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Informed trading in S&P index options? : evidence from the 2008 financial crisis

Li, Wei-Xuan; French, Joseph J.; Chen, Clara Chia-Sheng - In: Journal of empirical finance 42 (2017), pp. 40-65

Persistent link: https://www.econbiz.de/10011808543

Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

Persistent link: https://www.econbiz.de/10013403316

Jumps and Liquidity in the U.S. Stock Market

Goel, Rohit; Malik, Sheheryar - 2021

We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are...

Persistent link: https://www.econbiz.de/10013231619

Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

Persistent link: https://www.econbiz.de/10012022043

Bid- and ask-side liquidity in the NYSE limit order book

Cenesizoglu, Tolga; Grass, Gunnar - In: Journal of financial markets 38 (2018), pp. 14-38

Persistent link: https://www.econbiz.de/10012001137

Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis

Ben Omrane, Walid; Tao, Yusi; Welch, Robert L. - In: Research in international business and finance 42 (2017), pp. 9-30

Persistent link: https://www.econbiz.de/10011747218

Short sale bans may improve market quality during crises : new evidence from the 2020 Covid

Fohlin, Caroline; Lu, Zhikun; Zhou, Nan - 2022

during the 2020 Covid crisis to assess differential impacts of bans on stock liquidity, prices, and volatility. Results …

Persistent link: https://www.econbiz.de/10013459916

Large bets and stock market crashes

Kyle, Albert S.; Obižaeva, Anna - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 2163-2203

Persistent link: https://www.econbiz.de/10014445768

Short sale bans may improve market quality during crises: new evidence from the 2020 Covid crash

Fohlin, Caroline; Lu, Zhikun; Zhou, Nan - 2022

during the 2020 Covid crisis to assess differential impacts of bans on stock liquidity, prices, and volatility. Results …

Persistent link: https://www.econbiz.de/10013555729

Short sale bans may improve market quality during crises : new evidence from the 2020 Covid crash

Fohlin, Caroline; Lu, Zhikun; Zhou, Nan - 2022

Persistent link: https://www.econbiz.de/10013461165