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An Empirical Study on the Lead-Lag Relationship between Five-Year Chinese Government Spot Bonds and Futures Markets
Qin, Rong-Yuan - 2017
futures index and its underlying spot index, using daily data from September 06, 2013 to August 31, 2016. We carry out unit … variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and … variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the …
Persistent link: https://www.econbiz.de/10012960542
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The Price of Commodity Risk in Stock and Futures Markets
Boons, Martijn - 2014
commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments … market investors increasingly participate in commodity futures markets, stock market risk is also priced in the cross …-section of commodity futures returns …
Persistent link: https://www.econbiz.de/10013068442
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Serial Dependence in the Stock Market : What Can We Learn from Derivatives?
Lu, Yueliang (Jacques); Tian, Weidong - 2021
prices of available index options, VIX futures, and VIX options. As a result,we obtain real-time market autocorrelation and …
Persistent link: https://www.econbiz.de/10013234871
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The Impact of Derivatives Hedging on Stock Market : Evidence from Taiwan Covered Warrants Market
Chung, San-Lin - 2017
This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants … traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life … of warrants, we can estimate the number of shares bought or sold for rebalancing the hedging portfolio and measure its …
Persistent link: https://www.econbiz.de/10012975829
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Aggregate implied volatility spread and stock market returns
Han, Bing; Li, Gang - 2017 - Current Version: September 2017
volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at …. The return predictability concentrates around macro news announcement. Common informed trading in equity options offers an …
Persistent link: https://www.econbiz.de/10011897782
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Evidences of efficient investment portfolio in Indian capital markets : an analysis based on BSE and NSE indices
Mehta, Deepshikha - 2015
A decent budgetary portfolio is nothing more, and nothing less, than an accumulation of advantages that develop in quality and produce abundance money for the financial specialist to spend or reinvest. Markowitz (1959) is one of the pioneers of present day portfolio hypothesis. Generally, the...
Persistent link: https://www.econbiz.de/10011326855
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762
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Comovement of corporate bonds and equities
Bao, Jack; Hou, Kewei - 2013
We study heterogeneity in the comovement of corporate bonds and equities, both at the bond level and at the firm level. Using an extended Merton model, we illustrate that corporate bonds that mature late relative to the rest of the bonds in its issuer's maturity structure should have stronger...
Persistent link: https://www.econbiz.de/10009782416
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892