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Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market

Smales, Lee A. - 2013

The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...

Persistent link: https://www.econbiz.de/10013092145

Explaining time-varying risk of electricity forwards : trading activity and news announcements

Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

Persistent link: https://www.econbiz.de/10008989697

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/10010472845

Are Regime Shift Risks Priced in Asset Markets?

Chourdakis, Kyriakos - 2011

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …

Persistent link: https://www.econbiz.de/10013130931

How Asymmetric is U.S. Stock Market Volatility?

Ederington, Louis H. - 2009

aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3 …) realized volatility. Both asymmetric time series models and implied volatility predict an increase in volatility following … large negative surprise returns and ex post realized volatility normally rises as predicted. However, while asymmetric time …

Persistent link: https://www.econbiz.de/10013159746

Does Oil and Gold Price Uncertainty Matter for the Stock Market?

Bams, Dennis - 2018

We proxy uncertainty in the stock, oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the...

Persistent link: https://www.econbiz.de/10012936739

Risk Premia and the VIX Term Structure

Johnson, Travis L. - 2018

The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. A single principal component, Slope, summarizes nearly all this information, predicting the excess returns of S&P 500...

Persistent link: https://www.econbiz.de/10012937549

Intraday Price Discovery in Indian Stock Index Futures Market : New Evidence from Neural Network Approach

Inani, Sarveshwar - 2016

This research aims to revisit the price discovery relationship between spot and futures prices of Indian equity index S&P CNX Nifty, using neural network approach. This study uses minute-by-minute prices of 167 trading days ranging from January, 2015 to August, 2015 to gain fresh insights on...

Persistent link: https://www.econbiz.de/10013001717

Structured Products : Performance, Costs and Investments

Maringer, Dietmar - 2016

This paper analyzes structured products with a focus on the Swiss market. Empirical results for these products' five major categories are presented, along with case studies and a general discussion. The paper addresses three main questions: How did structured products perform in the period...

Persistent link: https://www.econbiz.de/10013004531

Futures Hedge Profit Measurement Error-Correction Model vs. Regression Approach Hedge Ratios, and Data Error Effects

Ferguson, Robert - 2017

This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge...

Persistent link: https://www.econbiz.de/10012953645