THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES"

Transcription

1 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck (1993) mehodology and ick-by-ick inraday daa, his paper invesigaes he marke qualiy of Nasdaq 100 Index fuures afer Cubes sared rading on March 10, Marke qualiy is measured by he variance of pricing error. Pricing error is he deviaion of acual ransacion price from he unobserved implici efficien price. By employing a vecor auoregression model, we found a lower pricing error variance in pos-cubes period relaive o ha of pre-cubes period. This finding indicaes an improvemen in he marke qualiy of Nasdaq 100 Index fuures. Key words: Nasdaq, Cubes, index fuures, marke qualiy, pricing error. JEL Classificaion: G14, C Inroducion Exchange Traded Funds (ETFs) are designed o race he performance of an index, in urn allowing he purchase and sale of an enire index in a single ransacion. They also help esablishing a spo posiion a considerably low coss. This will draw invesors aenion owards index racking socks, and lead o a higher rading volume in boh fuures and ETFs. Therefore, we can expec o see a close pricing relaionship beween he spo and fuures prices afer he inroducion of ETFs. While mispricing and low qualiy are aribued o coss associaed wih he spo marke, rading in Cubes may resul in reduced mispricing and increased marke qualiy of Nasdaq 100 Index fuures conracs. As a new invesmen insrumen in spo marke, Cube carries he feaures ha enable i o rack he performance of he Nasdaq 100 Index quie precisely 1. The rading of Cubes on he American Sock Exchange jus like a common sock may le arbirageurs easily esablish an index arbirage posiion a relaively lower coss. Thus, arbirageurs may buy (sell) Cubes, and a he same ime sell (buy) index fuures o ake advanage of arbirage opporuniies. As a resul, index fuures prices may respond more quickly o he new informaion and move oward he efficien price. Finally, his is expeced o reduce pricing error variance and improve he marke qualiy. So far in he lieraure, ample researches have been conduced on he efficiency and he qualiy of fuures markes. These sudies generally employ cos of carry model and bid-ask spread measures (e.g., see Dwyer, Locke, and Yu, 1996; Huang and Soll, 1997). Hasbrouck (1993), on he oher hand, proposes an alernaive marke qualiy measure. By using vecor auoregression (VAR) mehodology, in his sudy, Hasbrouck (1993) compues pricing error variance o analyze he marke qualiy for a sample of NYSE socks. This pioneer sudy of Hasbrouck is widely acceped and followed in he lieraure o analyze marke efficiency (e.g., see Tse and Erenburg, 2003; Kumar, Sarin, and Shasri, 1998). By applying he same echnique wih Hasbrouck and using inraday ick-by-ick daa, his paper invesigaes he marke qualiy of Nasdaq 100 Index fuures in 100-day periods before and afer he incepion of Cubes on AMEX, on March 10, We hypohesize ha he inroducion of Cubes enhances he marke qualiy of Nasdaq 100 Index fuures conracs. Despie he fac ha he innovaors and issuers of ETFs emphasize he advanages of hese insrumens in erms of diversificaion, ransacion coss and ax efficiency, here are few sudies addressing he effec of ETFs on he qualiy of index markes paricularly by uilizing high- 1 Cubes provide several advanages in execuing index arbirage. Firs, insead of dealing wih a porfolio of 100 securiies, he index arbirage involves only he rading of Cubes. Second, Cubes are exemp from he upick rule. Hence by easing he cash-leg of arbirage posiion, he exempion faciliaes shor selling. Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu, 2006

2 118 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 frequency daa. Unlike he oher sudies in he lieraure, o our bes knowledge, his is he firs sudy which adops Hasbrouck s new echnique for measuring marke qualiy and applies i o Nasdaq 100 Index fuures conracs by using ick-by-ick daa. In line wih he hypohesis, we found a lower pricing error variance in Nasdaq 100 Index fuures for he pos-cubes period compared o he pre-cubes period. The resul is an indicaion of improved qualiy of he index fuures marke afer Cubes sared rading. This improvemen in he marke qualiy is consisen wih he expecaion ha, following a new informaion flow o he Nasdaq 100 Index markes, Cubes would help he adjusmen process of fuures and spo prices by faciliaing index arbirage. The paper proceeds as follows: he second secion provides brief discussion abou sudies on pricing efficiency and marke qualiy. Along wih he hypohesis, he relaionship beween he marke qualiy and pricing error variance is also presened in he second secion. Secion hree describes he daa and he mehodology. Empirical resuls are repored and discussed in he fourh secion. The fifh secion provides some furher analyses. Finally, he paper ends wih he conclusion. 2. Pricing Efficiency and Marke Qualiy Marke Qualiy in Index Markes Firs inroduced in Canada, index racking socks have been a major markeing success. They gained so much populariy ha, in microsrucure lieraure, numerous researches have been conduced abou he effec of index shares on marke efficiency and marke qualiy. By using daily daa, Park and Swizer (1995) invesigae changes in he pricing efficiency of index fuures marke, following he inroducion of Torono 35 Index Paricipaion unis (TIPs). They repor a decrease in he mispricing of Torono 35 Index fuures conracs afer TIPs sared rading. This resul is consisen wih he expecaion ha TIPs ease index arbirage aciviy wih is lower cos. By using inraday daa, Hegde and McDermo (2004) examine he liquidiy in he markes for Diamonds and Cubes, and heir underlying socks. Their findings indicae ha he liquidiy of componen socks shows improvemens afer he inroducion of Diamonds and Cubes. They presen evidence ha boh index shares have significanly lower liquidiy coss over he firs 50 days of rading, compared o he porfolio of heir underlying socks. They aribue his resul o he lower adverse selecion coss he shares incur. Acker and Tian (2000) and Elon, Gruber, Comer, and Li (2002), in heir sudies, found ha SPDRs quie accuraely follow he price behavior of S&P 500 index. In ha sense, SPDRs may be beer alernaives for rading he index porfolio. In urn, hey may lower rading aciviy and marke efficiency in oher markes by divering rading aciviy from hose markes. However, Swizer, Varson, and Zghidi (2000) repor a reducion in posiive mispricing of S&P 500 Index fuures marke afer he inroducion of SPDRs. Employing ick-by-ick daa in heir sudy, Kurov and Lasser (2002) examine he pricing relaionship beween Cubes and he Nasdaq 100 Index fuures conracs. They found ha boh he size and frequency of violaions in fuures price boundaries appear o be reduced afer Cubes sared rading. They also repor an increase in he speed of marke response o observed violaions. These imply ha he inroducion of Cubes has led o an improvemen in he Nasdaq 100 Index fuures pricing efficiency. The researchers aribue hese resuls o he increase in he ease of esablishing a spo marke posiion afer Cubes. In a more recen sudy, Tse and Erenburg (2003) invesigae he price discovery and marke qualiy of Cubes. They base heir analysis on he fac ha he NYSE sared rading Cubes in July This is a new milesone in he NYSE hisory since i is he firs ime i opens is door o rading on a securiy represenaive of socks ha are no lised in he NYSE. The auhors repor ha he bid-ask spread is narrower on he AMEX; whereas, ECNs make he mos conribuion o he price discovery process. They found narrower spreads, and improvemens in marke qualiy and price discovery on all rading plaforms afer Cubes sared rading on he NYSE.

