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Operational Shorting and ETF Liquidity Provision

Evans, Richard B.; Moussawi, Rabih; Pagano, Michael S.; … - 2022

Due to a regulatory exemption, ETF market makers can satisfy excess demand in secondary markets by selling ETF shares that have not yet been created. While this ability to “operationally short” is not unique to ETFs, it plays a more prominent role in ETF liquidity provision, and results in...

Persistent link: https://www.econbiz.de/10013404391

Intra-Dealer Integration

Germain, Laurent - 2010

EASDAQ or the LSE. Whereas previous studies examine international integration at the market level, we examine integration at …

Persistent link: https://www.econbiz.de/10013144404

The International BFSI Business from International Financial Services Centre (IFSC) in India : The Changing Scenario

Shah, Dipesh - 2018

International Financial Services Centre (IFSC) seeks to bring to the Indian shores, those financial services … Shore. IFSC in Indian context may be defined as centre that provides International Financial Services (IFS) to non … International Financial Centres are major contributor to the business of International Banking, Financial Services & Insurance (BFSI …

Persistent link: https://www.econbiz.de/10012922824

Intra-Day Seasonalities on Stock Returns : Evidence from the Turkish Stock Market

Bildik, Recep - 2003

Persistent link: https://www.econbiz.de/10012740653

Volume, Volatility, and Periodic Closure with Information Uncertainty

Bellalah, Mondher - 2004

This paper investigates the effects of opening and closing on transactions demand, volume, and volatility of options prices and their underlying assets. We use an extension of the models in Merton (1971) as in Brock and Kleidon (1992), who consider a similar issue with respect to equity markets....

Persistent link: https://www.econbiz.de/10012785333

Volume, Volatility, Spreads and Periodic Closure in the French Market

Bellalah, Mondher - 2004

This paper studies the effects of opening and closing on transactions demand, volume, volatility and the bid-ask spreads of options prices and their underlying assets. This question is studied in Brock and Kleidon (1992), Smith and Webb (1994), Hsieh and Kleidon (1996), Hong and Wang (2000),...

Persistent link: https://www.econbiz.de/10012785911

Intra-Day Seasonalities on Stock Returns : Evidence from the Turkish Stock Market

Bildik, Recep - 2003

-day seasonalities exist significantly also in the Turkish Stock Market as consistent with those of the international stock markets …

Persistent link: https://www.econbiz.de/10012786356

Price Limits and Volatility : A New Approach and Some New Empirical Evidence from the Tokyo Stock Exchange

Nobanee, Haitham - 2017

This study aims to examine regularities of price limit hits for stocks listed in the TSE. Regularities of limit hits have not been examined before. The results show an increase of limit hits on Monday and Tuesday. These results of limit hits are consistent with the existing literature for the...

Persistent link: https://www.econbiz.de/10012976789

Application of Machine Learning to Systematic Strategies

Noel, Kevin - 2016

We investigate the use of machine learning techniques into building statistically stable systematic allocation strategies. Traditionally, allocation processes usually rely on variations of Markowitz framework such as Mean Variance allocation, Maximum Diversity, Risk Allocation , Value at Risk,...

Persistent link: https://www.econbiz.de/10012983407

Applying a Systematic Investment Process to Distributive Portfolios : A 150 Year Study Demonstrating Enhanced Outcomes Through Trend Following

Robinson, Jon - 2017

The objective of this paper is to examine the absolute and risk-adjusted effects on distribution rates and total wealth created by adding loss-limiting trend following strategies to buy and hold portfolios. Using 150 years of equity and bond data, we found that applying trend following to...

Persistent link: https://www.econbiz.de/10012965161