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Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges
Emm, Ekaterina E.; Gay, Gerald D.; Ma, Han; Ren, Honglin - In: The journal of futures markets 42 (2022) 5, pp. 823-851
Persistent link: https://www.econbiz.de/10013187605
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The determinants of open interest in option markets
Harris, Jeffrey H.; Shafer, Michael T. - In: The financial review : the official publication of the … 57 (2022) 2, pp. 295-318
Persistent link: https://www.econbiz.de/10013189511
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Information embedded in options open interest and their utility in directional trading
Avinash; Mallikarjunappa, T. - In: Asian journal of management science and applications : AJMSA 3 (2017/2018) 4, pp. 279-301
Persistent link: https://www.econbiz.de/10012042365
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Testing the informativeness of non-price variables with MIDAS touch
Kotyan, Avinash; Mallikarjunappa, T. - In: IIMB management review 32 (2020) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10012489685
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The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period
Bakshi, Gurdip; Wu, Liuren - In: Management Science 56 (2010) 12, pp. 2251-2264
We exploit the information in the options market to study the variations of return risk and market prices of different … increase in market price coincided with an increased imbalance in open interest between put and call options. …
Persistent link: https://www.econbiz.de/10009218179
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On the predictive role of large futures trades for S&P500 index returns : an analysis of COT data as an informative trading signal
Chen, Haojun; Maher, Daniela - In: Journal of international financial markets, … 27 (2013), pp. 177-201
Persistent link: https://www.econbiz.de/10010411744
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Information, Alternative Markets, and Security Price Processes: A Survey of Literature
Bhuyan, Rafiqul - EconWPA - 2002
information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and …
Persistent link: https://www.econbiz.de/10005413117
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On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal
Chen, Haojun; Maher, Daniela - In: Journal of International Financial Markets, … 27 (2013) C, pp. 177-201
This study examines the information role of large S&P500 futures trades (commercial, noncommercial, dealers, asset managers, and hedge funds) in shaping index returns. Using consolidated data across both standard and E-mini futures contracts, we find that commercial firms’ net trading level...
Persistent link: https://www.econbiz.de/10010718962
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Derivatives and default risk
Scholz, Sebastian - 2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …
Persistent link: https://www.econbiz.de/10003951795
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Leverage effect and introduction of options and futures impact on equity market : a study in Indian context
Kumar, Atul; Raman, T. V.; Rastogi, Sanjay - In: Indian journal of economics & business : IJEB 17 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10012649820