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...

Because implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in investment portfolios containing derivatives, understanding variations in implied volatility also becomes vital. Aside from a secular trend, volatility clustering and calendar...

The objective of this study was to analyze and model periodic behavior observed in India's Nifty VIX Index and to seek the origins of these previously unreported calendar variations. Implied volatility and its variations are important to understand as the pricing of many financial assets and...

As expiration dates for Nifty stock index futures approach, trading volume in calendar spreads rises at times to over 50% of total daily volume, making this transaction particularly important to execute efficiently for investors rolling over sizable positions into deferred month contracts. In...

We explore the feasibility of creating a covered call ETF within BRIC countries to serve the growing global demand for emerging market investments having attractive risk and return characteristics Our findings suggest that currently among BRIC nations India alone has stock and options markets...

Whether for hedging, investing or trading purposes, securities regulators and stock exchanges along with domestic and foreign institutional investors all have a common interest in having fairly priced futures contracts. Achieving and sustaining fairly valued equity futures depends heavily on the...

Financial professionals and scholars generally agree that the two most important transaction types found in global stock futures markets are arbitrage and calendar spreads. Of these it is arbitrage that is the more important, especially in newly developing futures markets such as in China and...

Following a meeting of the US-China Strategic & Economic Dialogue in Beijing on May 25, 2010, China reported that it will permit QFIIs (qualified foreign institutional investors) to use the newly created CSI 300 Stock Index futures that began trading on the CFFEX (China Financial Futures...

UK Sinha, Chairman of the Securities Exchange Board of India (SEBI) announced in November, 2011 that SEBI had engaged the Ministry of Finance in a discussion hopefully leading to a reduction of India's Securities Transaction Tax (STT) discussion that would hopefully produce benefits to India's...