3 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, Pricing Error Variance as a Measure of Marke Qualiy Hasbrouck (1993) has proposed a new mehod for measuring he qualiy of a securiy marke. His approach decomposes ransacion prices in wo pars, namely random-walk and saionary componens. The random walk is considered o be he unobserved implici efficien price, and he saionary par o be he pricing error. In his approach, pricing error is regarded as he implici cos of rading incurred by raders. Insead of paying is fair value for a securiy, if raders pay he ransacion price, he difference beween he ransacion price and he efficien price should reflec he implici cos of rading. Therefore, he dispersion of his pricing error erm is a naural measure of marke qualiy. This new approach suggess ha he pricing error variance measures how accuraely he ransacion price follows he efficien price. In oher words, he lower he pricing error variance is, he higher he marke qualiy will be. In his sudy, Hasbrouck (1993) deecs lower average sandard deviaion of pricing error for acively raded shares of larger firms. This finding is parallel o he asserion ha acive rading resuls in less pricing error variance, and leads o an improvemen in marke qualiy. Using Hasbrouck s (1993) mehod of marke qualiy, Dunne (1996) compues he pricing error variance of he Irish Gil marke for periods before and afer he inroducion of marke making. In his analysis, he repors ha he Irish Gil marke has become raher compeiive, as evidenced by a lower pricing error variance under he pos-marke-making rading regime. In anoher sudy, using Hasbrouck s mehodology, Kumar, Sarin, and Shasri (1998) examine wheher opions rading affecs he marke qualiy of he underlying securiy. They find a narrowing pricing error variance for he underlying securiy afer he incepion of opions rading. Their resul, similar o Hasbrouck s (1993) finding, shows an increase in rading volume along wih an improved marke qualiy. Examining he impac of he FTSE 100 Index fuures ransfer from oucry marke o elecronic marke on marke qualiy, Tse and Zaboina (2001) repor ha spreads are lower in he elecronic marke, implying higher marke qualiy. Conradicing wih his finding, he pricing error variance measured based on Hasbrouck s (1993) mehod is larger, implying a lower marke qualiy. As a resul of his, i may be concluded ha bid-ask spread alone may no be a good measure of marke qualiy. Hypohesis Cubes provide invesors wih a new low-cos insrumen in racking he performance of he porfolio of Nasdaq 100 socks. Insead of using a limied number of socks for mimicking he Nasdaq 100 index, especially raders can implemen arbirage posiions by carrying ou ransacions on Cubes, represenaive of he spo marke. The rading of Cubes may conribue o he qualiy of he Nasdaq 100 Index fuures marke by easing he index arbirage ransacion. Trading Cubes in he Nasdaq 100 Index markes faciliaes arbirage in general and especially shor arbirage since arbirageurs can ake a shor spo posiion in Cubes and simulaneously a long posiion in index fuures. Hence prices may absorb he new informaion more rapidly. Fung and Draper (1999) noe ha he exisence of consrains on shor selling in a marke is a cause of mispricing. Reducion in he consrains on shor selling should reduce he magniude and frequency of mispricing in he marke. This will lead prices o reflec full-informaion values and beer efficiency across markes. Employing he marke qualiy measuremen obained from a mix of VAR and VMA models, we esed he hypohesis wheher he qualiy of he Nasdaq 100 Index fuures marke enhances afer he incepion of Cubes. 3. Daa and Mehodology The analysis employs ick-by-ick daa for Nasdaq 100 Index fuures conracs raded on he Chicago Mercanile Exchange (CME). The esimaion period in his sudy consiss of wo disinc ime periods splied in accordance wih he incepion of Cubes. The firs period covers 100

