RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS
... effects on equity markets can be presented from three different aspects. Namely, literature differs in terms of selected financial and macroeconomic variables, methodology employed, and level of equity market development. Oberuc (2004) recognized term spread, default spread, dividend yield, interest ...
... effects on equity markets can be presented from three different aspects. Namely, literature differs in terms of selected financial and macroeconomic variables, methodology employed, and level of equity market development. Oberuc (2004) recognized term spread, default spread, dividend yield, interest ...
Price functionals with bid-ask spreads : an axiomatic
... arbitrage-free. The converse is false and if a model with constant proportional transaction costs applied to some price process S is arbitrage-free then S is not necessarily a frictionless arbitrage-free process. In a recent paper, Koehl, Pham and Touzi (1996) consider, in a discrete time framework, ...
... arbitrage-free. The converse is false and if a model with constant proportional transaction costs applied to some price process S is arbitrage-free then S is not necessarily a frictionless arbitrage-free process. In a recent paper, Koehl, Pham and Touzi (1996) consider, in a discrete time framework, ...
Stock Market Development and Cross
... ments is formed by four dummy variables, each dummy taking a value of one for countries in a given family and zero for countries outside that family. The fifth family is absorbed by the constant in the regressions. Previous research shows that countries of the English legal origin have particularly ...
... ments is formed by four dummy variables, each dummy taking a value of one for countries in a given family and zero for countries outside that family. The fifth family is absorbed by the constant in the regressions. Previous research shows that countries of the English legal origin have particularly ...
Option Hedging with Smooth Market Impact
... Dynamic hedging of an option position is one of the most studied problems in quantitative finance. But when the position size is large, the optimal hedge strategy must take account of the transaction costs that will be incurred by following the Black-Scholes solution. This large position may be the p ...
... Dynamic hedging of an option position is one of the most studied problems in quantitative finance. But when the position size is large, the optimal hedge strategy must take account of the transaction costs that will be incurred by following the Black-Scholes solution. This large position may be the p ...
UNIVERSITY OF VAASA FACULTY OF BUSINESS STUDY
... Euro Stoxx 50 index (8.4%) and Honkong’s Hang Seng index (7.2%) in September 2012. The trend has been continued for an additional four months, keeping investors highly motivated by the global central bank’s actions to support market. The purpose of the study is to examine how various forms of macroe ...
... Euro Stoxx 50 index (8.4%) and Honkong’s Hang Seng index (7.2%) in September 2012. The trend has been continued for an additional four months, keeping investors highly motivated by the global central bank’s actions to support market. The purpose of the study is to examine how various forms of macroe ...
The information content of an open limit-order book
... informed traders use limit orders as part of their trading strategies. On the contrary, if informed traders prefer to use market orders over limit orders, it will be expected that their market orders may pick off any mis-priced limit orders until the book reflects all available information. The auth ...
... informed traders use limit orders as part of their trading strategies. On the contrary, if informed traders prefer to use market orders over limit orders, it will be expected that their market orders may pick off any mis-priced limit orders until the book reflects all available information. The auth ...
the az guide to e-mini futures trading
... default on futures and options products by the exchange’s sophisticated risk management and surveillance techniques. The exchange itself provides the integrity for each and every transaction. Diversity – E-Mini’s cover a broad spectrum of the stock index world. From the S&P 500 to the Dow and NASDAQ ...
... default on futures and options products by the exchange’s sophisticated risk management and surveillance techniques. The exchange itself provides the integrity for each and every transaction. Diversity – E-Mini’s cover a broad spectrum of the stock index world. From the S&P 500 to the Dow and NASDAQ ...
Investments
... underlying asset. At-the-money - The exercise price is equal to the spot price of the underlying asset. Out-of-the-money - The exercise price is more than the spot price of the underlying asset. ...
... underlying asset. At-the-money - The exercise price is equal to the spot price of the underlying asset. Out-of-the-money - The exercise price is more than the spot price of the underlying asset. ...
Convertible Bonds Valuation based on Multiple
... exotic, and American options. Because these options interact with each other, the value of the CB is not just the sum of these individual options’ values. Thus, evaluating a CB’s price is an important topic for issuers and investors. Theoretical approaches to a CB’s valuation based on options are pr ...
