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Volatility impact of stock index futures trading : a revised analysis

Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126

volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

Persistent link: https://www.econbiz.de/10009673721

Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...

Persistent link: https://www.econbiz.de/10009612031

The Fed’s Policy Decisions and Implied Volatility

Vähämaa, Sami - 2011

This paper examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The … that implied volatility generally decreases after FOMC meetings, while the relationship between target rate surprises and … surprises and implied volatility is mostly driven by the volatility-reducing effects of negative surprises. We further document …

Persistent link: https://www.econbiz.de/10013133764

Variance Derivatives : Pricing and Convergence

Crosby, John - 2012

We examine the pricing of variance swaps and some generalizations and variants such as self-quantoed variance swaps, gamma swaps, skewness swaps and proportional variance swaps.We consider the pricing of both discretely monitored and continuously monitored versions of these swaps when the...

Persistent link: https://www.econbiz.de/10013107111

U.S. Presidential Elections and Implied Volatility : The Role of Political Uncertainty

Goodell, John W. - 2013

This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility … stock market uncertainty, as measured by the VIX volatility index, increases along with positive changes in the probability … of success of the eventual winner. The association between implied volatility and the election probability of the …

Persistent link: https://www.econbiz.de/10013091485

Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market

Smales, Lee A. - 2013

The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...

Persistent link: https://www.econbiz.de/10013092145

Model-Free Volatility Indexes in the Financial Literature : A Review

Gonzalez-Perez, Maria T. - 2013

joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the … as a proxy for market risk and volatility. This article focuses on the most frequent uses of VIX, namely, as (1) a … financial product to hedge a portfolio against volatility risk; (2) a market risk measure used to analyze risk flows from …

Persistent link: https://www.econbiz.de/10013075386

How Asymmetric is U.S. Stock Market Volatility?

Ederington, Louis H. - 2009

aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

Persistent link: https://www.econbiz.de/10013159746

Jumps in Commodity Markets

Nguyen, Duc Binh Benno - 2019

This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...

Persistent link: https://www.econbiz.de/10012900597

A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange

Singh, Ritvik - 2018

This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact … of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1 …, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various …

Persistent link: https://www.econbiz.de/10012908993