EURASIAN JOURNAL OF ECONOMICS AND FINANCE
|
|
- Aldous Bishop
- 5 years ago
- Views:
Transcription
1 Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 DOI: /ejef EURASIAN JOURNAL OF ECONOMICS AND FINANCE hp:// TRADING ACTIVITY AND PRICES IN ENERGY FUTURES MARKET Aysegul Aes Akdeniz Universiy, Turkey. Absrac This paper aims o examine rading aciviy and he relaionship beween fuures rading aciviy by rader ype and energy price movemens in hree energy fuures markes naural gas, crude oil and heaing oil. We find ha he level of ne posiions of speculaors are posiively relaed o fuure reurns and in conras ne posiions of hedgers are negaively relaed o fuures price changes in all hree markes. The changes in ne posiions are relaively more informaive compare o he level of ne posiions in predicing price changes in relaed markes. Keywords: Energy Fuures, Speculaion, Hedging Pressure, Trading Aciviy 1. Inroducion Sharp price movemens of energy prices in he mid-2s led o concerns by policy makers and regulaors. The rading of energy derivaives conracs have begun o grow rapidly over he pas decade compare o cash markes (Domanski and Heah, 27). The coincidence of increased derivaives rading wih increasing energy prices has driven sudies which examine wheher price effecs have been augmened by his developmen in energy markes. Some sudies such as Tang and Xiong (21) argued ha increasing paricipaion of financial invesors in he fuures marke rading (i.e., invesmens in commodiy indices) were he large par of he commodiy price movemens and commodiy fuures prices are driven by speculaive pressures. 1,2,3 On he oher hand hedging pressure heory (Keynes, 193) saes ha hedgers who are ypically ne shor on he fuures markes offer a risk premium o arac speculaors o ake a long posiion and provide liquidiy o hedgers and his migh resul in changed price levels. 4 In sum, boh hedging and speculaive pressures assume ha changes in fuures prices are affeced by changes in hedgers' and speculaors' open ineres posiions. In his paper by employing CFTC s Commimen of Trader (COT) repor, we will examine he relaion beween fuures rading aciviy by rader ype and price changes for seleced energy markes and ry o answer wheher fuures rading aciviies convey valuable 1 Faouh e al. (212) provides an exensive survey of he role of he speculaion in oil markes. 2 For example, energy commodiies accouned for abou one-hird of 215 arge weighs in Bloomberg Commodiy Index wih crude oil comprising 15%. 3 Please noe ha here are oher sudies such as Krugman (28), Kilian (29) and Wuhisaian (214) ec. ha sugges price movemens are originaed from fundamenals raher han excessive speculaion. 4 Various sudies have documened he effec of hedging pressure on prices such as Bessembinder (1992) and De Roon e al. (2).
2 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 informaion on poenial price movemens on energy markes. CFTC s COT repor publishes informaion on he posiions held by reporing raders. COT repor disaggregaes open ineres ino posiions held by reporing and non-reporing raders and former caegory furher disaggregaed as commercials and non-commercials. Tradiionally commercial caegory is viewed as commercial hedgers and non-commercial caegory as speculaors. 5 We use ne posiions of raders as a proxy for rading aciviy. Examinaion of rading aciviy (i.e. boh speculaion and hedging aciviy) could help us o deermine wheher here is an excessive speculaion in he US energy fuures and he price impac of fuures rading aciviy. Undersanding he facors behind hese price movemens in energy markes will be useful for policy makers and regulaors as well as he raders of hese markes. This paper examines he price impac of fuures rading aciviy (boh speculaion and hedging) on energy prices. The remainder of his aricle is organized as follows. Secion 2 explains he mehodology employed in he paper. Secion 3 explains he daa and presens preliminary analysis of he daa. Our resuls are presened in Secion 4 and Secion 5 concludes he paper. 