Download or read book S P 500 Cash Stock Price Volatilities written by Lawrence Harris and published by . This book was released on 1989 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Can Standard Preferences Explain the Prices of Out of the Money S P 500 Put Options written by Luca Benzoni and published by . This book was released on 2005 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior to the stock market crash of 1987, Black-Scholes implied volatilities of S & P 500 index options were relatively constant across moneyness. Since the crash, however, deep out-of-the-money S & P 500 put options have become 'expensive' relative to the Black-Scholes benchmark. Many researchers (e.g., Liu, Pan and Wang (2005)) have argued that such prices cannot be justified in a general equilibrium setting if the representative agent has 'standard preferences' and the endowment is an i.i.d. process. Below, however, we use the insight of Bansal and Yaron (2004) to demonstrate that the 'volatility smirk' can be rationalized if the agent is endowed with Epstein-Zin preferences and if the aggregate dividend and consumption processes are driven by a persistent stochastic growth variable that can jump. We identify a realistic calibration of the model that simultaneously matches the empirical properties of dividends, the equity premium, the prices of both at-the-money and deep out-of-the-money puts, and the level of the risk-free rate. A more challenging question (that to our knowledge has not been previously investigated) is whether one can explain within a standard preference framework the stark regime change in the volatility smirk that has maintained since the 1987 market crash. To this end, we extend the model to a Bayesian setting in which the agent updates her beliefs about the average jump size in the event of a jump. Note that such beliefs only update at crash dates, and hence can explain why the volatility smirk has not diminished over the last eighteen years. We find that the model can capture the shape of the implied volatility curve both pre- and post-crash while maintaining reasonable estimates for expected returns, price-dividend ratios, and risk-free rates.

Download or read book S P 500 written by and published by . This book was released on 1988 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Causal Relationship between the S P 500 and the VIX Index written by Florian Auinger and published by Springer. This book was released on 2015-02-13 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.

Download or read book The Stock Market Bubbles Volatility and Chaos written by G.P. Dwyer and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.

Download or read book The Dynamics of S P 500 Index and S P 500 Futures Intraday Price Volatilities written by Yin-Wong Cheung and published by . This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Volatility and Investor Confidence written by New York Stock Exchange. Market Volatility and Investor Confidence Panel and published by . This book was released on 1990 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Standard Poor s 500 Guide written by Standard & Poor's and published by McGraw-Hill Companies. This book was released on 2004-12 with total page 1038 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides data and analysis of the companies in the world-famous S&P 500 index, one of the most watched financial indexes in the world. This title provides top investment professionals with information on earnings, dividends, and share prices; stock picks in various categories; and company addresses and numbers, along with names of top officers.

Download or read book Futures Margins and Stock Price Volatility written by Paul H. Kupiec and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Makers versus the General Public written by Gerard L. Gannon and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: What has been undertaken in this research is a careful sampling of CFTC Samp;P500 futures trade records into the 15 minute required reporting intervals for the period January 1994 to June 2004. Accumulated volume of trade open, close, high and low prices are extracted for market trade and also market makers CT1 trading with the general public CT4 for each group selling short to the other. These trading records are matched with similar price records for the Samp;P500 cash index. An identifiable system of Simultaneous Volatility Model equations is artificially nested and tested, via a systems AIC, against a competing identifiable Structural VAR system. Results are reported from the dominant systems of Simultaneous Volatility Model equation estimates with futures trading volume, futures volatility and cash index volatility included as endogenous variables. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples, volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. For the sub-period 1994-1999 for CT1 the leading volume term is significant for every year 1994, 1995, 1996, 1997, 1998 and 1999. For the latter sub-period the leading volume term is significant for 2002, 2003 and 2004. As with the annualized results for CT1, for CT4 estimates of the leading volume term are very significant in the futures volatility equation for all separate years 1994, 1995, 1996, 1997, 1998, 1999 and also 2002, 2003 and 2004. In the cash volatility equation for CT1 the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997 and 1998 but not thereafter. For CT4 records the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2002 and 2004. So although there appears to a deterioration in the aggregated data for the three groups as the analysis moves into 2000 the annual CT1 and CT4 results of volume and volatility lead/lag effects are quite strong. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.

