Showing 1 - 10 of 30,405
Gasoline (GA) and kerosene (KO) are extracted from crude oil (CO), such that the three fuel commodities share a chemical link. On the other hand, GA also shares an industrial link with natural rubber (NR) and palladium (PA) as complementary commodities that are heavily consumed by the automobile...
Interdependence of the mispricing, volatility, volume and open interest of stock futures and the volatility and volume … followed by an increase in the volatility of the underlying. The volatility and volume of futures and the underlying exhibit … mispricing and the volatility, volume and open interest for futures and their underlying shares. Futures mispricing does not …
The process of pairs trading involves exhaustively matching and ranking pairwise stocks based on some prespecified measure of closeness; e.g., correlation, cointegration, sum-of-squared price difference. Pairs trading is popular for various reasons. It is simple to follow and execute. The...
We propose and document robust evidence of cross-market return, volatility, and volume interactions among futures … consumed by Japan's automobile industry. Our VAR results indicate that (i) for shorter dynamics, NR and GA volatility both … influence AL volatility; GA volume affects NR volatility and volume; the GA market is immune to both NR and AL trading …
This paper utilizes a unique dataset on votes cast by Czech and Polish migrants in their recent national elections to investigate the impact of institutional, political and economic characteristics on migrants’ voting behavior. The political preferences of migrants are strikingly different...