2. Mehodology Firsly we will invesigae how raders' curren posiions and he changes in raders' ne posiion impac he fuures price movemens. In order o do so, following regressions would be esimaed p NP, (1) k j and p NP, (2) k j where p 1 p p k k is k period ahead log price changes, k=,1,4,8,12. For k= p p p is he curren change in he log prices. NP is he level of ne posiions (speculaors or hedgers) and is he change (in level) over previous j NP, j NP NP, j period's ne posiion. In his framework he ne of raders' long posiions versus heir oal shor posiions is inerpreed as a measure of heir rading aciviy (i.e., speculaive or hedging aciviies) in he fuures markes. The ne posiions held by hedgers indicaed hedging demand. We also calculae hedging pressure 6 in he markes using following formula in order o deermine he exen of hedging pressure in energy markes: Hedging pressure= Shor commercial posiions-long commercial posiions/toal commercial posiions (3) Secondly we will calculae Working's T index which measures he adequacy of speculaive posiions needed o balance he hedging posiions held by commercial raders. The T index has a minimum value of 1 when speculaion level is equal o he hedging need. According o Working (196), he speculaion aciviy which exceeds hedging needs is considerae as excessive and excessive speculaion could cause price volailiy in relaed markes. Working's speculaive T index is calculaed as follows: 5 We mus noe ha by 29 CFTC launched a more deailed repor of raders called as Disaggregaed Commimens of Traders (DCOT) which adds four new caegories of large raders (Producer/merchan/processor/user, swap dealers, managed money, oher reporables). One drawback of his daa se is ha i was no available during he surge of commodiy fuures rading and emergency of new financial paricipans during he mid 2s. 6 There are sudies which examine he impac of hedging pressure on he marke prices. See Bessembinder (1992), Tien (22), and DeRoon e al. (2) ec. 2
3 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 T =1+SS/(HL+ HS) if HS HL (4) or T = 1+SL/(HL + HS) if HL HS (5) where open ineres held by speculaors (non commercials) and hedgers (commercials) is denoed as follows: SS is speculaion shor, SL is speculaion long, HS is hedging shor and HL is hedging long. 3. Daa and Preliminary Analysis Daa relaed o naural gas, crude oil and heaing oil fuures markes are obained from U.S. Commodiy Fuures Trading Commission (CFTC). The nearby fuures conracs are employed in his sudy. Selemen prices and open ineres for all conracs are from CFTC daabase. Conracs used are crude oil (CL), naural gas (NG), heaing oil (HO) for he period Ocober 6h 1992 o December 13h 211. Hisorical daa on he fuures rader posiions, used in our analysis are exraced from he Commimens of Traders (COT) repors. The fuures marke open ineres posiions of marke paricipans are colleced every Tuesday and his rader posiion informaion released weekly o he public on following Friday since Ocober The repors conains informaion on he long and shor posiions of he hree caegories (Reporable (Commercials, Non-Commercials) and Non-Reporable) as well as open ineres across all mauriies of fuures conracs. In each marke, he CFTC defines large raders. If a rader s posiion exceeds he reporing hreshold hen he/she is classified as large rader. Reporing levels are adjused periodically by CFTC. Aggregae posiions in Large Trader Reporing accoun for 7 or 9 percen of open ineres in any given marke. 7 The legacy COT repor separaes reporable raders only ino commercial and non-commercial caegories. A rader is classified as a commercial rader if rader uses derivaives for hedging agains commodiy price risks in heir businesses. If a rader akes fuures posiions for reasons oher han hedging, he rader is regarded as noncommercial. Following he lieraure we inerpre he commercial raders as commercial hedgers (who were involved handling he physical commodiy) and noncommercial raders as speculaors. Figure 1 presens nearby fuures prices for he daa period. Descripive saisics and ADF Augmened Dickey Fuller (ADF) ess for he fuures price changes and he ne posiions held by speculaors and hedgers (i.e., rading aciviies) for naural gas, crude oil and heaing oil fuures markes by rader ype are repored in Table 1. ADF es resuls sugges prices I(1) and ne posiions end o be saionary (i.e., I()) wih he excepion of naural gas markes. The means of hedgers' ne posiions found o be