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Advanced Search Results For "STOCK index futures"

1 - 10 of 19,560 results for
 "STOCK index futures"
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Identifying the Effect of Stock Indexing: Impetus or Impediment to Arbitrage and Price Discovery?

Publication Type: Academic Journal

Source(s): Journal of Financial & Quantitative Analysis. Aug2022, Vol. 57 Issue 5, p2022-2062. 41p.

Abstract: The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery. This article uses Russell's reconstitution to identify the causal effect of index investing on information arbitrage and price discovery...

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Analyst rating matters for index futures.

Publication Type: Academic Journal

Source(s): Journal of Futures Markets. Nov2022, Vol. 42 Issue 11, p2084-2100. 17p.

Abstract: Analyst recommendations convey valuable market‐wide information which implies analyst rating should generate reliable predictability for future market returns. This paper examines the predictive regressions which forecast the S&P 500 index futures retu...

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Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets.

Publication Type: Academic Journal

Source(s): Journal of Futures Markets. Dec2022, Vol. 42 Issue 12, p2235-2247. 13p.

Abstract: In this paper, we analyze the role that trades and quotes play in price discovery. Based on tick‐level data for CSI 300 stock index futures, we find that the contribution of quotes to price discovery does not differ from trades at low resolutions, but ...

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Algorithmic trading and market quality: Evidence from the Taiwan index futures market.

Publication Type: Academic Journal

Source(s): Journal of Futures Markets. Oct2022, Vol. 42 Issue 10, p1837-1855. 19p.

Abstract: This study examines the effects of different algorithmic traders on market quality and the price discovery process, considering the impact of different trading strategies and market conditions. Algorithmic foreign institutions and proprietary firms act...

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Irregularities in forward-looking volatility.

Publication Type: Academic Journal

Source(s): Quarterly Review of Economics & Finance. Nov2022, Vol. 86, p489-501. 13p.

Abstract: We investigate the behavior of 30-day forward-looking volatility derived from options on market indices, commodities and individual active stocks using a wide range of seasonal and calendar anomalies documented empirically in the finance literature. Ou...

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Leaders in Trading 2022: Meet the nominees for…. Outstanding Derivatives Exchange Group.

Publication Type: Periodical

Source(s): Ai Trade News. 10/26/2022, p1-4. 4p. 1 Color Photograph.

Authors:

Abstract: ICE Intercontinental Exchange (ICE), which describes itself as the home of the UK derivatives market, has FTSE derivatives and the MSCI derivatives as its two largest product suites - of which it boasts over 95% and 73% market share, respectively. Euro...

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Financially constrained index futures arbitrage.

Publication Type: Academic Journal

Source(s): Journal of Futures Markets. Sep2022, Vol. 42 Issue 9, p1688-1703. 16p.

Abstract: We develop two models for index futures arbitrage that take the financing constraints faced by real‐world arbitrageurs into account. Our models predict that the price of an index futures contract and the value of its underlying index should deviate fur...

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Do VIX futures contribute to the valuation of VIX options?

Publication Type: Academic Journal

Source(s): Journal of Futures Markets. Sep2022, Vol. 42 Issue 9, p1644-1664. 21p.

Abstract: As the volatility index (VIX) is nontradable, most investors use the exchange‐traded VIX futures to hedge their exposures in VIX options. However, the information role of VIX futures in pricing VIX options is not fully explored empirically. This paper ...

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Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX.

Publication Type: Academic Journal

Source(s): Journal of Futures Markets. Aug2022, Vol. 42 Issue 8, p1518-1548. 31p.

Abstract: This paper proposes to study volatility index (VIX) futures pricing by directly modeling the logarithmic VIX while incorporating observable dynamic jumps of the VIX, which are derived based on VIX high‐frequency data. The impacts of several different i...

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Estimation of VIX futures through Gaussian factor models.

Publication Type: Academic Journal

Source(s): Revista Brasileira de Finanças. Sep2022, Vol. 20 Issue 3, p31-49. 19p.

Abstract: In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou (2019). Two strategies were adopted. First, we considered constant market price of risk. Second, we included time-varying market price ...

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