Download or read book An Intraday Analysis of Liquidity and Price Volatility in the S P 500 Index Futures Market written by George H. K. Wang and published by . This book was released on 1990 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Is Volatility Risk Priced in the Securities Market Evidence from S P 500 Index Options written by Yakup Eser Arısoy and published by . This book was released on 2016 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines whether volatility risk is a priced risk factor in securities returns. Zero-beta at-the-money straddle returns of the Samp;P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor, suggesting that straddle returns are important conditioning variables in asset pricing. The conditional model proposed here performs far better than its unconditional counterparts including the Fama-French three-factor model. Thus, we argue that investors use straddle returns when forming their expectations about securities returns. One interesting finding is that, different classes of firms react differently to volatility risk. For example, small firms and value firms have negative and significant volatility coefficients whereas big and growth firms have positive and significant volatility coefficients during high volatility periods, indicating that investors see these latter firms as hedges against volatile states of the economy. Overall, these findings have important implications for portfolio formation, risk management, and hedging strategies.

Download or read book Cash Trading and Index Futures Price Volatility written by Jinliang Li and published by . This book was released on 2013 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the effect of cash market liquidity on the volatility of stock index futures. Two facets of cash market liquidity are considered: (1) the level of liquidity trading proxied by the expected New York Stock Exchange (NYSE) trading volume and (2) the noise composition of trading proxied by the average NYSE trading commission cost. Under the framework of spline - GARCH with a liquidity component, both the quarterly average commission cost and the quarterly expected NYSE volume are negatively associated with the ex ante daily volatility of S&P 500 and NYSE composite index futures. Conversely, liquidity and noise trading in the cash market both dampen futures price volatility, ceteris paribus. This negative association between secular cash trading liquidity and daily futures price volatility is amplified during times of market crisis. These results retain statistical significance and materiality after controlling for bid - ask bounce of futures prices and volume of traded futures contracts. This study establishes empirical evidence to affirm the conventional prediction of a liquidity-volatility relationship: the liquidity effect is secular and persistent across markets.

Download or read book S P 500 Index Futures Volatility and Price Around the NYSE Close written by Eric C. Chang and published by . This book was released on 1992 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stocks in the Short Run written by Bryan Ellickson and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing literature estimates stock-price volatility accumulated over the trading day. We focus on what happens to volatility within the trading day. Using transactions data from 2001 through 2009, we estimate the path of the quadratic variation process in 5-minute increments day by day for the 30 stocks of the DJIA and for an exchange-traded fund (the SPDR) that tracks the S&P 500. Using a Heston (1993) model, we estimate that 80% of the gap between the level of the volatility process and its asymptotic mean is eliminated within 5-minutes. Roughly two-thirds of daily realized volatility can be explained by a deterministic version of the Heston model that begins the trading day far above its equilibrium and converges to a constant. The remaining third reflects stochastic shocks to volatility arriving after trade begins. The asymptotic mean of the SPDR behaves much like the closing value of the VIX, a volatility index based on the S&P 500 stock index. When standardized by our 5-minute volatility estimates, 5-minute log returns are approximately normally distributed.

Download or read book S P 500 Trading Mastery written by Kelly Angle and published by Windsor Books/Probus. This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Career trader Kelly Angle presents an impressive and effective new trading system for individual traders interested in taking on the notoriously unpredictable and often volatile S&P market and succeeding. The central focus of the book is on Kelly's S&P 500 Pro-System...a powerful linked trading system joining five separate strategies. Trains traders to profit in the stock index futures markets.

Download or read book The VIX Index and Volatility Based Global Indexes and Trading Instruments A Guide to Investment and Trading Features written by Matthew T. Moran and published by CFA Institute Research Foundation. This book was released on 2020-04-28 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.