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Year of publication
Subject
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Index-Futures 2,079 Index futures 2,063 Volatilität 666 Volatility 658 Aktienindex 494 Stock index 489 Theorie 487 Theory 478 Börsenkurs 460 Share price 452 USA 433 United States 428 Optionspreistheorie 377 Option pricing theory 371 Schätzung 320 Estimation 311 Derivat 256 Derivative 256 Kapitaleinkommen 203 Capital income 202 Hedging 200 Optionsgeschäft 195 Option trading 193 Deutschland 169 Germany 158 Index 158 Index number 157 ARCH-Modell 153 ARCH model 151 Arbitrage 135 Aktienmarkt 134 Stock market 131 Portfolio selection 118 Portfolio-Management 118 Prognoseverfahren 111 Anlageverhalten 110 Behavioural finance 109 Forecasting model 108 Effizienzmarkthypothese 101 Efficient market hypothesis 100
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Online availability
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Free 421 Undetermined 324
Type of publication
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Article 1,393 Book / Working Paper 728 Other 1
Type of publication (narrower categories)
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Article in journal 1,328 Aufsatz in Zeitschrift 1,328 Working Paper 211 Graue Literatur 207 Non-commercial literature 207 Arbeitspapier 190 Hochschulschrift 58 Thesis 53 Aufsatz im Buch 47 Book section 47 Bibliografie enthalten 14 Bibliography included 14 Forschungsbericht 7 Conference paper 6 Konferenzbeitrag 6 Collection of articles written by one author 5 Sammlung 5 Collection of articles of several authors 4 Sammelwerk 4 Lehrbuch 3 Ratgeber 3 Textbook 3 Amtsdruckschrift 2 Article 2 Case study 2 Conference proceedings 2 Dissertation u.a. Prüfungsschriften 2 Fallstudie 2 Glossar enthalten 2 Glossary included 2 Government document 2 Guidebook 2 Handbook 2 Handbuch 2 Konferenzschrift 2 Accompanied by computer file 1 Aufsatzsammlung 1 Bibliografie 1 Elektronischer Datenträger als Beilage 1 Enzyklopädie 1
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Language
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English 1,998 German 92 Undetermined 29 French 2 Italian 2 Hungarian 1 Portuguese 1
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Author
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Tse, Yiuman 21 Ryu, Doojin 17 Röder, Klaus 17 Bamberg, Günter 15 Kempf, Alexander 15 Fung, Joseph K. W. 13 Engle, Robert F. 12 Frino, Alex 12 Jackwerth, Jens Carsten 12 Perrakis, Stylianos 12 Gannon, Gerard L. 11 Todorov, Viktor 11 Wang, George H. K. 11 Whaley, Robert E. 11 Cheng, Louis T. W. 10 Dorfleitner, Gregor 10 Kurov, Alexander 10 Mittnik, Stefan 10 Wang, Janchung 10 Ackert, Lucy F. 9 Bohl, Martin T. 9 Chung, Huimin 9 McMillan, David G. 9 Noh, Jaesun 9 Shaikh, Imlak 9 Antoniou, Antonios 8 Ap Gwilym, Owain 8 Booth, G. Geoffrey 8 Guidolin, Massimo 8 Han, Qian 8 Hou, Yang 8 Kane, Alex 8 Lam, Kin 8 Puttonen, Vesa 8 Subrahmanyam, Avanidhar 8 Tian, Yisong Sam 8 Figlewski, Stephen 7 Gallo, Giampiero M. 7 Holmes, Philip 7 Korn, Olaf 7
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Institution
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International Monetary Fund (IMF) 12 National Bureau of Economic Research 9 Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg> 7 International Monetary Fund 5 Federal Reserve Bank of St. Louis 3 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Svenska Handelshögskolan <Helsinki> 3 Bonn Graduate School of Economics 2 Deutsche Terminbörse <Frankfurt, Main> 2 Europäische Kommission 2 Großbritannien / Central Statistical Office 2 School of Accounting, Economics and Finance <Geelong> 2 USA / Division of Economic Analysis 2 Asia Pacific Futures Research Symposium <13, 2003, Schanghai> 1 Asia Pacific Futures Research Symposium <14, 2004, Hongkong> 1 Birmingham Business School 1 Canadian Agricultural Trade Policy Research Network (CATPRN) 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Chambre de commerce et d'industrie de Paris 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Commission of the European Communities 1 Commodity Research Bureau 1 Commodity Research Bureau <Chicago, Ill.> 1 Cornell University / Liberian Codification Project 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, School of Business and Economics 1 Deutsche Vereinigung für Finanzanalyse und Anlageberatung 1 Deutschland / Bundeswehr / Universität Hamburg 1 Eric Cuvillier <Firma> 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Friedrich-Schiller-University Jena 1 Großbritannien / Commission on the Third London Airport 1 Institut für Weltwirtschaft 1 Institute of Finance and Accounting <London> 1 International Conference on Derivatives and Risk Management <2003, Schanghai> 1 Internationaler Währungsfonds 1 Leibniz-Institut für Agrarentwicklung in Transformationsökonomien 1 Liberia 1 Liberia / Legislature 1 Nationalekonomiska Institutionen <Lund> 1
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Published in...