negaive for crude oil and heaing oil marke and posiive for naural gas markes. Tha means on average hedgers are ne shor on crude oil and heaing oil markes and hey are ne long on naural gas markes. Ineresingly, ne open posiions of speculaors are larger han he ne open posiions of hedgers in naural gas marke on average. On he oher hand, ne open posiions of hedgers and speculaors are roughly same in crude oil marke. However, large sandard deviaions in naural gas and crude oil markes indicae ha subsanial variaions in ne posiions. The average weekly price changes are posiive for all hree markes. This suggess susained period of upward movemen in seleced energy fuures markes. 7 Classificaion of commercials ino hedgers, non-commercials ino speculaors and non-reporables ino small raders is done by CFTC. Trader designaions may be inaccurae. Furhermore, his classificaion migh be misleading wih he growh of commodiy index invesing 3
4 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 Naural gas fuures nearby conrac prices Crude oil nearby fuures price Heaing oil nearby fuures Figure 1. Nearby fuures prices 4
5 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 Table 1. Summary saisics Naural gas Crude oil Heaing oil Ne Posiions Hedger Mean of NP Median of NP S. dev of NP ADF Tes of NP Mean of NP * *.1 Mean of NP Ne Posiions Speculaor Mean of NP Median of NP S. dev of NP ADF Tes of NP Mean of NP * * -.4 Mean of NP Price Mean Median S. dev ADF Tes * * * Noes: Ne posiions (NPs) are measured in uni of 1, conracs. * denoes significance level a 1%. 4. Empirical Resuls Figure 2 presens hedging posiions in 1 conracs. On average hedgers ake ne shor posiions and speculaors ake ne long posiions for all markes wih he excepion of naural gas marke. No surprisingly hedgers and speculaors ake opposie posiions. Hedgers hold he larges ne shor posiions in crude oil marke and posiions of speculaors and hedgers roughly offse each oher in crude oil marke. Our resuls for naural gas fuures markes are in conras wih Sanders e al. (24) who find for energy markes commercials are ne shor and non commercials are ne long, deparure from heir resuls sem from he use of he exended and more recen daa se which includes he subsanial increase in rading aciviy in commodiy fuures conracs whereas Sanders' daa se ends in December 28, This resul may also indicae ha here was a srucural change in naural gas rading afer he mid 2s. Figure 3 presens hedging pressure resuls. 8 Hedging pressure values presens mixed paerns wih some posiive some negaive values indicaing a range of differen hedging behavior across markes and ime. In naural gas marke here is noiceable increase in percen of long posiions afer 25. The resuls of Working Index is presened on Figure 4. As i can be seen from Figure 4 here is a noiceable upward in he index for boh crude oil and naural gas fuures markes saring from he beginning of Hedging pressure= Shor commercial posiions - Long commercial posiions / Toal commercial posiions. 5
6 5/22/1 5/14/2 4/29/3 3/29/5 3/14/6 2/27/7 1/27/9 1/12/1 12/28/1 5/22/1 5/14/2 4/29/3 3/29/5 3/14/6 2/27/7 1/27/9 1/12/1 12/28/1 5/22/1 5/14/2 4/29/3 3/29/5 3/14/6 2/27/7 1/27/9 1/12/1 12/28/1 5/22/1 5/14/2 4/29/3 3/29/5 3/14/6 2/27/7 1/27/9 1/12/1 12/28/1 5/22/1 5/14/2 4/29/3 3/29/5 3/14/6 2/27/7 1/27/9 1/12/1 12/28/1 5/22/1 5/14/2 4/29/3 3/29/5 3/14/6 2/27/7 1/27/9 1/12/1 12/28/1 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, Naural gas Hedging Ne Posiions (in 1 conracs) 1 Crude Oil Hedging ne posiions (in 1 conracs) Naural gas Speculaive Ne Posiions (in 1 conracs) Crude Oil Speculaive ne posiions (in 1 conracs) Heaing Oil Hedging Posiions (in 1 conracs) Heaing Oil Speculaive Posiions (in 1 conracs) Figure 2. Ne posiions 6
7 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 Naural gas Hedging Pressure=ShorCommercial-LongCommercials/Toal Commercials Crude Oil Hedging Pressure=ShorCommercial-LongCommercials/Toal Commercials Heaing Oil Hedging Pressure=ShorCommercial-LongCommercials/Toal Commercials Figure 3. Hedging pressure 7
8 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, Naural Gas Workings T index Crude oil Workings T Index Heaing Oil Workings T index Figure 4. Working s T index Lasly we examine he effecs of ne posiions and changes in ne posiions on energy fuures price changes, he resuls are given Tables 2 and 3 respecively. 8
