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We investigate the arbitrage-free property of stock price models where the local martingale component is based on an … models in the literature admit arbitrage opportunities. We investigate in detail the features of the existing model … specifications which create these arbitrage opportunities, and consequently construct a modification that is arbitrage free …
Persistent link: https://www.econbiz.de/10014212786
without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …
Persistent link: https://www.econbiz.de/10012421289
I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...
Persistent link: https://www.econbiz.de/10013114634
The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures...
Persistent link: https://www.econbiz.de/10011591602
This paper explores stock return predictability by exploiting the cross-section of oil futures prices. Motivated by the principal component analysis, we find the curvature factor of the oil futures curve predicts monthly stock returns: a 1% per month increase in the curvature factor predicts...
Persistent link: https://www.econbiz.de/10012967736
This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...
Persistent link: https://www.econbiz.de/10013307507
This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...
Persistent link: https://www.econbiz.de/10013311571
At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...
Persistent link: https://www.econbiz.de/10012502167
Persistent link: https://www.econbiz.de/10013185459
In March 2018, the US used an immense trade deficit as an excuse to provoke trade friction with China. This study uses the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean futures markets in China and the United States. Results...
Persistent link: https://www.econbiz.de/10014383294