In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks

The temporal relation between stock index and Index futures has been and continues to be of interest of regulators, academicians and practitioners alike for a number of reasons such as market efficiency volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not...

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of the volatility itself has not changed between the...

Food price volatility has spiked to levels last seen in the 1970s. For low-income countries, food price hikes, such as have occurred recently, tend to significantly increase the incidence of intra-state conflicts, according to IMF research. The 2007-2008 food crisis, and the resumption of more...

This letter explores a single research question: How does political uncertainty, outside of the election cycle, influence financial market uncertainty? Using the UK (‘Brexit') referendum on EU membership as a novel event to examine this question, I identify a positive and well defined...

This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic...

We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature, we show evidence that VIX is generally above the 30-day...

This paper presents data on quantity, capital gains, dividend, and total returns for domestic and overseas equities listed on the London Stock Exchange during 1869-1928. Indices are presented for Africa, Asia, Europe, Latin America, North America, Australia/New Zealand and for the finance,...