This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar...

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both aggregate market and industry level in Pakistani stock market. Following the top-down-approach, a broad band investor sentiment index for Pakistan has been developed to empirically...

This paper assesses the contribution of monetary policy to the dynamics of bond real returns. We assume that the monetary authority controls the short-term nominal interest rate. We then model exogenously the joint dynamics of the aggregate endowment and the monetary policy variable, and...