Price Discovery in US and Australian Stock and Options Markets
| Author | : Vinay Patel |
| Publisher | : |
| Total Pages | : 272 |
| Release | : 2015 |
| Genre | : Investment analysis |
| ISBN | : |
Price Discovery In Us And Australian Stock And Options Markets
Download Price Discovery In Us And Australian Stock And Options Markets full books in PDF, epub, and Kindle. Read online free Price Discovery In Us And Australian Stock And Options Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Price Discovery in the U.S. Stock Options Market
| Author | : Yusif Simaan |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Five U.S. exchanges compete to provide quotes and attract order flows on common set of stock options: the American Stock Exchange, the Chicago Board of Options Exchange, the International Securities Exchange, the Pacific Stock Exchange, and the Philadelphia Stock Exchange. In this paper, we investigate the price discovery in the U.S. stock options market. Our analysis shows that the newly founded, fully electronic International Securities Exchange has become the leader in providing options quotes that are the most informative, the most binding, and also the most executable.
Price Discovery in the U.S. Stock and Stock Options Markets
| Author | : Richard Holowczak |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Option prices vary with not only the underlying asset price, but also volatilities and higher moments. In this paper, we use a portfolio of options to seclude the value change of the portfolio from the impact of volatility and higher moments. We apply this portfolio approach to the price discovery analysis in the U.S. stock and stock options markets. We find that the price discovery on the directional movement of the stock price mainly occurs in the stock market, more so now than before as an increasing proportion of options market makers adopt automated quoting algorithms. Nevertheless, the options market becomes more informative during periods of significant options trading activities. The informativeness of the options quotes increases further when the options trading activity generates net sell or buy pressure on the underlying stock price, even more so when the pressure is consistent with deviations between the stock and the options market quotes.
Automating the Price Discovery Process
| Author | : Mr.Ian Domowitz |
| Publisher | : International Monetary Fund |
| Total Pages | : 38 |
| Release | : 1992-10 |
| Genre | : Business & Economics |
| ISBN | : |
Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of price discovery are identified, and 47 systems are classified according to these criteria. Systems operating at various levels of automation are compared with respect to age, geographical location, and type of securities traded. Information provided to market participants, and asymmetries of information between traders with direct access to the automated market and outside investors also are examined. It is found, for example, that the degree of asymmetric information increases with the level of automation of price discovery. The potential for trading abuses related to prearranged trading, noncompetitive execution, and trading ahead of customers is analyzed for each level of automation. Certain levels of automation widen the opportunities for trading abuses in some respects, but may narrow them in others.
Price Discovery in Futures and Options Markets
| Author | : Naomi E. Boyd |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures market, and implied from the options market. Information shares are compared between futures and options markets as well as within the options market. Given the common architecture of the two markets, we find little price information generated in the options market. Within the options market, the highly levered out-of-the-money options offer less price discovery than other options. We attribute this to the higher transactions costs of out-of-the-money options.
The Evolution of Price Discovery in US Equity and Derivatives Markets
| Author | : Damien G. Wallace |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
This paper investigates changes in the price discovery portions for two popular securities based on the S&P 500 index, namely the S&P 500 E-mini futures and the SPDR Exchange Traded Fund (Ticker SPY) for the period Jan 2002 through Dec 2013. We show a significant change in the price discovery of these two securities over this period. The E-mini futures are dominant for price discovery until 2007, though on a steady decline. After 2007 the SPY ETF dominates the price discovery process.
Price Discovery Across Option and Equity Prices
| Author | : Hayden Kane |
| Publisher | : |
| Total Pages | : 164 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
This paper measures the channels by which private information is incorporated in prices in the equity and option markets. Using a mispricing events approach and conditioning on the option market being the cause of the mispricing event, I analyse the subsequent behaviour of both the options and equity markets and I find that options markets play an important role in the price discovery process. When conditioning on option caused mispricing events, the equity price adjusts towards the options price to reconcile the prices. I find that around 40% of the option caused mispricing events contain information, and the equity prices adjust 35-40%, depending on the exchange, of the maximum discrepancy before prices reconcile. When the equity market causes the mispricing, the option market follows due to the autoquote mechanism. Additionally, I use Monte Carlo to assess the suitability of the Hasbrouck (1995) Information Share and Gonzalo-Granger (1995) Component Share measures in the option-equity context. I find that neither metric is suitable, however the Putnins (2013) Information Leadership metric is and the options market has on average a 35% information leadership share.
Trading CDF's Options and Warrants the ASX Way
| Author | : ASX (The Australian Securities Exchange) |
| Publisher | : Wiley |
| Total Pages | : 0 |
| Release | : 2011-09-26 |
| Genre | : Business & Economics |
| ISBN | : 9780731407385 |
This is the second book in the new, updated, revised ASX Way series, authored by experts at the Australian Securities Exchange. Trading CFDs,Options and Warrants – the ASX Way, contains information on the new exchange traded Contracts For Difference (CFDs) launched on the ASX in November last year. Information on how this new derivative works, how it differs from previous CFD trading through other CFD providers and how CFDs can be used to create wealth from the stock market is all covered in this informative new book. CFDs have been available to Australian traders for over 5 years now. The new ASX CFDs are fundamentally different to the current Over-the-Counter (OTC) CFDs because they are the only CFDs traded on the Australian Securities Exchange. They offer price transparency, exchange independence and greater investor protection. You can now trade the following ASX CFDs: The top 50 stocks listed on ASX Key global equity indices A range of major foreign currency exchange rates Selected commodities. As well as presenting information on exchange-traded CFDs, the book covers in depth other derivative products - options and warrants. It is a one-stop shop for anyone seeking information on all derivative trading products available to trade on the ASX. Trading derivatives such as CFDs, options and warrants is perceived as more risky than buying and holding shares. So investors should be fully informed. The expert author team sets out to educate readers on all aspects of trading. It has been written in the trade-mark easy-to-understand language, with clear explanations and definitions.
Trends in Emerging Markets Finance, Institutions and Money
| Author | : Duc Khuong Nguyen |
| Publisher | : MDPI |
| Total Pages | : 250 |
| Release | : 2020-12-02 |
| Genre | : Business & Economics |
| ISBN | : 3039364855 |
Since the waves of financial liberalization in the 1980s, emerging market economies have been accessible to foreign investors. Altogether, they contributed up to 43.8% of the global GDP in 2018, and many of them, such as China, India, Bangladesh, Philippines, Myanmar and Vietnam from 2010 to 2019, are among the fastest-growing economies in the world. Given the high economic growth, the assets issued by companies in emerging markets are viewed as a new set of investment opportunities for global investors and fund managers who seek to improve the risk-adjusted performance of their portfolios. In addition to their risky profile due to the lack of transparency as well as stable and matured institutions, their recent development path faces a number of challenges arising not only from the slow pace of economic reforms but also from their increased integration with the world. Geopolitical risks, the US–China trade wars, and rising policy uncertainty around the world are expected to reduce their growth potential and performance. This Special Issue dedicates special attention to the current dynamics of emerging financial markets, as well as their perspectives of development as a key driver for sustainable firms and economies. Accordingly, the focus is particularly placed on market integration and interdependence, valuations and risk management practices, and the financing means for inclusive growth.
