Download or read book Intraday Lead lag Relationships Between the Futures Options and Stock Market written by Frank De Jong and published by . This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical analysis of the Intraday Lead Lag Relationship between option and underlying stock market written by Giacomo Iacovelli and published by . This book was released on 2006 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Intraday Lead Lag Relationship Between Stock Index and Stock Index Futures Markets written by Ersan Ersoy and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
Download or read book Implied Volatility in Option Prices and the Lead Lag Relation between Stock and Option Prices written by Hun Y. Park and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that if a particular lead-lag relation exists between the option and stock markets, the implied volatility in option prices can be biased depending on the level of the true volatility. The higher the true volatility, the more upward (downward) biased the implied volatility will be, if the option market leads (lags) the stock market. We present some empirical results on the intraday implied volatility in option prices as an application or evidence of the theory.
Download or read book The Cross Sectional Relationship between Trading Costs and Lead Lag Effects in Stock Option Markets written by Matthew L. O'Connor and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior empirical research has failed to settle the question of lead/lag effects between stock and option markets. This study investigates the relation between cross-sectional differences in trading costs and intraday lead/lag effects in stock and option markets. The data for the study comprise 19 firms sampled at five-minute intervals over a two-month period. Consistent with a trading cost hypothesis, results indicate overall stock market leading behavior. However, the lead appears to be related to option market trading costs. This study uses an error correction model framework to investigate the lead/lag effects. This approach provides information on both the long run equilibrating process as well as the short term interactions between stock and option markets. Information regarding the long run equilibrating process is important to the overall understanding of lead/lag effects and cannot be determined from time series models of differenced data. Specific criteria for assessing lead/lag effects in cointegrated series are also proposed. One advantage of these new criteria is their ability to identify leading behavior in the presence of feedback. All models are estimated with quote data and are constructed to eliminate overnight effects. Hence, the results are robust to previously identified distortions due to closing, overnight, and potential non-trading effects. However, caution should be employed in generalizing the results as the study covers a two-month trading period for a limited number of firms.
Download or read book The Lead lag Relationship Between the Options and Stock Markets Prior to Earnings Announcements and the Effect of Securities Regulation written by C. Mitchell Conover and published by . This book was released on 1995 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lead Lag Relationship Between Returns and Implied Moments written by Sol Kim and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether a lead-lag relationship exists between the returns and the moments of the implied risk-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis suggests that although there is a bi-directional lead-lag relationship between the returns and the implied moments, the skewness and kurtosis of the implied RND Granger-cause the spot and futures returns more strongly than the returns do. In contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In addition, this study shows that the lead-lag relationship strengthens when the spot market is exceptionally bullish or bearish.
Download or read book The Lead Lag Relation between Spot and Futures Markets Under Different Short Selling Regimes written by Joseph K. W. Fung and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index futures. We also investigate the impact of two market characteristics, market conditions and the magnitude of mispricing on the lead-lag relations under different short-selling regimes. Our findings suggest that if we remove restrictions, the contemporaneous price relation between the futures and cash markets becomes stronger particularly in the falling market and when the cash market is relatively overpriced.
Download or read book How Lead Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics written by Chester Curme and published by . This book was released on 2019 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Properly estimating correlations and understanding how they change under different economic conditions plays a key role in asset pricing models, risk management, and many econometric models. In this paper we introduce a robust framework to identify a meaningful correlation relationship, address different types of correlations and their interplay, and address correlations across different time scales. First, we present a methodological framework to estimate synchronous, lagged, and autocorrelations for stock price return time series, and validate their statistical significance across different time horizons. Second, we explore the interplay between these different co-movement relationships, using a model to uncouple the factors contributing to the intraday pattern of contemporaneous correlations, including volatility, autocorrelations and lagged cross-correlations. Third, we use the methodological framework to investigate correlations between stocks traded on the New York Stock Exchange in the periods 2001-03 and 2011-13, and provide insights on how correlations and their dynamics have changed over time.
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Investor Leverage and Intraday Lead Lag Relations in Stock Markets written by Qing Ye and published by . This book was released on 2020 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a sample of Chinese stocks, we demonstrate that liquidity and price movements in stocks with investor leverage can spill out to other stocks within a day causing the intraday lead-lag relations in stock markets. In addition, we provide evidence suggesting that leverage positions in leveraged stocks contribute to the degree of their leading effects. In particular, margin interest is positively associated with the leading effects in both return and liquidity and short interest is positively associated with the leading effect in return. Finally, we employ the mediation models to gauge the mechanisms through which the lead-lag relation may appear. We find that both the deleverage process of the leveraged traders and the cross-asset learning behavior of the investors are important driving forces for the leading effect of the leveraged stocks. Evidence in this paper helps us to understand how and why liquidity and return commonality across stocks are formed.
Download or read book Intraday Trading Activity and Volatility written by Vivek Rajvanshi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture of-Distribution Hypothesis (MDH), which suggests a positive simultaneous relationship between trading volume and price volatility, and the Sequential Information Arrival Hypothesis (SIAH), which argues that information arrives sequentially in the market and there would be a lead-lag relationship between volatility and volume. Further, in order to test the dispersed belief and asymmetrical information hypothesis, we test the impact of the net effect of trading numbers and order imbalance on volatility. We find that trading numbers explain the volume-volatility relationship better than the order imbalance and mainly drive the return volatility in the Indian commodity futures market. Our results find strong support for the above hypotheses and suggest that the four theories -- MDH, SIAH, dispersed belief, and asymmetrical information hypothesis -- complement each other.
Download or read book A Further Investigation of the Lead Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures written by Sotirios Karagiannis and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an effect on futures market volatility, and vice versa. Nevertheless, the volatility spillover from spot to futures market is slightly stronger than in the reverse direction.
Download or read book Intraday Trading Volume and Return Volatility of the Djia Stocks written by Ali F. Darrat and published by . This book was released on 2003 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.
Download or read book Lead and lag relationships between stocks and options written by Angelo Ranaldo and published by . This book was released on 1999 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lead Lag Relationships between Short Term Options and the French Stock Index CAC 40 written by Alexis Cellier and published by . This book was released on 2004 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the lead lag relationships with three time-deformations (clock time, transaction time and volume time) and four lengths of intervals from five to thirty minutes. According to the options we study, we use the Cox, Ross and Rubinstein (1979) pricing model to take into account the dividends and the American style of the options. For call options, we evidence a lead of the cash market. This lead diminishes when the length of the interval increases. For put options, we observe a contemporaneous relationship. Consequently, we confirm the robustness of these relationships relative to the hypothesis on the information flow. However, as the length increases the relation becomes contemporaneous. Thus, this relation is short term but is strong enough to affect a longer interval. Moreover, we must use several lengths to actually estimate the duration of this relationship.
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
