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Volatility and the hedging effectiveness of China fuel oil futures

Chen, Wei; Ford, James L. - 2010

Persistent link: https://www.econbiz.de/10009374212

Return volatility movements in spot and futures markets : evidence from intraday behavior of the S&P 500 index

Chen, Jeng-hong - In: The international journal of business and finance … 8 (2014) 3, pp. 95-107

Persistent link: https://www.econbiz.de/10010241912

The Impact of Short Selling on Intraday Volatility : Evidence From the Istanbul Stock Exchange

Cankaya, Serkan - 2013

This paper examines the interrelation between short selling and volatility as differing from previous research in that … beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day …

Persistent link: https://www.econbiz.de/10013089256

What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?

Jalan, Akanksha; Matkovskyy, Roman; Urquhart, Andrew - In: The European journal of finance 27 (2021) 13, pp. 1251-1281

Persistent link: https://www.econbiz.de/10012653090

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778

The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

Schulmeister, Stephan - 2010

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

Persistent link: https://www.econbiz.de/10013135708

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014521259

A Testing of Lead-Lag Relationship between Nifty Spot and Futures Index Returns and Volatility

Patra, Dr. Govind; Mohapatra, S R - 2022

interdependence (in both direction) and therefore symmetric spillovers among the stock return volatility in the spot and futures …

Persistent link: https://www.econbiz.de/10014244650

A Further Investigation of the Lead-Lag Relationship in Returns and Volatility between the Spot Market and Stock Index Futures : Early Evidence from Greece

Karagiannis, Sotirios - 2014

market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …

Persistent link: https://www.econbiz.de/10013047165

Does the introduction of the derivatives affect the underlying return volatility? : (case of the EURO)

Mamoghli, Chokri; Ochi, Wejda - In: Finance India : the quarterly journal of Indian … 22 (2008) 4, pp. 1355-1367

Persistent link: https://www.econbiz.de/10009419988