... exotic, and American options. Because these options interact with each other, the value of the CB is not just the sum of these individual options’ values. Thus, evaluating a CB’s price is an important topic for issuers and investors. Theoretical approaches to a CB’s valuation based on options are pr ...
Interdependence between Foreign Exchange
... advanced in various ways – e.g., the noteworthy study of AGGARWAL (1981). The intuition for a link between the exchange rate and the stock market assumes that a devaluation or depreciation of the currency makes exports more profitable and as most major exporters are quoted on the stock market, one w ...
... advanced in various ways – e.g., the noteworthy study of AGGARWAL (1981). The intuition for a link between the exchange rate and the stock market assumes that a devaluation or depreciation of the currency makes exports more profitable and as most major exporters are quoted on the stock market, one w ...
Does Equity Derivatives Trading Affect the Systematic Risk of the
... has been written on the volatility effects of futures trading. Numerous empirical studies have found that beta estimates can be biased because of nonsynchronous trading and market frictions such as thin trading, trading delays, and price adjustment delays. This can cause the beta estimate to be bias ...
... has been written on the volatility effects of futures trading. Numerous empirical studies have found that beta estimates can be biased because of nonsynchronous trading and market frictions such as thin trading, trading delays, and price adjustment delays. This can cause the beta estimate to be bias ...
OPTION PRICING WHEN UNDERLYING STOCK
... new information about the stock that has more than a marginal effect on price. Usually, such information will be specific to the firm or possibly its industry. It is reasonable to expect that there will be ‘active’ times in the stock when such information arrives and ‘quiet’ times when it does not a ...
... new information about the stock that has more than a marginal effect on price. Usually, such information will be specific to the firm or possibly its industry. It is reasonable to expect that there will be ‘active’ times in the stock when such information arrives and ‘quiet’ times when it does not a ...
B04 Chapter 04 Japanese Candlesticks 1.
... The Japanese candlestick chart is considered to be quite related to the bar chart as it also shows the four main price levels for a given time period. So, what makes them the favorite chart form among most Forex traders? The answer is that candles have a lot of qualities which make it easier to unde ...
... The Japanese candlestick chart is considered to be quite related to the bar chart as it also shows the four main price levels for a given time period. So, what makes them the favorite chart form among most Forex traders? The answer is that candles have a lot of qualities which make it easier to unde ...
IOSR Journal of Economics and Finance (IOSR-JEF)
... develops their impact consistently faster than positive elements and “good news”. The stock market avail longterm capital to the listed firms by pooling funds from different investors and allow them to expand in business and also offers investors alternative investment avenues to put their surplus f ...
... develops their impact consistently faster than positive elements and “good news”. The stock market avail longterm capital to the listed firms by pooling funds from different investors and allow them to expand in business and also offers investors alternative investment avenues to put their surplus f ...
Equity Trading by Institutional Investors: To Cross or Not
... because the price is set independently of order size. There may, however, be an “implicit” price impact if the existence of a large crossing order is known to participants in the primary market. There is also an implicit price impact due to the removal of crossing orders from the primary market, whi ...
... because the price is set independently of order size. There may, however, be an “implicit” price impact if the existence of a large crossing order is known to participants in the primary market. There is also an implicit price impact due to the removal of crossing orders from the primary market, whi ...
How do UK-based foreign exchange dealers think their market
... In addition to the standard arguments such as measurement difficulties and price frictions, traders, who jointly determine exchange rates, in the main do not act so as to restore equilibrium. At this juncture, it may be worthwhile to make one caveat. Our definition of fundamentals pertains to observabl ...
... In addition to the standard arguments such as measurement difficulties and price frictions, traders, who jointly determine exchange rates, in the main do not act so as to restore equilibrium. At this juncture, it may be worthwhile to make one caveat. Our definition of fundamentals pertains to observabl ...
An Overview of Investor Sentiment in Stock Market
... subsequent private market returns. Chang, Hsieh, and Wang (2015) also conclude that individual investors had stronger mis-reaction to information during periods of high investor sentiment in the Taiwan options market. Lastly, Babu and Kumar (2015) document that negative sentiment has a greater beari ...
