Put Call Parity And The Informational Efficiency Of The German Dax Index Option Market
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Analysis of Put-call Parity and Options Market Efficiency for Stock Index Futures
Author | : Scott Taylor |
Publisher | : |
Total Pages | : 28 |
Release | : 1994 |
Genre | : Options (Finance) |
ISBN | : |
Time to Efficiency of the French CAC 40 Index Options Market
Author | : Laurent Deville |
Publisher | : |
Total Pages | : 45 |
Release | : 2004 |
Genre | : |
ISBN | : |
In this paper, we use intradaily data and adopt an ex ante approach, replicating as closely as possible execution conditions available to traders on the CAC 40 option index contract between August 2000 and July 2001. Taking the ex post distortions to put-call parity as signals for the construction of ex ante arbitrage portfolios, we first compute the effective arbitrage profits accessible after fixed execution delays. These profits appear to be decreasing with the length of the delay. We further investigate the informational efficiency through the development of an original indicator we call time to efficiency, which is simply the time necessary for the market to meet prices compatible with no arbitrage once an ex post deviation has been identified. These dynamical approaches allow us to evidence the positive influence of ETFs on efficiency since the persistence time of deviation has been cut by half following their introduction on the French market.
Derivatives and Hedge Funds
Author | : Stephen Satchell |
Publisher | : Springer |
Total Pages | : 416 |
Release | : 2016-05-18 |
Genre | : Science |
ISBN | : 1137554177 |
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Efficiency and Volatility Dynamics of Bangladesh's Stock Market
Author | : Md Abu Hasan |
Publisher | : Cambridge Scholars Publishing |
Total Pages | : 223 |
Release | : 2024-02-06 |
Genre | : Business & Economics |
ISBN | : 1527569780 |
This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
Guide to Financial Markets
Author | : Marc Levinson |
Publisher | : The Economist |
Total Pages | : 250 |
Release | : 2018-07-24 |
Genre | : Business & Economics |
ISBN | : 1541742516 |
The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.