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...

Islamic and conventional investment funds have the same purpose. However, unlike conventional funds, Islamic funds offer different investment contracts and have to invest in accordance with a set of selection rules. This dissertation focuses on developing theoretical and empirical analysis...

Measures have recently been proposed to restrict trading in crude oil and gasoline. This proposal is based on the presumption that market speculators are artificially raising the prices of these products; in other words, that the market is being manipulated. In this short note I will review the...

Exploiting cross-sectional and time-series variations in European regulations during the July 2008–June 2009 period, we show that: (1) prohibition on covered short selling raises bid-ask spread and reduces trading volume, (2) prohibition on naked short selling raises both volatility and...

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative...

Much empirical research has been conducted concerning the effect of short-selling on market quality and volatility. However, the evidence is inconclusive and still a matter of debate. Using intraday data in a pure order-driven market we show that allowing for short-selling decreases the adverse...

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in...

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

Over decades, investors are more incline to pursue high-yield financial investment instruments at low interest rates economic environments. The increasing demand of high-yield products has given financial institutions the opportunities to create financial structured products. Reverse convertible...