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Relevant bibliographies by topics / Options (Finance) Futures market Stock index futures

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Academic literature on the topic 'Options (Finance) Futures market Stock index futures'

Author: Grafiati

Published: 4 June 2021

Last updated: 2 February 2022

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Journal articles on the topic "Options (Finance) Futures market Stock index futures"

1

Pericli, Andreas, and Gregory Koutmos. "Index futures and options and stock market volatility." Journal of Futures Markets 17, no. 8 (1997): 957–74. http://dx.doi.org/10.1002/(sici)1096-9934(199712)17:8<957::aid-fut6>3.0.co;2-k.

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Hancock, G. D. "Futures option expirations and volatility in the stock index futures market." Journal of Futures Markets 11, no. 3 (1991): 319–30. http://dx.doi.org/10.1002/fut.3990110306.

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3

Kling, Arnold. "How the Stock Market Can Learn to Live with Index Futures and Options." Financial Analysts Journal 43, no. 5 (1987): 33–39. http://dx.doi.org/10.2469/faj.v43.n5.33.

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Kim, Sol, and Geul Lee. "Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data." Review of Pacific Basin Financial Markets and Policies 20, no. 03 (2017): 1750017. http://dx.doi.org/10.1142/s0219091517500175.

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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 bidirectional 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 a

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Beyer, Scott B., J. Christopher Hughen, and Robert A. Kunkel. "Noise trading and stock market bubbles: what the derivatives market is telling us." Managerial Finance 46, no. 9 (2020): 1165–82. http://dx.doi.org/10.1108/mf-01-2019-0052.

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PurposeThe authors examine the relation between noise trading in equity markets and stochastic volatility by estimating a two-factor jump diffusion model. Their analysis shows that contemporaneous price deviations in the derivatives market are statistically significant in explaining movements in index futures prices and option-market volatility measures.Design/methodology/approachTo understand the impact noise may have in the S&P 500 derivatives market, the authors first measure and evaluate the influence noise exerts on futures prices and then investigate its influence on option volatilit

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REZNIK, Nadiya, and Anton TRYHUBCHENKO. "ECONOMIC INDEX OF STOCK MARKET OVERBOUGHT AND OVERSOLD." Ukrainian Journal of Applied Economics 4, no. 3 (2019): 253–59. http://dx.doi.org/10.36887/2415-8453-2019-3-28.

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Introduction. Our stock market and stock exchange infrastructure are far behind European or US counterparts. Borrowing from them the experience of creating and using the developments in the domestic market will allow to develop the economy. Foreign indicators, research and sources, most of which are in the open, can give impetus to young and prospective scientists to improve the economic system in general and the development of the stock market in particular. The imperfection of the domestic legislation and the lack of transparency in the economic system do not allow to develop the stock marke

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Wang, Jinzhong, Hao Kang, Fei Xia, and Guowei Li. "Examining the Equilibrium Relationship Between the Shanghai 50 Stock Index Futures and the Shanghai 50 ETF Options Markets." Emerging Markets Finance and Trade 54, no. 11 (2018): 2557–76. http://dx.doi.org/10.1080/1540496x.2018.1483824.

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Zhang, Jun. "Dynamic Index Optimal Investment Strategy Based on Stochastic Differential Equations in Financial Market Options." Wireless Communications and Mobile Computing 2021 (March 19, 2021): 1–9. http://dx.doi.org/10.1155/2021/5545956.

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With the gradual development and improvement of the financial market, financial derivatives such as futures and options have also become the objects of competition in the financial market. Therefore, how to make the most favorable and optimized investment and consumption when options are included? It has become a problem facing investors. Aiming at the optimal investment problem of investors, this paper studies the calculation of an optimal investment strategy in stochastic differential equations in financial market options on the basis of fuzzy theory. Now, stochastic calculus has become an i

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9

Mo, Di, Neda Todorova, and Rakesh Gupta. "Implied volatility smirk and future stock returns: evidence from the German market." Managerial Finance 41, no. 12 (2015): 1357–79. http://dx.doi.org/10.1108/mf-04-2015-0097.

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Purpose – The purpose of this paper is to investigate the relationship between option’s implied volatility smirk (IVS) and excess returns in the Germany’s leading stock index Deutscher-Aktien Index (DAX) 30. Design/methodology/approach – The study defines the IVS as the difference in implied volatility derived from out-of-the-money put options and at-the-money call options. This study employs the ordinary least square regression with Newey-West correction to analyse the relationship between IVS and excess DAX 30 index returns in Germany. Findings – The authors find that the German market adjus

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Fan, Xuejun, and De Du. "The spillover effect between CSI 500 index futures market and the spot market." China Finance Review International 7, no. 2 (2017): 249–72. http://dx.doi.org/10.1108/cfri-08-2016-0103.