4 120 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 rading days from Ocober 13, 1998 hrough March 9, 1999, before he inroducion of Cubes, and he second one covers 100 rading days from March 10 hrough July 30, 1999, afer he inroducion of Cubes. The Nasdaq 100 Index fuures daa are obained from he Insiue for Financial Markes (IFM). Ticker symbol, ime of he ransacion, fuures rade price, ransacion dae, expiraion monh of he conrac are included in he daa se for each ransacion. Transacion prices are generally recorded whenever a change in price occurs. Four regular Nasdaq 100 Index fuures conracs expire in March, June, Sepember, and December. In each rading day, only he mos acive conrac wih he mos rades is aken ino accoun. Approximaely one week before he expiraion, he mos acive conrac becomes less acive, and he nex nearby conrac becomes he new mos acive conrac. Considering he likelihood of conaining errors, rades recorded as cancelled, correced, or insered, and observaions repored ou of ime sequence are dropped from he daa se. The selecion of daa and variables used in he sudy are subjec o he availabiliy of daa and aim of he sudy. Hasbrouck (1993) decomposes he logarihm of he observed ransacion price ino wo componens: m p m s, (1) m 1 w, (2) where, m represens unobservable implici efficien price and i follows a random walk process. I is he expeced value of a securiy a he end-of-rading condiional on all publicly available informaion a ime. The innovaion w as he properies: w ~ iid(0, w 2 ) and E(w w ) = 0 for all. These innovaions represen informaion updaes o he public disseminaed beween ime and 1. s is he pricing error which reflecs he ransiory difference beween observed ransacion price and implici efficien price. I is also a covariance-saionary sochasic process wih zeromean and finie variance (i.e., E(s ) = 0, E(s 2 ) = s 2 ). The pricing error erm is no resriced o be serially uncorrelaed wih iself and w. I is considered a proxy for marke imperfecions such as discreeness, invenory conrol, he non-informaion-based componen of he bid-ask spread, he ransien componen of he price response o a block rade, ec., which are no aken ino accoun explicily in he model. Even hough Hasbrouck (1993) uses rading volume in his sudy for measuring pricing error variance, we employ reurn and rade indicaor as variables in our analysis due o he fac ha no volume informaion is provided for he Nasdaq 100 Index fuures by he IFM. For esing he hypohesis, he pricing error variance or marke qualiy of he Nasdaq 100 Index fuures is measured by esimaing a VAR model of reurn and rade indicaor wih five lags over wo 100-day periods before and afer he incepion of Cubes as follows: P P P... P x x... x, (3) x P P... P x x... x, (4) where P P P 1 is he reurn, and P is he logarihm of rade price of index fuures a ime. x is he rade indicaor variable a ime. The value of +1 and 1 indicaes buy and sell 2 orders respecively. The error erms possess he following feaures: Var( 1 ) 1, 2 Var( 2 ) 2, Cov( 1, 2) 12, Cov( 1, 1j) 0, and Cov( 2, 2 j) 0 for all j. The variance-covariance marix also comes from he VAR model. Since he IFM daa se does no provide informaion on bid and ask quoes, in order o idenify buy and sell orders we applied Lee and Ready s (1991) ick es o rade prices. The es classifies a rade as a buy (sell) if i appears on an upick (a downick) or a zero upick (zero downick).

5 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, Following Hasbrouck (1993), overnigh reurns are dropped and lagged values of he rades and reurns are se o zero prior o each day s firs ransacion. Similar o Hasbrouck (1991), we assume ha he VAR model is inverible and he reurn and rade indicaor can be represened by a vecor of moving average (VMA) process as below: P......, (5) x (6) Parallel o Hasbrouck (1993), he VMA coefficiens are esimaed by sepping he sysem forward in response o a uni shock. The VMA model is runcaed a en lags. In order o compue pricing error variance, we use he informaion coming from coefficien esimaes of VMA model and he esimaed variance-covariance marix of he VAR model as follows; s j j j j j , (7) where 10 j 10 k and j k k j 1 k j Resuls Firs, using he informaion from VAR model in equaions (3) and (4), and VMA model in equaions (5) and (6), summary measures of he pricing error variance (or marke qualiy) are esimaed as in equaion (7) for he Nasdaq 100 Index fuures over each 100-day period before and afer he incepion of Cubes 1. There are 60,893 rade prices in he pre-cubes period while here are 92,342 rade prices in he pos-cubes period 2. Esimaion resuls are repored in Table 1. Par A in he able conains esimaion resuls of pricing error variances for pre and pos-cubes periods over 100 rading days. As Par A reveals, we idenified a lower pricing error variance of in he pos-cubes period compared o ha of in he pre-cubes period. Hence our findings show ha marke qualiy of Nasdaq 100 Index fuures improves afer Cubes sared rading, implying ha index fuures prices rack he efficien price more closely 3. A possible explanaion for such a drasic difference in pricing error variances beween he wo periods migh be he learning by rading process. Tha is, as raders are accusomed o he feaures of Cubes and learn how o use hem properly, hey may be able o make beer esimaes of he fair value. Indeed, his process may ake some ime. In ha sense, as he number of rading days exends, i would be normal o observe an increase in he magniude of pricing error variance differences in he boh periods 4. In addiion o compuing pricing error variances for 100-day periods, we also esimaed pricing error sandard deviaions for each day over he wo periods. These esimaes are used o 1 In an aemp o verify ha he resuls are no affeced by he sample size, he analysis is also performed for each 50 and 75-day periods boh before and afer Cubes. Pricing error variances of and are obained for 50-day pre and pos-cubes periods, respecively. Pricing error variances of and are calculaed for 75-day pre and pos- Cubes periods, respecively. These findings are consisen wih hose for 100-day periods, supporing he view ha he qualiy of Nasdaq 100 Index fuures improves following he inroducion of Cubes. 2 The difference in he number of rades beween he wo periods becomes more apparen as moved forward in ime (e.g., 215,607 rades in pos-period versus 114,929 rades in pre-period for 200 rading days). This may suppor he view ha Cubes faciliae index arbirage, which is also consisen wih he findings of Hegde and McDermo (2004), and Tse and Erenburg (2003). 3 See Kayali (2002) and Chu and Kayali (2006) for similar resuls. 4 We compued he raio of pricing error sandard deviaions beween pre and pos-cubes period for 50, 75 and ie.., s 100 rading days. The esimaion resuls are 2.1, 7.2 and 10.1, respecively. These findings, o some exen, suppor our learning by rading argumen. pre s pos

