Narrow search
Showing 1 - 10 of 438,217
Cover Image
Liquidity effects and FFA returns in the international shipping derivatives market
Alizadeh-Masoodian, Amir H.; Kappou, Konstantina; … - In: Transportation research / E : an international journal 76 (2015), pp. 58-75
Persistent link: https://www.econbiz.de/10010518610
Cover Image
Liquidity Risk Premia in the International Shipping Derivatives Market
Alizadeh, Amir; Kappou, Konstantina; Tsouknidis, Dimitris; … - Henley Business School, University of Reading - 2014
The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio … and bid-ask spreads are utilized to assess the existence of liquidity premia. Other macroeconomic variables are used to … control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in …
Persistent link: https://www.econbiz.de/10011210427
Cover Image
Market Interaction in Returns and Volatilities between Spot and Forward Shipping Freight Markets
Visvikis, Ilias; Kavussanos, Manolis G. - 2014
Freight Agreements (FFA) to investigate the issue. The underlying commodity is non-storable, being that of a shipping service …
Persistent link: https://www.econbiz.de/10014206215
Cover Image
The Impact of Futures Trading on Intraday Spot Volatility and Liquidity : Evidence from Bitcoin Market
Shi, Shimeng - 2018
This study uses high-frequency data to examine the impact of Bitcoin futures trading on volatility and liquidity of the … becomes more liquid in the post-futures trading period. The results are robust to different volatility and liquidity proxies … volatility and improving the spot market liquidity …
Persistent link: https://www.econbiz.de/10012931285
Cover Image
Derivatives and Market (Il)liquidity
Huang, Shiyang; Yueshen, Bart Zhou; Zhang, Cheng - 2021
trades affect investors’ utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative …We study how derivatives (with nonlinear payoffs) affect the liquidity of the underlying asset. In a rational … expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative …
Persistent link: https://www.econbiz.de/10013212433
Cover Image
Signed Option Trading and Stock Market Anomalies
Han, Yufeng; Huang, Dayong; Xiao, Xiao - 2022
This paper examines how options traders trade daily stock market mispricing measured by short-term past return and put-call option volatility spread. Anomaly return is 7.31 basis points per day when customer option traders trade along with the anomaly signal and is insignificant when they trade...
Persistent link: https://www.econbiz.de/10014236493
Cover Image
Does the Options Market Underreact to Firms'Left-Tail Risk?
Chen, Bei; Gan, Quan - 2021
We find that firms’ left-tail risk is a strong positive predictor of future bear spread returns, suggesting that the options market underreacts to firms’ left-tail risk and the downside protection provided by bear spreads is not adequately priced. The underreaction to firms' left-tail risk...
Persistent link: https://www.econbiz.de/10013233988
Cover Image
Option volume and stock returns : evidence from single stock options on the Korea Exchange
Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies : … 29 (2021) 4, pp. 280-300
Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine...
Persistent link: https://www.econbiz.de/10012658766
Cover Image
Dividend Increases and Initiations and Default Risk in Equity Returns
Charitou, Andreas; Lambertides, Neophytos; Theodoulou, … - 2010
This study extends the Grullon, Michaely and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in default risk. This reduction is shown to be a priced...
Persistent link: https://www.econbiz.de/10014192535
Cover Image
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 - 2022
We examine key developments in trade-related activity in derivatives markets during the COVID-19 pandemic. Using a unique database spanning 113 exchanges and 40 countries, we find significant large increases in volumes and open interest using event study methods. Further, drawing upon techniques...
Persistent link: https://www.econbiz.de/10013309619