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Purpose Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to explore whether Chinese stock index futures should be responsible for the 2015 stock market crash. Design/methodology/approach Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market. Findings The results showed the following: the CSI 500 stock index futures ma

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Dissertations / Theses on the topic "Options (Finance) Futures market Stock index futures"

1

Cheung, Yuk-lung Alan. "The Hang Seng Index options market in Hong Kong /." [Hong Kong] : University of Hong Kong, 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787093.

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Cheung, Yuk-lung Alan, and 張玉龍. "The Hang Seng Index options market in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31265996.

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Lin, Cheng-I. Eric Kensinger John W. "Changes in trading volume and return volatility associated with S&P 500 Index additions and deletions." [Denton, Tex.] : University of North Texas, 2007. http://digital.library.unt.edu/permalink/meta-dc-5149.

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Shi, Qi. "A study of the implied volatility function evidence from Hang Seng Index options market in Hong Kong /." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B31601984.

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Lin, Cheng-I. Eric. "Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions." Thesis, University of North Texas, 2007. https://digital.library.unt.edu/ark:/67531/metadc5149/.

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When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the index portfolio and take short (long) positions in the corresponding index derivative contracts until pr

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Shi, Qi, and 施琦. "A study of the implied volatility function: evidence from Hang Seng Index options market in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31601984.

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Chan, Ka Ming Camay. "The profitability of index futures spread arbitrage strategies with bid and ask index quotes." HKBU Institutional Repository, 2001. http://repository.hkbu.edu.hk/etd_ra/337.

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Cheng, Hon Kit Kevin. "A study of the impact of migration to electronic trading on the competitiveness and relative pricing efficiency of index futures and options markets." HKBU Institutional Repository, 2004. http://repository.hkbu.edu.hk/etd_ra/519.

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Er, Hakan. "Cross market arbitrage and option pricing with long memory in volatility : theory and evidence from LIFFE FTSE-100 index futures and options." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.391536.

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Xu, Li. "Two Essays in Finance: Analyzing the Value of Cash to U.S. and Non-U.S. Firms and Institutional Trading in Stock Index Futures." ScholarWorks@UNO, 2014. http://scholarworks.uno.edu/td/1840.

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In the first chapter, we analyze the role of market development, risk premium, and transparency as factors influencing the value of cash in firms listed as American Depository Receipts. Based on the method by Pinkowitz and Williamson (2002), our primary results are as follows. The market value of cash is greater on average for ADR firms than for U.S. firms, and within the ADR sample the value of cash is greater for firms based in less developed countries after 2007 financial crisis but not before. Together, the results suggest that the market development is especially important during more vol

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Books on the topic "Options (Finance) Futures market Stock index futures"

1

Luskin, Donald L. Index options & futures: The complete guide. Wiley, 1987.

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Stock index options and futures. McGraw-Hill, 1992.

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Mesler, Donald T. Stock index options: How to use and profit from indexed options in volatile & uncertainmarkets. McGraw-Hill, 1992.

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4

Trade, Chicago Board of. CBOT DJIA futures and futures options: Compendium of institutional strategy updates. Chicago Board of Trade, 1999.

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5

Option strategies: Profit-making techniques for stock, stock index, and commodity options. 3rd ed. Wiley, 2008.

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Option strategies: Profit-making techniques for stock, stock index, and commodity options. 2nd ed. Wiley, 1996.

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Option strategies: Profit-making techniques for stock, stock index, and commodity options. Wiley, 1987.

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8

Stock index options: Powerful new tools for investing, hedging, and speculating. Probus, 1985.

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9

Schwager, Jack D. Stock Market Wizards. HarperCollins, 2007.

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10

Trading index options. McGraw-Hill, 1998.

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Book chapters on the topic "Options (Finance) Futures market Stock index futures"

1

Hassan, Abul, and Sabur Mollah. "Financial Futures, Stock Options and Warrants in the Islamic Capital Market." In Islamic Finance. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-91295-0_11.

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Markose, Sheri, Edward Tsang, and Hakan Er. "Evolutionary Decision Trees for Stock Index Options and Futures Arbitrage." In Genetic Algorithms and Genetic Programming in Computational Finance. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4615-0835-9_14.

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Vila, Anne Fremault, and Obiyathulla Bacha. "Lead–lag relationships in a multi-market context: the Nikkei stock index futures markets." In New directions in finance. Routledge, 2018. http://dx.doi.org/10.4324/9781315003955-17.

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