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Algirdas Justinas Staugaitis and Bernardas Vaznonis
Motivated by increased agricultural commodity price volatility and surges during the past decade, we investigated whether financial speculation is to blame. The aim of this paper is to build on prior research about to what extent and in which ways financ...
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Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other?s subsequent volatilit...
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Oscar Carchano,Julio Lucia,Ángel Pardo
Pág. 397 - 407
In this paper, we study the relationship between trading-related variables and volatility in futures markets, from a new unifying perspective, which is based on the separation of open and closed positions. Volatility in stock index futures markets (Stand...
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Ayben Koy,Ihsan Ersan
Pág. 13 - 25
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Josué M. Polanco-Martínez and Luis M. Abadie
The West Texas Intermediate (WTI) spot price shows high volatility and in 2014 and 2015 when quoted prices declined sharply, long-term prices in future markets were less volatile. These prices are different and diverge depending on how they process funda...
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C. F. Smit,E. V.D.M. Smit
AbstractInternational and local research in share markets offered evidence of a holiday effect. Pre-holiday mean returns are significantly higher than on other trading days. The holiday effect cannot be separated from the weekend effect, as holidays whic...
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C. F. Smit,E. V.D.M. Smit
AbstractInternational and local research in share markets offered evidence of a holiday effect. Pre-holiday mean returns are significantly higher than on other trading days. The holiday effect cannot be separated from the weekend effect, as holidays whic...
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Saâd Benbachir,Sihame Lembarki
Pág. 103 - 114
The drop in the price of crude oil in 2014 left no one indifferent, and motivated several researchers to analyse the nature of the relationship between the physical and the financial market of this commodity. This article discusses the issue of Spot and ...
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Zixiu Yang and Dean Fantazzini
This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscil...
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Daniel Souleles
Pág. Finance an - 29
This article presents a close, dialogue-based ethnographic account of a group of contemporary options market makers making a decision about pricing options in Tesla, Inc. Careful attention to their deliberations reveals how the rise of algorithms and aut...
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Conor Husbands
Pág. Finance an - 29
Recent years have seen greater interest in the theoretical foundations of abstract finance and their intersection with questions of philosophy and sociology. In particular, exchanges between authors such as Donald MacKenzie, Timothy Johnson, Elie Ayache,...
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Derick D. Quintino, Sergio A. David and Carlos E. de F. Vian
In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method p...
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Pankaj Pandey and Einar Snekkenes
For many individuals and organizations, cyber-insurance is the most practical and only way of handling a major financial impact of an information security event. However, the cyber-insurance market suffers from the problem of information asymmetry, lack ...
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Hülya Yilmaz,Bülent Ilhan
Pág. 26 - 38
This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to Marc...
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Ramesh Adhikari, Kyle J. Putnam and Humnath Panta
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Ca...
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Caio Almeida,Elaine Fang
Pág. 1 - 37
This paper investigates hedge funds? exposures to various risk factors across different investment strategies through models with both linear and second-order factors. We extend the analysis from an augmented linear model based on Fama & French ...
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Wen-Chung Hsu and Hsiang-Tai Lee
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A...
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Adam Zaremba
Pág. 18 - 36
The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments ...
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Oscar Carchano,Vicente Medina,Angel Pardo
Pág. 669 - 676
ABSTRACT: This study discusses how to roll over European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to elucidate whether or not the choice of rollover date is important when co...
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