... subsequent private market returns. Chang, Hsieh, and Wang (2015) also conclude that individual investors had stronger mis-reaction to information during periods of high investor sentiment in the Taiwan options market. Lastly, Babu and Kumar (2015) document that negative sentiment has a greater beari ...
Cash Dividend Announcement Effect: Evidence from Dhaka Stock
... dividend declaration increased as firm size and stock price decreased. Based on the research conducted on a mammoth scale (67,592 cash dividend declaration cases of NYSE stocks across 25 years), the researcher had found evidence of 0.21 percent average excess return over the three-day cash dividend ...
... dividend declaration increased as firm size and stock price decreased. Based on the research conducted on a mammoth scale (67,592 cash dividend declaration cases of NYSE stocks across 25 years), the researcher had found evidence of 0.21 percent average excess return over the three-day cash dividend ...
Multi-market Trading and Liquidity: Evidence from Cross
... As of 2013, there are over 500 non-U.S. firms listed on the New York Stock Exchange (NYSE). When a firm’s shares trade simultaneously on multiple exchanges, however, there may be more than one price for the same stock, i.e. identical financial assets trade at different prices in different markets. F ...
... As of 2013, there are over 500 non-U.S. firms listed on the New York Stock Exchange (NYSE). When a firm’s shares trade simultaneously on multiple exchanges, however, there may be more than one price for the same stock, i.e. identical financial assets trade at different prices in different markets. F ...
Day Effects in Korean Stock Market
... general, derivative trading is more convenient and less expensive than stock trading. For example, if an investor interested in some exposure to the Japanese stock market, the investor can get exposure by buying Nikkei index futures rather than buying individual Nikkei components. With this advantag ...
... general, derivative trading is more convenient and less expensive than stock trading. For example, if an investor interested in some exposure to the Japanese stock market, the investor can get exposure by buying Nikkei index futures rather than buying individual Nikkei components. With this advantag ...
Efficient market hypothesis: is the Croatian stock market as (in
... More recent studies give a different picture, though. Brock et al. (1992) tested various breakout and moving average crossovers systems on the DJIA from 1897 to 1986. They stated the superiority of technical trading systems over the buy and hold strategy. Buy and sell signals consistently generated ...
... More recent studies give a different picture, though. Brock et al. (1992) tested various breakout and moving average crossovers systems on the DJIA from 1897 to 1986. They stated the superiority of technical trading systems over the buy and hold strategy. Buy and sell signals consistently generated ...
Does Gender and Age Affect Investor Performance and the
... (highest, average, first, latest purchasing price) do not produce any differences in results. For every trading day in the sample, for each stock in each investor’s portfolio, I make a comparison of the reference price to the current market price of the stock to see whether the investor incurs reali ...
... (highest, average, first, latest purchasing price) do not produce any differences in results. For every trading day in the sample, for each stock in each investor’s portfolio, I make a comparison of the reference price to the current market price of the stock to see whether the investor incurs reali ...
1 - How useful are implied distributions? Evidence from stock
... the (ex-post) fit of the implied distribution, but also ex-ante by testing how well it forecasts option prices out-of-sample. We find for LIFFE’s FTSE-100 index options over the 1987-97 period that although the model fits the data significantly better than the Black/Scholes model, the out-of-sample ...
... the (ex-post) fit of the implied distribution, but also ex-ante by testing how well it forecasts option prices out-of-sample. We find for LIFFE’s FTSE-100 index options over the 1987-97 period that although the model fits the data significantly better than the Black/Scholes model, the out-of-sample ...
Towards a General Theory of the Stock Market
... (7) Long run ‘mean reversion’ in stock prices may occur. If share prices follow a random walk, which is an implication of the EMH with a constant discount rate, then the level of the stock market will be irrelevant to its subsequent movement. So if share prices are high, this has no implications at ...
... (7) Long run ‘mean reversion’ in stock prices may occur. If share prices follow a random walk, which is an implication of the EMH with a constant discount rate, then the level of the stock market will be irrelevant to its subsequent movement. So if share prices are high, this has no implications at ...
Stock price
... The initial outlay equals: (the present value of $50) + $3 In either scenario, you end up with the same payoff as you would if you bought the stock itself. ...
... The initial outlay equals: (the present value of $50) + $3 In either scenario, you end up with the same payoff as you would if you bought the stock itself. ...