In this paper, we empirically investigate warrant price behavior in the Chinese market – the largest warrant market in the world in terms of trading volume since 2006. By examining warrant return properties, volatility behavior, and pricing errors, we document a stylized fact that call...

In this paper, we examine the role that the Dalian Commodity Exchange (DCE) plays in the global price discovery of soybean futures. We employ Structural Vector Autoregressive (SVAR) and Vector Error Correction (VEC) models on the returns of the DCE and the Chicago Board of Trade (CBOT) soybean...

A new measure of hedging pressure in commodity options markets—commercial hedgers’ net short option exposure—predicts option returns and changes in the slope of implied volatility curves. Puts are more expensive, and calls are cheaper, when values of option hedging pressure are greater....