Using high-frequency intraday trading and quoting data, we study the temporal effects in index credit default swap (CDS) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U-shaped pattern in the equity market, index CDSs exhibit a...

Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty Index. Methodology Time series analysis and the GARCH model are employed to study the interaction between futures trading and spot market volatility. Findings The analysis...

For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage is measured and decomposed into distinct contributions arising from commissions, fees, bid/offer spreads and stock loan costs. This study also extends the literature of stock...

This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an alternative to econometric models (OLS, ECM, and GARCH) and assesses the efficacy of the model when applied to the IBEX 35 for the period 2007-2015. The model is initially formulated...

Stock returns appear to comove in excess of common news about stock fundamentals. I examine comovement when stocks are added to or deleted from the FTSE 100 stock index, which are events without news about fundamantals. Using a natural experiment created by FTSE's index balancing rule, I find...

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

We investigate the long-term performance of firms added to or deleted from the Hang Seng Index from 1986 to 2008. The stocks newly deleted from the Hang Seng Index have abnormal returns over a 5-year holding period and the newly added stocks do not. The deleted stocks outperform the added...

Stock options have been traded in the United States from the late 1700s, and they are based on underlying common stock issues. Options and futures on corporate securities can be evaluated using the firm's common stock price and its volatility rate because this exercise takes in consideration...

This paper subjects the global fear index (GFI) for the COVID-19 pandemic to an empirical investigation to determine its relationship with realized volatility, continuous volatility, and jump volatility for seven international indices. The results show evidence of a positive relationship between...

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a differentiated asset-class with relevance to the long-term...