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We examine the impact of interest rates benchmark reform and upcoming Libor transition on options markets. We address various modelling challenges the transition brings. We specifically focus on the impact of the clearing houses' discounting switch on swaptions, and the consequences of Libor...
Persistent link: https://www.econbiz.de/10012841604
Several unique insights are documented based on a study of copper futures contracts traded in the U.S. and China. Based on our unique measures, we present evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese...
Persistent link: https://www.econbiz.de/10014352078
dispersion in beliefs influences both crude oil prices and price volatility. -- Crude oil market ; futures market ; speculation …
Persistent link: https://www.econbiz.de/10008657620
Persistent link: https://www.econbiz.de/10003878962
The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional … relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under …
Persistent link: https://www.econbiz.de/10013148458
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012158736
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while...
Persistent link: https://www.econbiz.de/10013380496
spillover between cryptocurrencies and volatility indices for the major traditional markets varies substantially across … influence over the volatility indices. Our results have important policy implications for enhancing financial stability and … deliver valuable insights for deploying volatility-based financial instruments that can potentially provide cryptocurrency …
Persistent link: https://www.econbiz.de/10014289114
. This paper finds increased spot price volatility and lower pricing accuracy because the information-transmission and risk …How does futures trading affect spot price volatility? This paper uses a unique early-twentieth century natural … banned. The permanency of this ban makes it ideal for studying its effect on volatility, using a difference …
Persistent link: https://www.econbiz.de/10012745152