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The emergence and future of central counterparties

Koeppl, Thorsten V.; Monnet, Cyril - 2010

We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs...

Persistent link: https://www.econbiz.de/10010290393

The Transmission of Monetary Policy to the Cost of Hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015211274

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 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, while asymmetric information is toxic to liquidity. We examine how …

Persistent link: https://www.econbiz.de/10014332749

The value of tradeability

Chesney, Marc; Kempf, Alexander - 2011

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

Persistent link: https://www.econbiz.de/10010311650

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - 2009

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

Persistent link: https://www.econbiz.de/10010302537

Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market

Fortin, Rich; Maese, Judy - In: Journal of Small Business Finance 2 (1992) 1, pp. 39-52

This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent with a value enhancing impact of derivative security...

Persistent link: https://www.econbiz.de/10011310309

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10011381002

Impact Of Proposed Commodity Transaction Tax On Futures Trading In India

Sahoo, Pravakar; Kumar, Rajiv - 2008

cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government … imposes CTT, it would lead to higher volatility and lower trading activity affecting market efficiency and liquidity. However …

Persistent link: https://www.econbiz.de/10011807622

Impact of transaction taxes on commodity derivatives trading in India

Ray, Saon; Malik, Neha - 2014

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the Union Budget 2013-14. This study examines the rationale...

Persistent link: https://www.econbiz.de/10011807678

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015184716