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A comparison of hedge effectiveness and price discovery between TAIFEX TAIEX index futures and SGX MSCI Taiwan index futures

Chen, Shen-yuan; Lin, Ching-chung; Chou, Pin-huang; … - In: Review of Pacific Basin financial markets and policies 5 (2002) 2, pp. 277-300

Persistent link: https://www.econbiz.de/10001697453

The impact of the introduction of index futures contracts on the price volatility in the underlying stock market

Hsu, Philip - 2000

Persistent link: https://www.econbiz.de/10001552786

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility : Evidence from the Taiwan Index Futures Market

Chou, Robin K. - 2013

We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their … impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as … liquidity by reducing the bid-ask spread, temporary price volatility and the temporal price impacts. Our results, which are …

Persistent link: https://www.econbiz.de/10013083788

Stochastic implied volatility : a factor-based model

Hafner, Reinhold - 2004

This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book...

Persistent link: https://www.econbiz.de/10002063039

The effect of dual trading on market depth in the S&P 500 futures contract

Park, Hun Y.; Sarkar, Asani - In: Research in finance 17 (1999), pp. 219-231

Persistent link: https://www.econbiz.de/10001485110

Intraday price jumps, market liquidity, and the magnet effect of circuit breakers

Jian, Zhihong; Zhu, Zhican; Zhou, Jie; Wu, Shuai - In: International review of economics & finance : IREF 70 (2020), pp. 168-186

Persistent link: https://www.econbiz.de/10012486784

The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881

Persistent link: https://www.econbiz.de/10009529136

Time-varying credit risk discovery in the stock and CDS markets : evidence from quiet and crisis times

Forte, Santiago; Lovreta, Lidija - In: European financial management : the journal of the … 21 (2015) 3, pp. 430-461

Persistent link: https://www.econbiz.de/10011317998

Price discovery process in Nifty spot and futures markets

Choudhary, Kapil; Bajaj, Sushil - In: Global business review 14 (2013) 1, pp. 55-88

Persistent link: https://www.econbiz.de/10009746434

Price discovery in spot and futures markets : a reconsideration

Theissen, Erik - In: The European journal of finance 18 (2012) 9/10, pp. 969-987

Persistent link: https://www.econbiz.de/10009691772