An Intraday Analysis of Liquidity and Price Volatility in the S&P 500 Index Futures Market
Author: George H. K. Wang
Publisher:
Published: 1990
Total Pages: 66
ISBN-13:
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Author: George H. K. Wang
Publisher:
Published: 1990
Total Pages: 66
ISBN-13:
DOWNLOAD EBOOKAuthor: Jeng-Hong Chen
Publisher:
Published: 2014
Total Pages: 14
ISBN-13:
DOWNLOAD EBOOKAfter the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 intraday data. The analyses of intraday data show the following results during the higher volatility period (8/3/2011-12/30/2011): First, the difference of return variances between index futures and spot index is even greater than that during the lower volatility period. Second, the index futures market leads the spot index market and the interaction between both markets becomes stronger. Third, both index futures and spot index exhibit clearer U-shape intraday pattern of return volatilities. Finally, the trading costs, measured by the bid-ask spreads, are significantly larger.
Author: New York Stock Exchange. Market Volatility and Investor Confidence Panel
Publisher:
Published: 1990
Total Pages: 396
ISBN-13:
DOWNLOAD EBOOKAuthor: Yin-Wong Cheung
Publisher:
Published: 1990
Total Pages: 46
ISBN-13:
DOWNLOAD EBOOKAuthor: Torben G. Andersen
Publisher:
Published: 2018
Total Pages: 50
ISBN-13:
DOWNLOAD EBOOKWe document a transaction level invariance relation among concurrent activity variables in the S&P 500 futures market: return volatility per transaction is proportional to the inverse of the squared expected trade size. It captures the time series behavior extremely well. Even more strikingly, it also provides a good fit to the intraday activity patterns. No prior study quantifies this association across the daily trading cycle or predicts the time series and intraday interactions to line up in a consistent manner. The findings pose a challenge for theories seeking to rationalize the trading process on the world's primary equity-index futures market.
Author: Deniz Ozenbas
Publisher: Springer Nature
Published: 2022
Total Pages: 111
ISBN-13: 3030748170
DOWNLOAD EBOOKThis open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author: Lawrence Harris
Publisher:
Published: 1989
Total Pages: 50
ISBN-13:
DOWNLOAD EBOOKAuthor: Yakov Amihud
Publisher: Now Publishers Inc
Published: 2006
Total Pages: 109
ISBN-13: 1933019123
DOWNLOAD EBOOKLiquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author: Stephen Satchell
Publisher: Springer
Published: 2016-05-18
Total Pages: 416
ISBN-13: 1137554177
DOWNLOAD EBOOKOver 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.