This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery for KTBs, using daily transactions data from the over-the-counter market for KTBs and from the Korea Exchange for the futures. Our analysis suggests that foreign trading...

We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...

The article examines microstructure issues in the Australian Interbank futures market by analyzing the price adjustment process following scheduled cash target rate announcements by the Reserve Bank of Australia. In characterizing the market response, three distinct stages of price formation and...

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break,...

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether...

This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility during US presidential election cycles. Using monthly Iowa Electronic Markets data over five elections, we document that stock market uncertainty, as measured by the VIX...

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...

This study investigates the long-memory property and the fractionally cointegration between absolute changes in observed stock prices and implied stock prices from option pricing model. We find a stylized fact that absolute price movements in stock and option markets are characterized by long...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...