6 122 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 es he null hypohesis ha he mean sandard deviaions in he wo periods are no differen from each oher. The resuls are repored in Par B of he able. The mean sandard deviaion of pricing error is and in he pre-and pos-cubes periods, respecively. The comparison of he mean sandard deviaions using -es yields a -saisic of This indicaes ha he mean sandard deviaions are significanly differen from each oher a he 1 percen level. A non-parameric Mann-Whiney U es, which produced a z-saisic of -5.93, is performed o ensure ha he findings are no sensiive o he assumpion of a specific disribuion. The resuls suppor he hypohesis ha pricing error variance is lower in he pos-cubes period han in he pre-cubes period. This verifies he improvemen in he marke qualiy of Nasdaq 100 Index fuures afer Cubes sared rading. 5. Furher Analysis We also examined wheher our hypohesis is sensiive o srucural change and seasonaliy. The analysis is based on he assumpion ha he efficien price behaves similarly in he wo periods. Thus, o check he validiy of his assumpion, we carried ou a es on if any srucural change exiss in daily fuures prices from one period o he oher. In his case, our null hypohesis is ha he mean daily price changes are no differen in wo periods. The resuls are presened in Par C of he able. The es produces a -saisic of wih a p-value of The es saisic fails o rejec he null hypohesis. This implies ha here is no srucural change in daily fuures prices. Therefore, any improvemen in he marke qualiy afer Cubes may be credied o developmen in he microsrucure aspecs of he Nasdaq 100 Index fuures, such as index arbirage aciviies, he ease of shor sales, ec. Anoher analysis is conduced o es wheher any effec of seasonaliy and sensiiviy o sample period selecion exiss. This is carried ou since he sample periods used in our firs analysis do no cover he same par of he year. Therefore, he same pricing error variance analysis is applied o wo 50-day periods overlapping he same imes of he years. These wo samples cover he daes of Ocober 20 hrough December 31, 1998 for he pre-cubes, and Ocober 21 hrough December 31, 1999 for he pos-cubes periods. The resuls on his analysis are repored in Par D of he able. A lower variance of is compued for pos-cubes period compared o ha of for pre-cubes period. This finding is also consisen wih he previous one ha he marke qualiy improves following he incepion of Cubes. Thus, i can be concluded ha he resuls are no sensiive o seasonaliy and he sample periods seleced. Esimaion Resuls Table 1 Par A: Pre-Cubes Pos-Cubes Time period 98/10/13-99/03/09 99/03/10-99/07/30 Pricing error variance ( s 2 ) Pricing error sandard deviaion ( s ) Number of rade prices 60,893 92,342 Par B: H 0: pre mean H 1: pre mean = pos mean pos mean Mean daily pricing error sd. dev. ( s ) Number of rading days Average number of rade prices per day es = 5.69* Mann-Whiney U es z = -5.93*

7 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, Table 1 (coninuous) Par C: Pre-Cubes Pos-Cubes H 0 : pre = pos H 1 : pre pos Mean daily price change saisic = 1.048** p-value p = 0.296** Par D: Time period 98/10/20-98/12/31 99/10/21-99/12/31 Pricing error variance ( s 2 ) Number of rading days * Saisically significan a he 1 percen level. ** Saisically no significan a convenional levels. 6. Conclusion By using Hasbrouck (1993) mehodology and ick-by-ick daa, his sudy invesigaes he effec of Cubes on he marke qualiy of he Nasdaq 100 Index fuures marke for 100-day periods before and afer he incepion of Cubes. We idenified a lower pricing error variance (or beer marke qualiy) for index fuures marke in pos-cubes period compared o pre-cubes period. In parallel o explanaion in he lieraure (e.g., see Fung and Draper, 1999; Fung, Jiang, and Cheng, 2001) ha securiies prices should follow he efficien price more closely as resricions o shor selling of hose securiies are lifed, he incepion of Cubes may ease rading in he spo marke and allow seizing arbirage opporuniies. Tha is, arbirageurs would be able o ake a spo posiion by purchasing or shor selling Cubes. Hence, i can be expeced ha variaion in pricing errors would be lower and in urn he qualiy of index fuures marke would improve afer Cubes sared rading. Our findings are consisen wih his expecaion, and provide supporing empirical evidence. References 1. Acker L.F., Y.S. Tian. Arbirage and valuaion in he marke for Sandard and Poor s deposiory receips // Financial Managemen, pp Chu Q.C., M.M. Kayali. Sandard and Poor s Deposiary Receips and The Marke Qualiy Of S&P 500 Index Fuures // Applied Economerics and Inernaional Developmen, 2006, forhcoming. 3. Dunne P.G. An economeric assessmen of he change in qualiy of he Irish gil marke since he inroducion of marke making // The Economic and Social Review, pp Dwyer G.P., P. Locke, W. Yu. Index arbirage and nonlinear dynamics beween he S&P 500 fuures and cash // The Review of Financial Sudies, pp Elon E.J., M.J. Gruber, G. Comer, K. Li. Spiders: Where are he bugs? // Journal of Business, pp Fung K.W.J., L. Jiang, T.W.L. Cheng. The lead-lag relaion beween spo and fuures markes under differen shor-selling regimes // The Financial Review, pp Fung K.W.J., P. Draper. Mispricing of index fuures conracs and shor sales consrains // Journal of Fuures Markes, pp Hasbrouck J. The summary informaiveness of sock rades: An economeric analysis // Review of Financial Sudies, pp

8 124 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, Hasbrouck J. Assessing he qualiy of a securiy marke: A new approach o ransacion-cos measuremen // Review of Financial Sudies, pp Hegde S., J.B. McDermo. The marke liquidiy of Diamonds, Q s, and heir underlying socks // Journal of Banking and Finance, pp Huang R.D., H.R. Soll. The componens of he bid-ask spread: a general approach // The Review of Financial Sudies, pp Kayali M.M. SPDRs and he marke qualiy of he S&P 500 index fuures: A Vecor Error Correcion Model approach o measuring marke qualiy // Unpublished Ph.D. Disseraion, The Universiy of Memphis, U.S.A. 13. Kumar R., A. Sarin, K. Shasri. The impac of opions rading on he marke qualiy of he underlying securiy: An empirical analysis // Journal of Finance, pp Kurov A.A., D.J. Lasser. The effec of he inroducion of Cubes on he Nasdaq-100 indexspo-fuures pricing relaionship // Journal of Fuures Markes, pp Lee C.M.C., M.J. Ready. Inferring rade direcion from inradaily daa // Journal of Finance, pp Park T.H., L.N. Swizer. Index paricipaion unis and he performance of index fuures markes: Evidence from he Torono 35 index paricipaion unis marke // Journal of Fuures Markes, pp Swizer L.N., P.L. Varson, S. Zghidi. Sandard & Poor s deposiory receips and he performance of he S&P 500 index fuures marke // Journal of Fuures Markes, pp Tse Y., T.V. Zaboina. Transacion coss and marke qualiy: Open oucry versus elecronic rading // Journal of Fuures Markes, pp Tse Y., G. Erenburg. Compeiion for order flow, marke qualiy, and price discovery in he Nasdaq 100 Index racking sock // Journal of Financial Research, pp

