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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 …
Persistent link: https://www.econbiz.de/10011310309
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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 underlying futures price. 14% to 28% of detected option price jumps …
Persistent link: https://www.econbiz.de/10011381002
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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 - School of Economics and Finance, Queen Mary - 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 underlying futures price. 14% to 28% of detected option price jumps …
Persistent link: https://www.econbiz.de/10011099075
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Tail events: A new approach to understanding extreme energy commodity prices
Koch, Nicolas - In: Energy Economics 43 (2014) C, pp. 195-205
This paper shows that extreme energy price changes, located in the 10% tails of the distribution, cluster across energy futures markets during the boom–bust cycle of 2006 to 2012. Using multinominal logit regressions, we find that the coincidence of such tail events cannot be explained solely...
Persistent link: https://www.econbiz.de/10011100074
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013
impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing … balance and take advantage of pricing conditions (e.g. for CSA Discounting, precise valuation and pricing of LVA …
Persistent link: https://www.econbiz.de/10011201776
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THE LIQUIDITY EFFECT IN OPTION PRICING: AN EMPIRICAL ANALYSIS
Feng, Shih-Ping - In: The International Journal of Business and Finance Research 5 (2011) 2, pp. 35-43
This paper empirically examines whether asset’s liquidity can help resolve the known strike-price biases of the Black-Scholes model for different liquidity measures based on trading volume, bid-ask spread and the Amihud’s ILLIQ. Our results indicate that, when the underlying asset...
Persistent link: https://www.econbiz.de/10011206031
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Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014
-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the …
Persistent link: https://www.econbiz.de/10010799319
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Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market
Fortin, Rich; Maese, Judy - In: Journal of Entrepreneurial 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 …
Persistent link: https://www.econbiz.de/10010790690
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Liquidity commonality in commodities
Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of Banking & Finance 37 (2013) 1, pp. 11-20
We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997–2003 when...
Persistent link: https://www.econbiz.de/10011065589
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The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115
This paper examines the impact of central clearing on the credit default swap (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower than...
Persistent link: https://www.econbiz.de/10010752915