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The Impact of Derivatives on the Volatility of Turkish Stock Market
Cimen, Aysegul - 2019
The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher...
Persistent link: https://www.econbiz.de/10012891813
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An Investigation of Return and Volatility Linkages Among Stock Markets : A Study of Emerging Asian and Selected Developed Countries
Bhowmik, Roni - 2019
This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom, Japan, and Singapore) stock markets. During the sample...
Persistent link: https://www.econbiz.de/10012895619
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Pricing Variance and Volatility Swaps for Barndorff-Nielsen and Shephard Process Driven Financial Markets
Habtemicael, Semere - 2016
The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff …-Nielsen and Shephard type Lévy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is …
Persistent link: https://www.econbiz.de/10012981934
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Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19 : evidence using DCC-GARCH and cascade-correlation network
Ibrahim, Bassam A.; Elamer, Ahmed A.; Alasker, Thamir H.; … - In: Financial innovation : FIN 10 (2024), pp. 1-28
The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market...
Persistent link: https://www.econbiz.de/10014540621
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Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options
Post, Thierry - 2023
We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by constructing and evaluating option combinations that appear undervalued for all permissible values of the latent parameters of the unifying option pricing model and the joint...
Persistent link: https://www.econbiz.de/10014351229
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Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa - 2015
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …
Persistent link: https://www.econbiz.de/10013039076
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Equilibrium driven by discounted dividend volatility
Cvitanić, Jakša; Malamud, Semyon - 2009
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …
Persistent link: https://www.econbiz.de/10003971106
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Financial markets equilibrium with heterogeneous agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …
Persistent link: https://www.econbiz.de/10003971310
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Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011
We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities … equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … simultaneously-traded European-style options. -- Continuous-time equilibrium ; CAPM ; affine processes ; information-based asset …
Persistent link: https://www.econbiz.de/10009379446
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Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors?
Wang, Yajun - 2017
We propose a tractable equilibrium model to examine how margin requirements affectasset prices, market volatility, and …
Persistent link: https://www.econbiz.de/10012975465