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Standard Deviation or Variance : The Better Proxy for Large Hedgers and Large Speculators Risk in U.S. Futures Markets

Gurrib, Ikhlaas - 2013

&P500 futures have experienced increasing volatility persistence to shocks over the 1990s. In all remaining markets, hedgers … most futures returns in the 29 US markets were leptokurtic …

Persistent link: https://www.econbiz.de/10013073757

Price discovery in Canadian and US 10-year government bond markets

Campbell, Bryan (contributor); Hendry, Scott (contributor) - 2007

-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds … using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by … Trade (CBOT) futures market as well as the cash market from GovPx in the first part of the sample and subsequently from …

Persistent link: https://www.econbiz.de/10003560539

Systemic risk and the refinancing ratchet effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009

The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

Persistent link: https://www.econbiz.de/10003889053

How Prevalent Are Short Squeezes? Evidence From the US and Europe

Allen, Franklin; Haas, Marlene; Pirovano, Matteo; … - 2023

A short squeeze is triggered if there is pressure on short sellers to cover their positions because of a sharp price increase or a recall of borrowed shares. This drives short sellers to close their positions early. We find that stock-day short-squeeze events are rare and short-lived. However,...

Persistent link: https://www.econbiz.de/10014348651

Trump vs. Paris : The Impact of Climate Policy on U.S. Listed Oil and Gas Firm Returns and Volatility

Diaz-Rainey, Ivan; Gehricke, Sebastian; Roberts, Helen; … - 2020

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events associated with the Paris Agreement and the election of Donald Trump. Our results show that the signing of the Paris Agreement had a large negative impact for the Oil and Gas...

Persistent link: https://www.econbiz.de/10014096533

Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe

Ang, Andrew - 2011

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...

Persistent link: https://www.econbiz.de/10013126657

A Comparison of Anti-Manipulation Rules in U.S. and EU Electricity and Natural Gas Markets : A Proposal for a Common Standard

Ledgerwood, Shaun D. - 2013

In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and...

Persistent link: https://www.econbiz.de/10013091121

Troubling Research on Troubled Assets : Charles Zheng on the U.S. Toxic Asset Auction Plan

Wilson, Linus - 2012

(Zheng, 2009) does not realize that the government provides nonrecourse loans to investors to buy toxic assets. Nonrecourse loans allow the borrower to walk away from the loan with no penalties besides ceding the asset that the loan purchased. Thus (Zheng, 2009)'s conclusions that less well...

Persistent link: https://www.econbiz.de/10013115480

Witching days and abnormal profits in the US stock market

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 11 (2023) 1, pp. 1-12

detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the … presence of the anomaly in daily returns on witching days which can be exploited by means of suitably designed trading …

Persistent link: https://www.econbiz.de/10014500683

Witching days and abnormal profits in the US stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2021

Persistent link: https://www.econbiz.de/10012649760

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