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Suitable Price Discovery Measurement of Bitcoin Spot and Futures Markets

Robertson, Kevin; Zhang, Jiani - 2022

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

Persistent link: https://www.econbiz.de/10013307968

Effects of the COVID-19 Pandemic on Derivatives Markets : Evidence from Global Futures and Options Exchanges

Emm, Ekaterina E.; Gay, Gerald; 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

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentarō; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

Persistent link: https://www.econbiz.de/10014284282

Tail risk of equity returns

Sun, Pengfei - 2013

Persistent link: https://www.econbiz.de/10010191614

A Comparison of Anti-Manipulation Rules in U.S. and EU Electricity and Natural Gas Markets : A Proposal for a Common Standard

Ledgerwood, Shaun D. - 2013

In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and...

Persistent link: https://www.econbiz.de/10013091121

Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe

Ang, Andrew - 2011

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

Persistent link: https://www.econbiz.de/10013126657

Black Gold & Fool´s Gold: Speculation in the Oil Futures Market

Parsons, John - In: ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN … (2010)

what is known about the level of speculation in the paper oil market. We then analyze the dynamics of the term structure of …

Persistent link: https://www.econbiz.de/10009018082

'Noise-trader risk' and Bayesian market making in FX derivates : rolling loaded dice?

Ulibarrí, Carlos A.; Anselmo, Peter C.; Hovsepian, Karen; … - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 268-279

Persistent link: https://www.econbiz.de/10003901064

How Prevalent Are Short Squeezes? Evidence From the US and Europe

Allen, Franklin; Haas, Marlene; Pirovano, Matteo; … - 2023

A short squeeze is triggered if there is pressure on short sellers to cover their positions because of a sharp price increase or a recall of borrowed shares. This drives short sellers to close their positions early. We find that stock-day short-squeeze events are rare and short-lived. However,...

Persistent link: https://www.econbiz.de/10014348651

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016

a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes. …'s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial …

Persistent link: https://www.econbiz.de/10011520509