Similar Search Results

Essays on the efficiency of financial markets

Schlusche, Bernd - 2010

Persistent link: https://www.econbiz.de/10008990314

Macroeconomic news surprises, volume and volatility relationship in index futures market

Banerjee, Ameet Kumar; Pradhan, H. K.; Tripathy, Trilochan - In: Applied economics 52 (2020) 3, pp. 275-287

Persistent link: https://www.econbiz.de/10012197389

Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX

Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462

Persistent link: https://www.econbiz.de/10011300430

Stock price distributions and news : evidence from index options

Steeley, James M. - In: Review of quantitative finance and accounting 23 (2004) 3, pp. 229-250

Persistent link: https://www.econbiz.de/10002418334

The lead-lag relationship between equities and stock index futures markets around information releases

Frino, Alex; Walter, Terry S.; West, Andrew - In: The journal of futures markets 20 (2000) 5, pp. 467-487

Persistent link: https://www.econbiz.de/10001500120

Does Index Arbitrage Distort the Market Reaction to Shocks?

Anatolyev, Stanislav - 2020

We show that ETF arbitrage distorts the market reaction to fundamental shocks. We confirm this hypothesis by creating a new measure of the intensity of arbitrage transactions at the individual stock level and using an event study analysis to estimate the market reaction to economic shocks. Our...

Persistent link: https://www.econbiz.de/10012842361