Applied Econometrics and International Development

Applied Econometrics and International Development Applied Economerics and Inernaional Developmen Vol.6-3(006) STANDARD & POOR S DEPOSITARY RECEIPTS AND THE MARKET QUALITY OF S&P 500 INDEX FUTURES CHU, Quenin C. * KAYALI, Musafa Mesu Absrac This sudy examines

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough

More information

Ownership structure, liquidity, and trade informativeness

Ownership structure, liquidity, and trade informativeness Journal of Finance and Accounancy ABSTRACT Ownership srucure, liquidiy, and rade informaiveness Dan Zhou California Sae Universiy a Bakersfield In his paper, we examine he relaionship beween ownership

More information

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework Applied Financial Economics Leers, 2008, 4, 419 423 SEC model selecion algorihm for ARCH models: an opions pricing evaluaion framework Savros Degiannakis a, * and Evdokia Xekalaki a,b a Deparmen of Saisics,

More information

The impact of the trading systems development on bid-ask spreads

The impact of the trading systems development on bid-ask spreads Chun-An Li (Taiwan), Hung-Cheng Lai (Taiwan)* The impac of he rading sysems developmen on bid-ask spreads Absrac Following he closure, on 30 June 2005, of he open oucry sysem on he Singapore Exchange (SGX),

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?

Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets? Do Fuures Lead Price Discovery in Elecronic Foreign Exchange Markes? Juan Cabrera Tao Wang Jian Yang Juan Cabrera is a Ph.D. candidae in he Deparmen of Economics a he Graduae School of he Ciy Universiy

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Cointegration Analysis of Exchange Rate in Foreign Exchange Market

Cointegration Analysis of Exchange Rate in Foreign Exchange Market Coinegraion Analysis of Exchange Rae in Foreign Exchange Marke Wang Jian, Wang Shu-li School of Economics, Wuhan Universiy of Technology, P.R.China, 430074 Absrac: This paper educed ha he series of exchange

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen A Noe on he Impac of Opions on Sock Reurn Volailiy Nicolas P.B. Bollen ABSTRACT This paper measures he impac of opion inroducions on he reurn variance of underlying socks. Pas research generally finds

More information

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter?

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter? Proceedings of he Firs European Academic Research Conference on Global Business, Economics, Finance and Social Sciences (EAR5Ialy Conference) ISBN: 978--6345-028-6 Milan-Ialy, June 30-July -2, 205, Paper

More information

Can Individual Investors Use Technical Trading Rules to Beat the Asian Markets?

Can Individual Investors Use Technical Trading Rules to Beat the Asian Markets? Can Individual Invesors Use Technical Trading Rules o Bea he Asian Markes? INTRODUCTION In radiional ess of he weak-form of he Efficien Markes Hypohesis, price reurn differences are found o be insufficien

More information

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

Investor sentiment of lottery stock evidence from the Taiwan stock market

Investor sentiment of lottery stock evidence from the Taiwan stock market Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This

More information

Efficiency of Price Discovery in Thinly Traded Stocks: Evidence from Dual Listings in Tel Aviv and the OTC*

Efficiency of Price Discovery in Thinly Traded Stocks: Evidence from Dual Listings in Tel Aviv and the OTC* Efficiency of Price Discovery in Thinly Traded Socks: Evidence from Dual Lisings in Tel Aviv and he OTC* Shmuel Hauser Ben Gurion Universiy of he Negeve and Israel Securiies Auhoriy, Israel Azriel Levy

More information

Daytime vs. Overnight Trading in Equity Index Futures Markets

Daytime vs. Overnight Trading in Equity Index Futures Markets Dayime vs. Overnigh Trading in Equiy Index Fuures Markes Sandip Dua (Corresponding auhor) School of Business, Dep. of Economics and Finance Souhern Connecicu Sae Universiy 501 Crescen Sree, New Haven,

More information

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

Impact of scripless trading on business practices of Sub-brokers.

Impact of scripless trading on business practices of Sub-brokers. Impac of scripless rading on business pracices of Sub-brokers. For furher deails, please conac: Mr. T. Koshy Vice Presiden Naional Securiies Deposiory Ld. Tradeworld, 5 h Floor, Kamala Mills Compound,

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

Journal of Financial and Strategic Decisions Volume 12 Number 1 Spring 1999

Journal of Financial and Strategic Decisions Volume 12 Number 1 Spring 1999 Journal of Financial and Sraegic Decisions Volume 12 Number 1 Spring 1999 THE LEAD-LAG RELATIONSHIP BETWEEN THE OPTION AND STOCK MARKETS PRIOR TO SUBSTANTIAL EARNINGS SURPRISES AND THE EFFECT OF SECURITIES

More information

MARKET LIQUIDITY AND DEPTH ON FLOOR-TRADED AND E-MINI INDEX FUTURES: AN ANALYSIS OF THE S&P 500 AND NASDAQ 100

MARKET LIQUIDITY AND DEPTH ON FLOOR-TRADED AND E-MINI INDEX FUTURES: AN ANALYSIS OF THE S&P 500 AND NASDAQ 100 80 Invesmen Managemen and Financial Innovaions, Volume 4, Issue 4, 2007 MARKET LIQUIDITY AND DEPTH ON FLOOR-TRADED AND E-MINI INDEX FUTURES: AN ANALYSIS OF THE S&P 500 AND NASDAQ 100 Yu-shan Wang *, Huimin