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The journal of futures markets 261 Journal of banking & finance 42 Applied financial economics 39 International review of economics & finance : IREF 35 International review of financial analysis 28 Review of futures markets 27 Pacific-Basin finance journal 25 The journal of finance : the journal of the American Finance Association 22 The review of financial studies 22 The journal of derivatives : the official publication of the International Association of Financial Engineers 20 Advances in futures and options research : a research annual 19 Applied economics letters 18 Finance research letters 18 Journal of empirical finance 17 Review of quantitative finance and accounting 17 Applied economics 16 Journal of financial and quantitative analysis : JFQA 15 Review of Pacific Basin financial markets and policies 15 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 14 Journal of international financial markets, institutions & money 12 The North American journal of economics and finance : a journal of financial economics studies 12 Working paper / National Bureau of Economic Research, Inc. 12 Review of derivatives research 11 The European journal of finance 11 Working paper 11 Advances in Pacific Basin financial markets 10 Journal of financial markets 10 Meddelanden fr°an Svenska Handelshögskolan 10 The financial review : the official publication of the Eastern Finance Association 10 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 10 Asia-Pacific journal of financial studies 9 Discussion paper 9 European financial management : the journal of the European Financial Management Association 9 IMF Working Papers 9 Investment management and financial innovations 9 Journal of financial economics 9 Journal of forecasting 9 NBER working paper series 9 The journal of business : B 9 Australian journal of management 8
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Source
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ECONIS (ZBW) 2,055 RePEc 38 EconStor 23 USB Cologne (EcoSocSci) 4 BASE 2
Showing 1 - 50 of 2,122
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Expiration-day effects of index futures in a frontier market : the case of Ho Chi Minh Stock Exchange
Nguyen Thi Kim Anh; Loc Dong Truong; Friday, H. S. - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-12
This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period...
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Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
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The effect of index option trading on stock market volatility in China : an empirical investigation
Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19
In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a panel data evaluation approach. Based on the cross-sectional dependence among international stock indices and macroeconomic indicators, we estimate the counterfactual volatility...
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Is implied volatility index (VIX) a forward-looking indicator of stock market movements in India?
Acharya, Amarendra; Seet, Subrat Kumar; Salvi, Prakash A. - 2022
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Measurement errors in index trader positions data : is the price pressure hypothesis still invalid?
Bohl, Martin T.; Branger, Nicole; Trede, Mark - In: Applied economic perspectives and policy 44 (2022) 3, pp. 1534-1553
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
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Index design : hedging and manipulation
Jarrow, Robert A.; Li, Siguang - In: The Quarterly Journal of Finance : QJF 12 (2022) 2, pp. 1-36
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An empirical analysis of option pricing with short sell bans
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-26
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On the effectiveness of stock index futures for tail risk protection
Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52
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Investors' net buying pressure and implied volatility dynamics
Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640
We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...
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Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options
İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive...
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Water-scarce economies and scarcity values : can water futures trading combat water scarcity?
Ghosh, Nilanjan - 2022
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The COVID-19 risk in the Chinese option market
Li, Jianhui; Ruan, Xinfeng; Gehricke, Sebastian A.; … - In: International review of finance : the official journal … 22 (2022) 2, pp. 346-355
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GARCH-Based “Value” for Equity Index Options : Expected—Not Realized—Volatility and the Distribution of Forecasts
Durham, J. Benson - 2022
Existing models of option returns neglect the distribution of expected underlying asset volatility. An ensemble of six common GARCH models affords estimates of the moments of the physical—rather than the risk-neutral—distribution of anticipated—instead of historical—volatility, as well...
