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Suijs, Jeroen - 2011

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Persistent link: https://www.econbiz.de/10013119323

Tick Size, Price Grids and Market Performance : Stable Matches as a Model of Market Dynamics and Equilibrium

Plott, Charles R. - 2018

invites more speculation, which in turn increases liquidity. However, increased speculation leads to inefficient trades that …

Persistent link: https://www.econbiz.de/10012927700

The VIX and Future Information

Hess, Markus - 2020

a financial market consisting of a bank account and a VIX futures. In order to have some benchmark model available, we … related VIX index, the VIX futures and a VIX call option …

Persistent link: https://www.econbiz.de/10012831500

The price effects of innovative security design

Célérier, Claire; Liao, Gordon; Vallée, Boris - 2021

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...

Persistent link: https://www.econbiz.de/10012886191

Leverage effect and introduction of options and futures impact on equity market : a study in Indian context

Kumar, Atul; Raman, T. V.; Rastogi, Sanjay - In: Indian journal of economics & business : IJEB 17 (2018) 2, pp. 213-224

Persistent link: https://www.econbiz.de/10012649820

Is Petrobras options market efficient? : a study using the delta-gamma neutral strategy

Araújo, Gustavo Silva; Ribeiro, Ricardo Alves Carmo - In: Latin American business review : journal of the … 17 (2016) 4, pp. 315-331

Persistent link: https://www.econbiz.de/10011649370

Market Efficiency Test in the VIX Futures Market

Jian, Zhang - 2010

This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety … of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the … individual VIX futures price series, 51 of 54 futures contracts meet the sufficient condition for an efficient market: the prices …

Persistent link: https://www.econbiz.de/10013138661

Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data

Chen, Richard - 2017

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure...

Persistent link: https://www.econbiz.de/10012970519

Differences in trading and pricing between stock and index options

Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001

Persistent link: https://www.econbiz.de/10010403590

Financials Sector Intraday Volatility Characteristics in the Emerging Turkish Economy

Inci, A. Can - 2020

The Financials sector in the Turkish economy has grown at a tremendous rate over the last 35 years. The liberalization and the opening of the economy to international and foreign investors in the 1990s, and the overhaul of the structure of the Turkish banking system with numerous reforms after...

Persistent link: https://www.econbiz.de/10012844449

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