More information

The Transmission of Pricing Information of Dually-Listed Stocks

The Transmission of Pricing Information of Dually-Listed Stocks Journal of Business Finance & Accouning, 26(5) & (6), June/July 1999, 0306-686X The Transmission of Pricing Informaion of Dually-Lised Sks Kee-Hong Bae, Baekin Cha and Yan-Leung Cheung* 1. INTRODUCTION

More information

Does informed trading occur in the options market? Some revealing clues

Does informed trading occur in the options market? Some revealing clues Does informed rading occur in he opions marke? Some revealing clues Blasco N.(1), Corredor P.(2) and Sanamaría R. (2) (1) Universiy of Zaragoza (2) Public Universiy of Navarre Absrac This paper analyses

More information

The Behavior of China s Stock Prices in Response to the Proposal and Approval of Bonus Issues

The Behavior of China s Stock Prices in Response to the Proposal and Approval of Bonus Issues The Behavior of China s Sock Prices in Response o he Proposal and Approval of Bonus Issues Michelle L. Barnes a* and Shiguang Ma b a Federal Reserve Bank of Boson Research, T-8 600 Alanic Avenue Boson,

More information

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook Nikkei Sock Average Volailiy Index Real-ime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and

More information

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Option Put-Call Parity Relations When the Underlying Security Pays Dividends

Option Put-Call Parity Relations When the Underlying Security Pays Dividends Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 225-23 Opion Pu-all Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,

More information

LIQUIDITY, PRICE IMPACT AND TRADE INFORMATIVENESS EVIDENCE FROM THE LONDON STOCK EXCHANGE

LIQUIDITY, PRICE IMPACT AND TRADE INFORMATIVENESS EVIDENCE FROM THE LONDON STOCK EXCHANGE ECONOMIC ANNALS, Volume LVI, No. 188 / January March 011 UDC: 3.33 ISSN: 0013-364 Scienific Papers DOI:10.98/EKA1188091T Naaša Teodorović* LIQUIDITY, PRICE IMPACT AND TRADE INFORMATIVENESS EVIDENCE FROM

More information

Influence of the Dow returns on the intraday Spanish stock market behavior

Influence of the Dow returns on the intraday Spanish stock market behavior Influence of he Dow reurns on he inraday Spanish sock marke behavior José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós Deparmen of Financial Economics, Universiy of Exremadura

More information

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange Resiliency, he Negleced Dimension of Marke Liquidiy: Empirical Evidence from he New York Sock Exchange Jiwei Dong 1 Lancaser Universiy, U.K. Alexander Kempf Universiä zu Köln, Germany Pradeep K. Yadav

More information

Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?

Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets? Do Fuures Lead Price Discovery in Elecronic Foreign Exchange Markes? Absrac Using inra-day daa, his paper invesigaes he conribuion o he price discovery of he Euro and Japanese Yen exchange raes in hree

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues Discussion Paper No. 0120 Marke Efficiency or No? The Behaviour of China s Sock Prices in Response o he Announcemen of Bonus Issues Michelle L. Barnes and Shiguang Ma May 2001 Adelaide Universiy SA 5005,

More information

Performance Center Overview. Performance Center Overview 1

Performance Center Overview. Performance Center Overview 1 Performance Cener Overview Performance Cener Overview 1 ODJFS Performance Cener ce Cener New Performance Cener Model Performance Cener Projec Meeings Performance Cener Execuive Meeings Performance Cener

More information

Short selling and margin trading: Evidence from Chinese intra-day data

Short selling and margin trading: Evidence from Chinese intra-day data Shor selling and margin rading: Evidence from Chinese inra-day daa Absrac Uilizing daily daa on Chinese socks shor selling and margin rading aciviies and inraday ick sock rading daa, we examine he relaionship

More information

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA Journal of Applied Economics, Vol. IV, No. (Nov 001), 313-37 GOOD NEWS, BAD NEWS AND GARCH EFFECTS 313 GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA CRAIG A. DEPKEN II * The Universiy of Texas

More information

The Maturity Structure of Volatility and Trading Activity in the KOSPI200 Futures Market

The Maturity Structure of Volatility and Trading Activity in the KOSPI200 Futures Market The Mauriy Srucure of Volailiy and Trading Aciviy in he KOSPI200 Fuures Marke Jong In Yoon Division of Business and Commerce Baekseok Univerisy Republic of Korea Email: jiyoon@bu.ac.kr Received Sepember

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

NASDAQ-100 Futures Index SM Methodology

NASDAQ-100 Futures Index SM Methodology NASDAQ-100 Fuures Index SM Mehodology Index Descripion The NASDAQ-100 Fuures Index (The Fuures Index ) is designed o rack he performance of a hypoheical porfolio holding he CME NASDAQ-100 E-mini Index

More information

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchange-raded ineres rae fuures and heir opions are described. The fuure opions include hose paying

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

Price Discovery in the Absence of Trading: A Look at the Malta Stock Exchange Pre-opening Period

Price Discovery in the Absence of Trading: A Look at the Malta Stock Exchange Pre-opening Period Price Discovery in he Absence of rading: A Look a he Mala Sock Exchange Pre-opening Period Michael Bowe Suar Hyde Ike Johnson Absrac his paper sudies he conribuion of he pre-opening period o he daily price

More information

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets 1

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets 1 Price Formaion and Liquidiy Provision in Shor-Term Fixed Income Markes 1 Chris D Souza 2 Financial Markes Deparmen Bank of Canada Ingrid Lo Financial Markes Deparmen Bank of Canada Sephan Sapp Ivey School

More information

How Useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index

How Useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index Inernaional Journal of Economics and Financial Issues Vol. 4, No. 3, 04, pp.65-656 ISSN: 46-438 www.econjournals.com How Useful are he Various Volailiy Esimaors for Improving GARCH-based Volailiy Forecass?