9 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 Table 2. Ne posiions and energy price regressions Naural gas Crude oil Heaing oil Hedger Speculaor Hedger Speculaor Hedger Speculaor k= β.19 (.7947) -.13* ( ).38 (1.4193).* (2.7152) -.16 (-.935) -.11* (-4.268) -.2 ( ).13* (4.222) -.12* ( ) -.61* (-4.349) -.39 ( ).71* (3.5953) k=1 β.19 (.827) -.13* ( ).39 (1.4828).* (2.8589).7 (.4165) -.2 (-1.51).6 (.3187).3 (.9665).5 (.1238) -.6 (-.3555).11 (.3655).6 (.2834) k=4 β.52 (1.113) -.32* ( ).17 (2.63).* (3.8116).44 (1.3331) -.6 ( ).48 (1.428).4 (.7991).61 (1.1312) -. (-.163).53 (1.2765).112 (.4232) k=8 β.75 (1.1332) -.4* (-3.714).153 (2.83).* (3.5595).96* (2.683) -.9 ( ).12* (2.123).7 (.91).92 (1.346) -.19 (-.7226).95** (1.847).46 (1.349) k=12 β.12 (1.2912) -.46* ( ).21 (2.353).* (3.9562).136* (2.3257) -.16* ( ).145* (2.3963).13 (1.2822).127 (1.5574) -.36 (-1.166).139* (2.2195).74** (1.7755) Noes: p +k=+βnp +ε. -saisics are given in parenhesis. *, ** and *** represen 1%, 5% and 1% significance level respecively. The conemporaneous relaionship presened in firs row is significan for all markes for Ne Posiion regression presened a Table 2. This indicaes ha ne posiions and prices move ogeher. The esimaed slope coefficiens are uniformly negaive for hedgers and posiive for speculaors hroughou all conracs. However, he evidence sugges ha predicive power he ne posiions is fairly weak for all markes excep naural gas fuures marke. 9 For crude oil marke only hedgers' ne posiions are predicor of changes in prices over he 12 week horizon and for heaing oil marke only speculaors' ne posiion are significan over he 12 week horizon. In sum, he speculaors' and hedgers' ne posiions mosly do no have predicive power over he relevan horizons for he examined conracs. In general he esimaed inerceps for fuure price changes are insignifican. Table 3 presens regression resuls peraining o he relaionship beween changes in ne posiions and energy price movemens. We examine he effec of curren weekly changes of ne posiions on fuures price changes. The changes in ne posiions are relaively more informaive compare o he level of ne posiions. Specifically curren changes in ne posiion can forecas fuures price changes up o 12 weeks ahead for naural gas marke and up o 4 weeks in crude oil markes. For heaing oil marke he coefficien of changes in ne posiions are significan up o 1 week ahead. I is also ineresing o noe ha changes in hedgers' ne posiions end o negaively covary wih fuures price changes. This negaive co-variaion sugges ha hedgers hold more long conracs on he fuures marke before he fuures prices move downward. 9 However, he resuls relaed o naural gas markes should be inerpreed wih cauion since ne posiion daa are no saionary. 9
10 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 Table 3. Change of ne posiions and energy price regressions Naural gas Crude oil Heaing oil Hedger Speculaor Hedger Speculaor Hedger Speculaor k= β.4 (.1683).13 (.4877).3 (.1495) -.38 ( ).13 (.8581) -.122* ( ).13 (.864).141* (13.434).15 (.6331) * ( ).15 (.6265).6461* ( ) k=1 β.5 (.2282) -.76* ( ).5 (.2351).79* (2.529).15 (.93) -.25* (-2.53).15 (.98).32* (2.7789).15 (.25) -.814** (-2.484).15 (.5925).72 (1.3715) k=4 β.25 (.557) -.533* (-.5687).27 (.616).586* (1.36).59** (1.9761) -.35** ( ).59** (1.9736).41** (1.8843).61* (1.7281) -.57 (-1.379).61** (1.7286).383 (.5253) k=8 β.42 (.6596) -.559* ( ).44 (.6946).635* (7.5232).122* (2.845) -.19 (-.7424).122* (2.8453).16 (.539).129* (2.8485).14 (.251).129* (2.8489) -.43 (-.4611) k=12 β.66 (.8639) -.585* ( ).69 (.961).662* (6.5314).181* (3.3424). (.213).18* (3.3391).9 (.2475).196* (3.62) -.36 (-.4224).196* (3.62).28 (.2493) Noes: p +k=+β NP +ε. -saisics are given in parenhesis. *, ** and *** represen 1%, 5% and 1% significance level respecively. 