefits of short …

Persistent link: https://www.econbiz.de/10011209848

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Marsh, Ian W.; Wagner, Wolf - Tinbergen Instituut - 2012

We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...

Persistent link: https://www.econbiz.de/10011255704

Splitting Orders in Fragmented Markets

Menkveld, Bert - Tinbergen Institute - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by...

Persistent link: https://www.econbiz.de/10005209503

Weak and Semi-Strong Form Stock Return Predictability Revisited

Ferson, Wayne; Heuson, Andrea; Su, Tie - National Bureau of Economic Research (NBER) - 2005

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has...

Persistent link: https://www.econbiz.de/10005078633

The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets

Kang, Jangkoo; Park, Hyoung-Jin - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 02, pp. 227-254

This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than...

Persistent link: https://www.econbiz.de/10005080730

Explaining the Risk/Return Mismatch of the MSCI China Index: A Systematic Risk Analysis

Liang, Priscilla - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 01, pp. 63-80

volatility, yet remains a favorite within the global investors' portfolio. The paper suggests several insights, both from …

Persistent link: https://www.econbiz.de/10005080741

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