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Liquidity Effects and FFA Returns in the International Shipping Derivatives Market
Alizadeh, Amir H. - 2015
The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid …-ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic … variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a …
Persistent link: https://www.econbiz.de/10013018063
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Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …
Persistent link: https://www.econbiz.de/10011927961
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage …
Persistent link: https://www.econbiz.de/10011897589
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Cyberfinance : Liberating the Financial Markets
Wales, Kim - 2015
A new economic revolution liberating financial markets? Seeks to answer some of the questions driving the existential crisis embroiling finance: What is currency? What is value? What is a business? What is a bank, even?This article discusses how regulatory reform, transformative technologies,...
Persistent link: https://www.econbiz.de/10013021212
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Portfolio Diversification using Cryptocurrency
S, Padmavarthini - 2021
This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...
Persistent link: https://www.econbiz.de/10013235837
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Can We Avoid Another Financial Crisis - Book Review
Gambles, Paul - 2022
Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...
Persistent link: https://www.econbiz.de/10014235935
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Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets
Smales, Lee A. - 2019
Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...
Persistent link: https://www.econbiz.de/10012867250
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Fixing the fix for silver and gold
Crain, Susan J.; Hoelscher, Seth A.; Jones, Jeffrey S. - In: ACRN journal of finance and risk perspectives 9 (2020) 1, pp. 177-197
Accusations of price manipulation in the silver and gold markets have emerged in recent years. In an effort to increase transparency, the London spot price “fixing” mechanism was recently changed from an opaque negotiation process among a small number of dealer banks to a more observable...
Persistent link: https://www.econbiz.de/10012321144
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Has Financialization Changed the Impact of Macro Announcements on Us Commodity Markets?
Boucher, Simon-Pierre; Gagnon, Marie-Hélène; Power, … - 2022
is consistent with prior literature suggesting that financial participants improve liquidity and price discovery while …
Persistent link: https://www.econbiz.de/10013307226
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Effects of the COVID-19 Pandemic on Derivatives Markets : Evidence from Global Futures and Options Exchanges
Emm, Ekaterina E.; Gay, Gerald; Ma, Han; Ren, Honglin - 2022
We examine key developments in trade-related activity in derivatives markets during the COVID-19 pandemic. Using a unique database spanning 113 exchanges and 40 countries, we find significant large increases in volumes and open interest using event study methods. Further, drawing upon techniques...
Persistent link: https://www.econbiz.de/10013309619