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Persistent link: https://www.econbiz.de/10010222960
This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 50...
Persistent link: https://www.econbiz.de/10012857643
This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has...
Persistent link: https://www.econbiz.de/10012953866
Volatility has emerged as an important distinct asset class over the past decade. The popularity of volatility stems from its unique properties, namely its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related...
Persistent link: https://www.econbiz.de/10013040045
This study investigates the pricing efficiency of FTSE/ATHEX-20 index futures contracts and examines whether arbitrage profits exist in the Greek market. By comparing ex-post mispricing with round-trip total transaction costs faced by different groups of market participants, the empirical...
Persistent link: https://www.econbiz.de/10013123204
This study contributes to the age-old question of whether stock market returns are predictable, by studying the relationship of VIX futures term structure and future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has...
Persistent link: https://www.econbiz.de/10012852170
Persistent link: https://www.econbiz.de/10012655056