Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...

This paper examines stock market reaction to the earnings announcements by taking December 2001 quarter earnings announcement as an event. The study is based on 152 companies having minimum 20 percent foreign holdings. The companies are divided into, good news, bad news and overall portfolios....

In this study, we used event study methodology to examine stock price reactions to quarterly earnings announcement. The study is based on a sample of 146 companies listed on Bombay Stock Exchange and December 2000 quarterly earnings announcements are taken event. The abnormal performance is...

Speed of stock price response is important because if response is slow, the informed and alert investors would exploit it to earn abnormal returns by outperforming the market. This implies that market is inefficient in the semi-strong form. The study tests the reaction Indian stock market...

The study tests the reaction of Bahrain Bourse to 2014 annual financial results announcement. The study is based on 30 companies. The researcher used event study methodology. The behaviour of average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) are examined for 30 days...

This study examines whether the Indian stock market is efficient in semi-strong form and seasonality exists. For this purpose, we take the first and fourth quarters‟ results of companies for the years 2008 to 2011. We divide companies into good news and bad news portfolios on the basis of...

This study examines price disagreements and adjustments between actual futures prices and options-implied futures prices in an elaborate setting. We identify which market triggers each type of price disagreement and find that the market that initiates the disagreement adjusts more to eliminate...

China has become the world's biggest consumer of gold in recent years. After only several years of operation, the Chinese gold futures market is now one of the largest globally. This paper studies the price discovery process for the Chinese gold markets. Since the financial crisis in 2007, gold...