How does futures trading affect spot price volatility? This paper uses a unique early-twentieth century natural … banned. The permanency of this ban makes it ideal for studying its effect on volatility, using a difference …. This paper finds increased spot price volatility and lower pricing accuracy because the information-transmission and risk …

substantial volatility. Among them, macro-control policies and transaction cost adjustments are a double-edged sword, which should …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

United States. Furthermore, we find that bans on covered short sales generally succeeded in lowering volatility. Banning …

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility … in financial markets. When introducing limits on re-use, we find that volatility is strictly decreasing as these limits …

imbalance, and order volatility. There is new evidence that higher algorithmic trading leads to lower intraday liquidity risk … and a lower incidence of extreme intraday price movements. …

speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from … April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous … effect of decreasing the level of volatility in the EU ETS while impacting its dynamics. These findings are fairly robust to …

naked short selling raises both volatility and bid-ask spread, 3) Disclosure requirements raise volatility and reduce …

naked short selling raises both volatility and bid-ask spread, 3) Disclosure requirements raise volatility and reduce …

Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …