In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Using local linear regressions based on Russell index reconstitution, we examine how option price efficiency is affected by stock market indexing. We find that put-call parity deviation, a proxy for options price efficiency, is significantly smaller if a stock is at the top of the Russell 2000...

We show how specific features of the microstructure information from VPIN and DPIN can volatile the futures market and can link with the price discover and investor sentiment. We develop an investor (institutional, noise, and both) sentiment index for the Shanghai Stock Exchange 50 (SSE 50)...

Previous studies on the efficiency of oiI and gas markets have used monthly, weekly, or daily data. With the fast evolving, high-speed transaction globalized financial markets; efficiency of markets is better-explored using intraday day. In this paper, data sampled at 30-minute intervals...

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the...

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices...

For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage is measured and decomposed into distinct contributions arising from commissions, fees, bid/offer spreads and stock loan costs. This study also extends the literature of stock...

This article examines the determinants of trading decisions, and the performance of trader types, in the context of the E-Mini S&P 500 futures and S&P 500 futures markets. Although the markets are very similar, essentially trading the same underlying asset but with different contract sizes, some...

The purpose of this study is to revisit price discovery process in Indian stock market for spot and futures of S&P CNX Nifty, by using high-frequency data to gain fresh insights. The sample consists of high-frequency data for the period from January 2014 to August 2015. Stationarity and...