This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100...

This paper is concerned with the potential profit opportunities in trading calendar spreads of 90-day Bank Accepted Bill (BAB) futures contracts on the Sydney Futures Exchange (SFE) during the 1990s. It is shown that statistically significant gross profits can be generated by a naïve strategy...

It is well known that extreme share returns on stock markets can have important implications for financial risk management. In this paper, we are concerned with the distribution of the extreme daily returns of the Shanghai Stock Exchange (SSE) Composite Index. Three well-known distributions in...

Using high-frequency data, this study investigates price discovery in the newly established stock index (CSI300) futures market in China. Our empirical results reveal new evidence that the CSI300 index futures market play a dominant role in the price discovery process about one year after its...

This study examines the impact of the CSI 300 index futures on the underlying spot market in terms of feedback trading model. A univariate AR-GJR-GARCH-M model and a bivariate VECM–GARCH-M model are employed for the analysis. Our research reveals that the CSI 300 stock index futures market...

In this paper, we assess the hedging performance of the newly established CSI 300 stock index futures over some short hedging horizons. We use wavelet analysis as well as conventional models (naïve, ordinary least squares, and error-correction) to compute the constant hedge ratios. The constant...

This paper is concerned with arbitrage opportunities in the futures and futures option contracts traded on the Sydney Futures Exchange (SFE) within a put-call-futures-parity (PCFP) framework. Tick-by-tick transaction price data are employed so that the futures contracts, the call futures options...

A model is proposed to value a firm with stochastic earnings. It is assumed that the earnings of the firm follow a time-varying mean reverting stochastic process. It is shown that the value of the firm satisfies a boundary value problem of a second-order partial differential equation, which can...