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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

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10011381002

Impact Of Proposed Commodity Transaction Tax On Futures Trading In India

Sahoo, Pravakar; Kumar, Rajiv - 2008

cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government … imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity. However …

Persistent link: https://www.econbiz.de/10011807622

Impact of transaction taxes on commodity derivatives trading in India

Ray, Saon; Malik, Neha - 2014

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...

Persistent link: https://www.econbiz.de/10011807678

Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - School of Economics and Finance, Queen Mary - 2014

Persistent link: https://www.econbiz.de/10011099075

Tail events: A new approach to understanding extreme energy commodity prices

Koch, Nicolas - In: Energy Economics 43 (2014) C, pp. 195-205

adverse shocks to speculator funding liquidity as determinant of synchronized price drops across energy markets. The …

Persistent link: https://www.econbiz.de/10011100074

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …, and has adopted the modern Multiple-Curve CSA approach, thus incorporating credit and liquidity effects into market prices …

Persistent link: https://www.econbiz.de/10011110035

A Generalization of Gray and Whaley's Option

François-Heude, Alain; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2013

Options markets display interesting features. Most options are executed when they are near the money. However, the underlying asset price varies significantly during the life-time option. It is therefore difficult to predict the future option position. In order to make options' markets more...

Persistent link: https://www.econbiz.de/10011110392

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the …

Persistent link: https://www.econbiz.de/10011260721

On the liquidity of CAC 40 index options Market

François-Heude, Alain; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2013

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our … preliminary results show a significant and positive effect on the liquidity of PXA options in several ways. …

Persistent link: https://www.econbiz.de/10011113793