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Tail Risk, Almost Stochastic Dominance and Index Option Anomalies
Czerwonko, Michal; Davidson, Russell; Perrakis, Stylianos - 2022
We use a novel definition of tail risk for option pricing purposes, based on the concept of almost stochastic dominance (ASD) in order to examine empirical “puzzles” documented in several high profile studies of the market for S&P 500 index options. We find that with one exception these...
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Bank Stock Indexes : A Comparison
Jordan, Dan J.; Sanders, George; Walker, Christopher - 2022
This study tests the new Valulytics Equal Weighted Community Bank Index (the Valulyics Index) against the five Fisher tests and the three Lo tests of a valid index. Then, we compare the index with the five best known U. S. bank indexes exploring the effect of market capitalization weighting...
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Do Loosened Trading Rules Restore the Stock Index Futures Price Discovery Ability in China?
zhang, xiaotao; Zhao, Yuepeng; HAO, Jing; Feng - 2022
This paper investigates the dynamic changes in the price discovery ability and volatility spillover characteristics in the Chinese stock index futures market as trading rules were loosened step by step. The result shows that as trading restrictions were relaxed, the price discovery ability of...
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Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip - In: Review of derivatives research 25 (2022) 3, pp. 315-339
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A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 2022
To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990), and Harvey and Whaley (1992)]. In contrast, the ARCH model proposed by Engle (1982) models the dynamic behavior in volatility,...
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Non-fundamental Shocks and Implied Volatility Skew : Evidence From S&P 500 Index Inclusions
Eksi, Asli; Roy, Saurabh - 2022
When stock prices deviate from their fundamental values due to excess demand, investors anticipate reversals and trade in the options market to exploit the temporary misvaluation. This leads to options’ predictability of stock returns beyond the well-known informed trading channel. Using S&P...
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Identifying Demand and Supply in Index Option Markets
Jacobs, Kris; Mai, Anh Thu; Pederzoli, Paola - 2022
We identify latent demand and supply in the market for index options using a VAR with sign restrictions. The time series of latent demand conveys important economic insights that are not evident from the analysis of equilibrium quantities. Using observable proxies for risk, we find that demand...
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Trades or quotes : which drives price discovery?$devidence from Chinese index futures markets
Jin, Liwei; Yuan, Xianghui; Wang, Shihao; Li, Peiran; … - In: The journal of futures markets 42 (2022) 12, pp. 2235-2247
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Volatility and depth in commodity and FX futures markets
Aidov, Alexandre; Lobanova, Olesya - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16
Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time...
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A supply-demand analysis of the index option market
Barras, Laurent; Malkhozov, Ayteck; Roussellet, Guillaume - 2021
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Decomposing the VIX index into greed and fear
Serur, Juan Andrés; Dapena, José P.; Siri, Julián R. - 2021
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Analysis of volatility volume and open interest for Nifty Index futures using GARCH analysis and VAR model
Dungore, Parizad Phiroze; Patel, Sarosh Hosi - In: International Journal of Financial Studies : open … 9 (2021) 1/7, pp. 1-11
The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open interest for Nifty Index futures traded on...
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The relative informativeness of regular and e-mini Euro/Dollar futures contracts and the role of trader types
Malhotra, Jatin; Corelli, Angelo - In: Risks : open access journal 9 (2021) 6, pp. 1-18
This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach...
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Transactions of the National Pension Service of Korea in the KOSPI200 futures market
Kim, Meong Ae; Woo, Mincheol - In: Journal of derivatives and quantitative studies 29 (2021) 2, pp. 156-170
It is known that the National Pension Service (NPS) of Korea contributes to the market stability because it tends to pursue the negative feedback trading strategy in the Korean stock market. While many studies deal with institutional investors’ trading in the financial derivatives market, the...
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Market instability, investor sentiment, and probability judgment error in index option prices
Charles-Cadogan, G. - 2021
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The impact of the introduction of index futures on the daily returns anomaly in the Ho Chi Minh stock exchange
Loc Dong Truong; Friday, H. S. - In: International Journal of Financial Studies : open … 9 (2021) 3, pp. 1-14
This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are used in this study to ascertain the new...
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Optimal hedge ratio in Turkish stock index futures market : a deco-fiaparch approach
Çelik, Ismail; Sak, Ahmet Furkan - In: Financial studies 25 (2021) 4, pp. 17-33
This paper adopts a new approach called DECO-FIAPARCH model for estimating the optimal hedge ratio (HR) in Turkish Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until April 4, 2019, total of 3,508 daily observations. The...