More information

No. 2011/03 Is BEST Really Better? Internalization of Orders in an Open Limit Order Book. Joachim Grammig and Erik Theissen

No. 2011/03 Is BEST Really Better? Internalization of Orders in an Open Limit Order Book. Joachim Grammig and Erik Theissen No. 2011/03 Is BEST Really Beer? Inernalizaion of Orders in an Open Limi Order Book Joachim Grammig and Erik Theissen Cener for Financial Sudies Goehe-Universiä Frankfur House of Finance Grüneburgplaz

More information

Technical Description of S&P 500 Buy-Write Monthly Index Composition

Technical Description of S&P 500 Buy-Write Monthly Index Composition Technical Descripion of S&P 500 Buy-Wrie Monhly Index Composiion The S&P 500 Buy-Wrie Monhly (BWM) index is a oal reurn index based on wriing he nearby a-he-money S&P 500 call opion agains he S&P 500 index

More information

CBOE VIX PREMIUM STRATEGY INDEX (VPD SM ) CAPPED VIX PREMIUM STRATEGY INDEX (VPN SM )

CBOE VIX PREMIUM STRATEGY INDEX (VPD SM ) CAPPED VIX PREMIUM STRATEGY INDEX (VPN SM ) CBOE VIX PREIU STRATEGY INDEX (VPD S ) CAPPED VIX PREIU STRATEGY INDEX (VPN S ) The seady growh of CBOE s volailiy complex provides a unique opporuniy for invesors inen on capuring he volailiy premium.

More information

After-hours Trading in Equity Futures Markets

After-hours Trading in Equity Futures Markets Afer-hours Trading in Equiy Fuures Markes Mardi Dungey *+, Luba Fakhrudinova *, Charles Goodhar % * CFAP, Universiy of Cambridge + CAMA, Ausralian Naional Universiy % Financial Markes Group, London School

More information

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends?

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends? Why Do Real and Nominal Invenory-Sales Raios Have Differen Trends? By Valerie A. Ramey Professor of Economics Deparmen of Economics Universiy of California, San Diego and Research Associae Naional Bureau

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET

SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET 154 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 2, 2006 SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET Chrisos Floros, Dimirios V. Vougas Absrac Samuelson (1965) argues ha

More information

Asymmetric Information, Perceived Risk and Trading Patterns: The Options Market

Asymmetric Information, Perceived Risk and Trading Patterns: The Options Market Asymmeric Informaion, Perceived Risk and Trading Paerns: The Opions Marke Guy Kaplanski * Haim Levy** March 01 * Bar-Ilan Universiy, Israel, Tel: 97 50 696, Fax: 97 153 50 696, email: guykap@biu.ac.il.

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

The role of risk measures choice in ranking real estate funds: evidence from the Italian market

The role of risk measures choice in ranking real estate funds: evidence from the Italian market XIX Inernaional Tor Vergaa Conference on Money, Banking and Finance The role of risk measures choice in ranking real esae funds: evidence from he Ialian marke Claudio Giannoi, Universiy LUM Jean Monne

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Sock Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and

More information

Option Trading Costs Are Lower Than You Think

Option Trading Costs Are Lower Than You Think Opion Trading Coss Are Lower Than You Think Dmiriy Muravyev Boson College Neil D. Pearson Universiy of Illinois a Urbana-Champaign March 15, 2015 Absrac Convenionally measured bid-ask spreads of liquid

More information

The Impact of Option Listing on the Trading Activity of Turkcell s American Depository Receipt (ADR)*

The Impact of Option Listing on the Trading Activity of Turkcell s American Depository Receipt (ADR)* The Impac of Opion Lising on he Trading Aciviy of Turkcell s American Deposiory Receip (ADR)* Aslı Aşçıoğlu** Mura Aydoğdu*** Lynn Phillips Kugele**** Bryan Universiy Rhode Island College The Universiy

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

Florida State University Libraries

Florida State University Libraries Florida Sae Universiy Libraries Elecronic Theses, Treaises and Disseraions The Graduae School 2008 Two Essays on he Predicive Abiliy of Implied Volailiy Consanine Diavaopoulos Follow his and addiional

More information

Markit Excess Return Credit Indices Guide for price based indices

Markit Excess Return Credit Indices Guide for price based indices Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semi-annual

More information

expressed here and the approaches suggested are of the author and not necessarily of NSEIL.

expressed here and the approaches suggested are of the author and not necessarily of NSEIL. I. Inroducion Do Fuures and Opions rading increase sock marke volailiy Dr. Premalaa Shenbagaraman * In he las decade, many emerging and ransiion economies have sared inroducing derivaive conracs. As was

More information

Chapter 1.6 Financial Management

Chapter 1.6 Financial Management Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1

More information

An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange

An Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange An Empirical Comparison of Asse Pricing Models for he Tokyo Sock Exchange Absrac In his sudy we compare he performance of he hree kinds of asse pricing models proposed by Fama and French (1993), Carhar

More information

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES Juan Ángel Lafuene Universidad Jaume I Unidad Predeparamenal de Finanzas y Conabilidad Campus del Riu Sec. 1080, Casellón

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Soc Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

Commission Costs, Illiquidity and Stock Returns

Commission Costs, Illiquidity and Stock Returns Commission Coss, Illiquidiy and Sock Reurns Jinliang Li* College of Business Adminisraion, Norheasern Universiy 413 Hayden Hall, Boson, MA 02115 Telephone: 617.373.4707 Email: jin.li@neu.edu Rober Mooradian

More information

DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? RACT. Abstract

DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? RACT. Abstract DO FUNDS FOLLOW POST-EARNINGS ANNOUNCEMENT DRIFT? Ali Coskun Bogazici Universiy Umi G. Gurun Universiy of Texas a Dallas RACT Ocober 2011 Absrac We show ha acively managed U.S. hedge funds, on average,

