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Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market

Fortin, Rich; Maese, Judy - In: Journal of Small Business Finance 2 (1992) 1, pp. 39-52

This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent with a value enhancing impact of derivative security...

Persistent link: https://www.econbiz.de/10011310309

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs' trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

Persistent link: https://www.econbiz.de/10014332749

The Link Between Incomplete Information on the Interbank Network and Counterparty Risk

Förster, Daniel; Walther, Martin - In: Credit and Capital Markets – Kredit und Kapital 52 (2019) 2, pp. 213-227

unanticipated insolvency of one bank. Banks that cannot rule out an indirect hit react by selling assets and hoarding liquidity …. While this potentially lowers illiquidity risks, it depresses market liquidity and prices. This leads to a negative … externality by which sales to acquire liquidity simultaneously lead to lower global sale proceeds and thus to a greater number of …

Persistent link: https://www.econbiz.de/10014523045

Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

Tsuchiya, Yoichi - In: Cogent Economics & Finance 3 (2015) 1, pp. 1-13

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

Persistent link: https://www.econbiz.de/10011559149

Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

Srinivasan, P.; Ibrahim, P. - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 65-80

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...

Persistent link: https://www.econbiz.de/10011310237

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10010333080

Sources of return in the index futures markets

Zaremba, Adam - In: Contemporary Economics 5 (2011) 2, pp. 54-71

The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...

Persistent link: https://www.econbiz.de/10010285683

Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles

Corona Dueñas, José Asunción - In: Atlantic Review of Economics 1 (2012)

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

Persistent link: https://www.econbiz.de/10010290047

Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish...

Persistent link: https://www.econbiz.de/10011984997

The informational role of thin options markets: Empirical evidence from the Spanish case

García Martín, C. José; Herrero Piqueras, Begoña; … - In: Estudios de Economía 43 (2016) 2, pp. 233-263

This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options...

Persistent link: https://www.econbiz.de/10011985517

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