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Author : Rachid Laraqui
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (29 download)
Download or read book Essays on Futures Markets and Options written by Rachid Laraqui and published by . This book was released on 1985 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cuyler Lawrence Strong
Publisher :
ISBN 13 :
Total Pages : 141 pages
Book Rating : 4.6/5 (985 download)
Download or read book Essays on Single-Stock Futures and Options Markets written by Cuyler Lawrence Strong and published by . This book was released on 2020 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: These two essays demonstrate the important role that derivative markets play in assimilating information into financial markets. In the first essay I use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. I show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, my results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. My results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.In the second essay I look at information flows through large option trades. The motivation comes from CNBC's "Halftime Report" which regularly covers unusual option activity, i.e., those abnormally large trades, and recommend investors to follow the "smart money". I investigate the impact of the CNBC coverage on underlying stock prices and whether investors can indeed profit by following the "smart money". I document an immediate spike in trading volume and abnormal returns at the time of the CNBC coverage, and evidence that the unusual option trades are informative of stock prices around the coverage. However, I also document a significant reversal in underlying stock prices following the CNBC coverage. Using the same criteria advocated by the CNBC commentators, I identify unusual option activities for a large sample of stocks without CNBC coverage. I confirm that the unusual option trades significantly predict underlying stock returns, but find no evidence of reversal in underlying stock prices. My findings suggest that the CNBC coverage of unusual option activity has a destabilizing effect on underlying stock prices and investors cannot profit by simply following the CNBC reporting on the "smart money".
Author : Rachid Laraqui
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on Futures Contracts and Options written by Rachid Laraqui and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Na Jin
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (781 download)
Download or read book Three Essays on Commodity Futures and Options Markets written by Na Jin and published by . This book was released on 2011 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bingxin Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Two Essays on Crude Oil Futures and Options Markets written by Bingxin Li and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on crude oil futures and options markets. The first essay investigates whether aggregate risk aversion and risk premiums in the crude oil market co-vary with the level of speculation. Using crude oil futures and option data, I estimate aggregate risk aversion in the crude oil market and find that it is signi ficantly lower after 2002, when speculative activity started to increase. Using speculation index as a state variable, risk premiums implied by the state-dependent risk aversion estimates confi rm the negative correlation between speculative activity and risk premiums, and indicate that risk premiums in the crude oil market are on average lower and more volatile after 2002. These findings suggest that index-fund investors who demand commodity futures for the purpose of portfolio diversi fication are willing to accept lower compensation for their positions. Estimated state-dependent risk premiums have substantial predictive power for subsequent futures returns and outperform commonly used predictors. The second essay exams the economic importance of jumps, jump risk premiums, and dynamic jump intensities in crude oil futures and options markets. Existing pricing models for crude oil options are computationally intensive due to the presence of latent state variables. Using a panel data of crude oil futures and options, I implement a class of computationally e fficient discrete-time jump models. I find that jumps account for about half of the total variance in crude oil futures and options prices, and a substantial part of the risk premiums is due to jumps. Jumps are large and rare events in crude oil futures and options markets. The main role of jumps and jump risk premiums in crude oil futures and options markets is to capture excess kurtosis in the data. These findings suggest that it is critical to include jumps in pricing models for crude oil futures and options, and there is strong evidence in favor of time-varying jump intensities.
Author : 邱信瑜
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (978 download)
Download or read book Two Essays on the Disposition Effect of the Options Market and Similarity-based Futures Trading Strategies written by 邱信瑜 and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence Francis Pohlman
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.:/5 (57 download)
Download or read book Three Essays on Futures written by Lawrence Francis Pohlman and published by . This book was released on 1987 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoshiki Shimizu
Publisher :
ISBN 13 :
Total Pages : 101 pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays on Single-stock Futures Trading written by Yoshiki Shimizu and published by . This book was released on 2019 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays that study the effects of single-stock futures (SSFs) trading on financial markets during the 2008-2009 financial crisis. In September 2008, the Securities and Exchange Commission (SEC) issued an emergency order to temporarily ban short selling of nearly 1,000 financial stocks. The literature found that the ban deteriorated valuations and market quality for banned stocks in stock and options markets. My first essay uses this short selling ban as an empirical setting to test the effects of SSFs trading on price discovery and market quality of banned stocks. I find that the short selling ban revived the trading activities of the SSFs market: SSFs trading volume increased significantly for banned stocks during the ban period. This result suggests that bearish investors and those with hedging demand migrated to the SSFs market to take short positions in banned stocks. Moreover, I show that SSFs trading contributed to price discovery of underlying banned stocks significantly more during the ban period. Finally, I show that SSFs trading helps improve market quality of banned stocks. While the strand of literature documents the negative effects of the ban on both price discovery and market quality, I find that SSFs trading helps mitigate those negative effects of the ban. In the second essay, I examine the effects of SSFs trading on options market quality during the short selling ban period. I analyze banned stocks with options and/or SSFs listings, and examine how SSFs trading affects options market quality during the ban period. I measure options market quality as the bid-ask spread relative to optionality variable and the likelihood of put-call parity violations. While the literature documents a significant deterioration in these measures during the ban period, I show that SSFs trading helps improve the options spreads and reduce the likelihood of the violations. These findings contribute to the literature by establishing the link between options and SSFs markets and also by documenting that the SSFs market plays an important role in today's financial markets.
Author : Jin Kun Kim
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.3/5 (91 download)
Download or read book Essays on Futures Markets written by Jin Kun Kim and published by . This book was released on 1995 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Samarth P. Shah
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (767 download)
Download or read book Essays on Liquidity Cost in Futures and Options Markets written by Samarth P. Shah and published by . This book was released on 2011 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kwanho Kim
Publisher :
ISBN 13 :
Total Pages : 312 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on Volatility and Risk in Financial Markets written by Kwanho Kim and published by . This book was released on 1993 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qianyin Shan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Three Essays on Derivatives Markets written by Qianyin Shan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Don M. Chance
Publisher : John Wiley & Sons
ISBN 13 : 1118160649
Total Pages : 403 pages
Book Rating : 4.1/5 (181 download)
Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Download or read book Buprestidae, I written by and published by . This book was released on 1926 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mikael Vikström
Publisher :
ISBN 13 : 9789515556967
Total Pages : 134 pages
Book Rating : 4.5/5 (569 download)
Download or read book Essays on Option Pricing and Trading written by Mikael Vikström and published by . This book was released on 2001 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andras Nagy
Publisher : Lulu.com
ISBN 13 : 1411688783
Total Pages : 235 pages
Book Rating : 4.4/5 (116 download)
Download or read book Retire Worry Free: Essays on Risk and Money Management written by Andras Nagy and published by Lulu.com. This book was released on 2006-05 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nearly 8 trillion dollars were lost after the dot.com bubble and the ensuing stock market sell-off between 2000 and 2002. This bubble caused life-style changes for pre-retirees and caused 10 Wall-street broker firms to pay off 1.4 billion to unhappy investors in settlements. It has become clear that one must manage one's financial affairs and try to do a better job doing it. Personal application of Modern Portfolio Theory and unique Money Management ideas in this book will help the reader to plan better. The book also explains in detail the long hidden secret of success of the famous Turtle Trading.
Author : Felipe Luis Aguerrevere
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on Real Options written by Felipe Luis Aguerrevere and published by . This book was released on 2000 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