More information

Accruals and cash flows anomalies: evidence from the Indian stock market

Accruals and cash flows anomalies: evidence from the Indian stock market Sanjay Sehgal (India), Srividya Subramaniam (India), Floren Deising (France) Accruals and cash flows anomalies: evidence from he Indian sock marke Absrac This sudy examines he persisence of earnings performance,

More information

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S. Paul Ferley Assisan Chief Economis 416-974-7231 paul.ferley@rbc.com Nahan Janzen Economis 416-974-0579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain Pos-Earnings-Announcemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper

More information

The Kinetics of the Stock Markets

The Kinetics of the Stock Markets Asia Pacific Managemen Review (00) 7(1), 1-4 The Kineics of he Sock Markes Hsinan Hsu * and Bin-Juin Lin ** (received July 001; revision received Ocober 001;acceped November 001) This paper applies he

More information

Description of the CBOE S&P 500 BuyWrite Index (BXM SM )

Description of the CBOE S&P 500 BuyWrite Index (BXM SM ) Descripion of he CBOE S&P 500 BuyWrie Index (BXM SM ) Inroducion. The CBOE S&P 500 BuyWrie Index (BXM) is a benchmark index designed o rack he performance of a hypoheical buy-wrie sraegy on he S&P 500

More information

How Widespread Was Late Trading in Mutual Funds? (Session: Exposing Cheating and Corruption, Steven Levitt Presiding)

How Widespread Was Late Trading in Mutual Funds? (Session: Exposing Cheating and Corruption, Steven Levitt Presiding) How Widespread Was Lae Trading in Muual Funds? (Session: Exposing Cheaing and Corrupion, Seven Levi Presiding) Eric Zizewiz Sanford Graduae School of Business 518 Memorial Way Sanford, CA 94305 Tel: 650-724-1860

More information

Economics 140A Hypothesis Testing in Regression Models

Economics 140A Hypothesis Testing in Regression Models Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1

More information

LEASING VERSUSBUYING

LEASING VERSUSBUYING LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss

More information

When Do TIPS Prices Adjust to Inflation Information?

When Do TIPS Prices Adjust to Inflation Information? When Do TIPS Prices Adjus o Inflaion Informaion? Quenin C. Chu a, *, Deborah N. Piman b, Linda Q. Yu c Augus 15, 2009 a Deparmen of Finance, Insurance, and Real Esae. The Fogelman College of Business and

More information

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable

More information

Working Paper The dynamics of trading duration, volume and price volatility: A vector MEM model

Working Paper The dynamics of trading duration, volume and price volatility: A vector MEM model econsor www.econsor.eu Der Open-Access-Publikaionsserver der ZBW Leibniz-Informaionszenrum Wirschaf The Open Access Publicaion Server of he ZBW Leibniz Informaion Cenre for Economics Xu, Yongdeng Working

More information

An asymmetric process between initial margin requirements and volatility: New evidence from Japanese stock market

An asymmetric process between initial margin requirements and volatility: New evidence from Japanese stock market African Journal of Business Managemen Vol.6 (9), pp. 870-8736, 5 July, 0 Available online a hp://www.academicjournals.org/ajbm DOI: 0.5897/AJBM.88 ISSN 993-833 0 Academic Journals Full Lengh Research Paper

More information

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction.

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction. Applied Economerics and Inernaional Developmen. AEID.Vol. 5-3 (5) EFFECT OF OIL PRICE SHOCKS IN THE U.S. FOR 1985-4 USING VAR, MIXED DYNAMIC AND GRANGER CAUSALITY APPROACHES AL-RJOUB, Samer AM * Absrac

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

Journal Of Business & Economics Research Volume 1, Number 11

Journal Of Business & Economics Research Volume 1, Number 11 Profis From Buying Losers And Selling Winners In The London Sock Exchange Anonios Anoniou (E-mail: anonios.anoniou@durham.ac.ak), Universiy of Durham, UK Emilios C. Galariois (E-mail: emilios.galariois@dirham.ac.uk),

More information

The stock index futures hedge ratio with structural changes

The stock index futures hedge ratio with structural changes Invesmen Managemen and Financial Innovaions Volume 11 Issue 1 2014 Po-Kai Huang (Taiwan) The sock index fuures hedge raio wih srucural changes Absrac This paper esimaes he opimal sock index fuures hedge

More information

Profitability and causality of order imbalance based trading strategy in hedge stocks

Profitability and causality of order imbalance based trading strategy in hedge stocks Invesmen Managemen and Financial Innovaions, Volume 7, Issue 1, 2010 Yong-Chern Su (Taiwan), Han-Ching Huang (Taiwan), Chien-Chang Chiu (Taiwan) Profiabiliy and causaliy of order imbalance based rading

More information

Implementing 130/30 Equity Strategies: Diversification Among Quantitative Managers

Implementing 130/30 Equity Strategies: Diversification Among Quantitative Managers Implemening 130/30 Equiy Sraegies: Diversificaion Among Quaniaive Managers Absrac The high degree of correlaion among he reurns of quaniaive equiy sraegies during July and Augus 2007 has been exensively

More information

WORKING CAPITAL ACCRUALS AND EARNINGS MANAGEMENT 1

WORKING CAPITAL ACCRUALS AND EARNINGS MANAGEMENT 1 Invesmen Managemen and Financial Innovaions, Volume 4, Issue 2, 2007 33 WORKING CAPITAL ACCRUALS AND EARNINGS MANAGEMENT Joseph Kersein *, Aul Rai ** Absrac We reexamine marke reacions o large and small

More information

The Grantor Retained Annuity Trust (GRAT)

The Grantor Retained Annuity Trust (GRAT) WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business

More information

House Price Index (HPI)

House Price Index (HPI) House Price Index (HPI) The price index of second hand houses in Colombia (HPI), regisers annually and quarerly he evoluion of prices of his ype of dwelling. The calculaion is based on he repeaed sales

More information