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that the futures contracts, the call futures options and the put futures options can be matched within a one … opportunities is very limited due to the small trading volumes of the futures and options contracts. Thus, we conclude that there is … no strong evidence against the arbitrage efficiency between the SPI index futures and options markets in Australia …
Persistent link: https://www.econbiz.de/10005684913
Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises … across different commodities and commodity groups. The results also suggest that the positions of futures traders for the …
Persistent link: https://www.econbiz.de/10010201348
-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases … certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account …
Persistent link: https://www.econbiz.de/10010472794
Prediction Markets, sometimes referred to as "information markets", "idea futures" or "event futures", are markets …
Persistent link: https://www.econbiz.de/10003289880
&P500 futures have experienced increasing volatility persistence to shocks over the 1990s. In all remaining markets, hedgers … most futures returns in the 29 US markets were leptokurtic …
Persistent link: https://www.econbiz.de/10013073757
Futures markets are known to be vulnerable to manipulation, and despite the presence of a variety of mechanisms to … prevent such manipulation, instances of market manipulation have been found in some of the largest and most liquid futures … 2012) of the settlement price of cash settled single stock futures based on high frequency circular trading. As is well …
Persistent link: https://www.econbiz.de/10013058877
We examine single stock future (SSF) trading and respective underlyings around dividend ex-dates to study a specific form of dividend tax arbitrage, widely known as cum-ex and cum-cum trading, across Europe. Both strategies are designed to profit from illicit refunds of tax withheld from...
Persistent link: https://www.econbiz.de/10013212009
speculates by forecasting futures price changes. The selective hedges we consider use different forecasts that range from the …
Persistent link: https://www.econbiz.de/10014235956
We analyze how speculative financial innovation affects stock prices, risk premiums, market liquidity, and investor welfare in an economy with heterogeneous beliefs. When investors disagree about the covariance of the newly introduced stocks with the original stocks, we show that financial...
Persistent link: https://www.econbiz.de/10014254321
Persistent link: https://www.econbiz.de/10012549026