Using 5 minute data, we examine market volatility in the Dow Jones Industrial Average in the presence of trading collars. We use a polynomial specification for capturing intraday seasonality. Results indicate that market volatility is 3.4 percent higher in declining markets when trading collars...

Using five-minute data, market volatility in the Dow Jones Industrial Average is examined in the presence of trading collars. A polynomial specification is used for capturing intraday seasonality. Results indicate that market volatility is 3.4 % higher in declining markets when trading collars...

The participation of intermediaries in either public policy or private markets can be justified on the basis of efficiency gains. With respect to private insurance company involvement in the U.S. crop insurance program, efficiency gains may arise from either decreased transaction costs through...

To the extent that NYSE Rule 80A collar, which restricts index arbitrage form of program trading on volatile days, aims to delink S&P 500 cash and futures markets and prevent transmission of volatility from the futures to the cash market, this study finds the collar to be ineffective. The...

The crop insurance program is a prominent facet of U.S. farm policy. The participation of private insurance companies as intermediaries is justified on the basis of efficiency gains. These gains may arise from either decreased transaction costs through better established delivery channels and/or...

We derive an Optimal Hedge Ratio (OHR) under the mean-variance-skewness framework, where investors are allowed to have heterogeneous preference for skewness. Allowing heterogeneous preference for skewness changes the investors optimal hedging decisions. Using spot and futures exchange rate data,...

Studies on the importance of skewness for investors find a negative relation between the risk premium and skewness, implying preference for positive skewness. Hedge funds (or money managers in general), however, acting as agents, may have preference for negative skewness as it would mean...