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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …
Persistent link: https://www.econbiz.de/10010472845
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Kapetanios, George; Konstantinidi, Eirini; Neumann, Michael - In: Journal of financial markets 46 (2019), pp. 1-26
Persistent link: https://www.econbiz.de/10012317888
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Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds
Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that …
Persistent link: https://www.econbiz.de/10012305143
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How jumps affect liquidity? : the evidence from Poland
Bedowska-Sojka, Barbara - In: Finance a úvěr 67 (2017) 1, pp. 39-52
Persistent link: https://www.econbiz.de/10011720687
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The options market reaction to bank loan announcements
Anagnostopoulou, Seraina C.; Ferentinou, Aikaterini C.; … - In: Journal of financial services research : JFSR 53 (2018) 1, pp. 99-139
Persistent link: https://www.econbiz.de/10012023932
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The impact of macroeconomic news on Chinese futures
Liu, Ruobing; Yang, Jianhui; Ruan, Chuan-Yang - In: International Journal of Financial Studies : open … 7 (2019) 4/63, pp. 1-14
level on the variance of futures’ return volatility. Based on the empirical results, we find the level of macroeconomic … variables has a significant impact on the volatility of Chinese futures´ return. The influence of the macroeconomic level factor … on the futures´ return volatility is statistically significant. …
Persistent link: https://www.econbiz.de/10012150454
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VIX changes and derivative returns on FOMC meeting days
Krieger, Kevin; Mauck, Nathan; Chen, Denghui - In: Financial markets and portfolio management 26 (2012) 3, pp. 315-331
Persistent link: https://www.econbiz.de/10009623474
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Investor expectations of volatility increases around large stock splits as implied in call option premia
Klein, Linda S.; Peterson, David R. - In: The journal of financial research 11 (1988) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10003602801
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Macroeconomic surprises and short-term behaviour in bond futures
Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866
Persistent link: https://www.econbiz.de/10003233767
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Trading activity of VIX futures and options around FOMC announcements
Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014543990