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The role of oil futures intraday information on predicting US stock market volatility
Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74
This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...
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Pairs trading in the index options market
Brunetti, Marianna; De Luca, Roberta - 2021 - This version: March 2021
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Analysis of option trading strategies based on the relation of implied and realized S&P500 volatilities
Brunhuemer, Alexander; Larcher, Gerhard; Larcher, Lukas - In: ACRN journal of finance and risk perspectives 10 (2021), pp. 166-203
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index. We seek to explain this outperformance by modeling...
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Modeling conditional factor risk premia implied by index option returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
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Reforming the US Social Security : Wage Indexing or Price Indexing: An Option Theory
Kamdem, Bruno - 2021
Using an option pricing framework, we extend Stock and Wise (1990)’s and Fraser, Jennings, and King (2000)’s into a new model that shows how different forms of price indexing alter the calculation of the present values of Social Security benefits. We find that, under the current method (wage...
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Pairs Trading In The index Options Market
Brunetti, Marianna; De Luca, Roberta - 2021
We test the Index options market efficiency by means of a statistical arbitrage strategy, i.e. pairs trading. Using data on five Stock Indexes of the Euro Area, we first identify any potential option mispricing based on deviations from the long-run relationship linking their implied...
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Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option return dynamics. Using index options, we...
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Financially Constrained Index Futures Arbitrage
Glover, Kristoffer J.; Hulley, Hardy - 2021
We develop two models for index futures arbitrage that take the financing constraints faced by real-world arbitrageurs into account. Our models predict that the price of an index futures contract and the value of its underlying index should deviate further from their theoretical cost-of-carry...
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Directly Measuring Early Exercise Premiums Using American and European S&P 500 Index Options
Dueker, Michael J.; Miller, Jr., Thomas W. - 2021
The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early-exercise premium in American-style index options....
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A New Index of Option Implied Absolute Deviation
Dotsis, George - 2021
This paper proposes of new index of forward looking absolute deviation extracted from option prices. The new index, named ADIX, is model-free and easy to compute using at-the-money straddle prices. An empirical analysis using S&P 500 options data for the time period 1996-2019 reveals that ADIX...
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A Multiple Indicators Model for Volatility Using Intra-Daily Data
Gallo, Giampiero M.; Engle, Robert F. - 2021
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a true' or best' measure of volatility. In this paper we propose to jointly consider absolute daily...
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Why is Water Illiquid? – The NQH2O Water Index Futures
Wang, Jingjing; Wang, Xiaoyang - 2021
The newly launched water futures market faces a serious illiquidity problem with scarce trading volume. We examine the causes of the illiquidity based on the futures contract design literature and empirical analysis of spot water markets in the western United States. The primary cause of...
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Mispriced Index Option Portfolios
Constantinides, George M.; Czerwonko, Michal; Perrakis, … - 2021
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most...
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Does the World Smile Together? A Network Analysis of Global Index Option Implied Volatilities
Han, Qian; Ryu, DooJin; Chen, Maggie; Tang, Jing - 2021
We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and American options markets form a separate contemporary...
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Index Options Trading and Sentiment
Wang, Li; Ni, Sophie Xiaoyan; Stouraitis, Aris - 2021
We find public directional order imbalance of in-the-money options on S&P500 (“DOI”) negatively predicts market returns over a monthly horizon, up until three months, after controlling for established sentiment measures and market return predictors. Stocks in the High-tech industry are the...
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The Index Effect : Evidence from the Option Market
Hollstein, Fabian; Wese Simen, Chardin - 2021
We document a significantly positive response of delta-hedged option positions on companies entering or leaving the S&P 500 index. Our findings (i) hold for both call and put options, (ii) are robust to placebo- and risk-adjustments, and (iii) are stronger for companies that are likely subject...
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Market Instability, Investor Sentiment, and Probability Judgment Error in Index Option Prices
Charles-Cadogan, G. - 2021
How do financial markets switch from states of optimism to pessimism and vice versa? Given that a financial market is currently stable, what is the probability that it will become unstable and crash? We answer those questions in the context of a natural experiment with risk sources of...
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Identifying the Effect of Stock Indexing : Impetus or Impediment to Arbitrage and Price Discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - 2021
The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery. This paper uses Russell’s reconstitution to identify the causal effect of index investing on information arbitrage and price discovery. While index investing has no discernible...
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