6. Conclusion We presen an empirical analysis in his paper by invesigaing he relaionship beween fuures rading aciviy and changes in energy fuures prices in seleced energy markes. In conclusion his paper provides evidence ha he level of ne posiions mainly is no helpful explaining price changes in examined markes wih he excepion of conemporaneous esimaions. Our resuls sugges ha change in he ne posiions raher han he level of ne posiions has an impac on fuures price movemens. Thus he policy argumen aimed a limiing speculaive posiions in energy markes are no suppored by empirical evidence. References Bessembinder, H., Sysemaic risk, hedging pressure and risk premiums in fuures markes. Review of Financial Sudies, 5, pp hp://dx.doi.org/1.193/rfs/ DeRoon, F., Nijman, T., and Veld, C. 2. Hedging pressure effecs in fuures markes. Journal of Finance, 55, pp hp://dx.doi.org/1.1111/ Domanski, D. and Heah, A., 27. Financial invesors and commodiy markes. Bank for Inernaional Selemens Quarerly Review, March(27), pp Faouh, B., Kilian, L., and Mahadeva, L., 212. The role of speculaion on oil markes: Wha we have learned so far?. CEPR Discussion Paper. London: Cenre for Economic Policy Research. 1
11 Aysegul Aes / Eurasian Journal of Economics and Finance, 4(2), 216, 1-11 Keynes, J., 193. Treaise on money. London: Macmillian. Kilian, L., 29. No all oil price shocks are alike: Disenangling demand and supply shocks in he crude oil marke. American Economic Review, 99, pp hp://dx.doi.org/1.1257/aer Krugman, P., 28. More on oil and speculaion. The New York Times, [blog] 13 May. Available a:<hp://krugman.blogs.nyimes.com/28/5/13/more-on-oil-and-speculaion/> [Accessed 17 April 214]. Sanders, D.R., Boris, K., and Manfredo, M., 24. Hedge funds and small speculaors in he energy fuures markes: An analysis of he CFTC's commimens of raders repor. Energy Economics, 26, pp hp://dx.doi.org/1.116/j.eneco Tang, K. and Xiong, W., 212. Index invesing and he financializaion of commodiies. Financial Analyss Journal, 68(6), pp hp://dx.doi.org/1.2469/faj.v68.n6.5 Tien, D., 22. Hedging demand and foreign exchange risk premia. Working Paper, Hass School of Business, UC Berkeley. Working, H., 196. Speculaion on hedging markes. Food Research Insiue Sudies,1(2), pp Wuhisaian, R., 214. Governmen resource subsidy and is spillover effecs: Evidence from he excessive oil consumpion in China. Eurasian Journal of Economics and Finance, 2(1), pp
The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka
The Relaionship beween Money Demand and Ineres Raes: An Empirical Invesigaion in Sri Lanka R. C. P. Padmasiri 1 and O. G. Dayarana Banda 2 1 Economic Research Uni, Deparmen of Expor Agriculure 2 Deparmen
More informationOn the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,
More informationThe Impact of Interest Rate Liberalization Announcement in China on the Market Value of Hong Kong Listed Chinese Commercial Banks
Journal of Finance and Invesmen Analysis, vol. 2, no.3, 203, 35-39 ISSN: 224-0998 (prin version), 224-0996(online) Scienpress Ld, 203 The Impac of Ineres Rae Liberalizaion Announcemen in China on he Marke
More informationa. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be?
Problem Se 4 ECN 101 Inermediae Macroeconomics SOLUTIONS Numerical Quesions 1. Assume ha he demand for real money balance (M/P) is M/P = 0.6-100i, where is naional income and i is he nominal ineres rae.
More informationPrice Dynamics and Speculators in Crude Oil Futures Market
Available online a www.sciencedirec.com Sysems Engineering Procedia (011) 114 11 Price Dynamics and Speculaors in Crude Oil Fuures Marke Hui Bu * Beihang Universiy, Beiing 100191, China Absrac This paper
More informationDocumentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values
Documenaion: Philadelphia Fed's Real-Time Daa Se for Macroeconomiss Firs-, Second-, and Third-Release Values Las Updaed: December 16, 2013 1. Inroducion We documen our compuaional mehods for consrucing
More informationA Note on Carry Trade and the Related Financial Variables
www.ccsene.org/ijef Inernaional Journal of Economics and Finance Vol. 3, No. 3; Augus A Noe on Carry Trade and he Relaed Financial Variables Takvor H. Muafoglu Deparmen of Economics, Huner College, CUNY
More informationMacroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model.
Macroeconomics II A dynamic approach o shor run economic flucuaions. The DAD/DAS model. Par 2. The demand side of he model he dynamic aggregae demand (DAD) Inflaion and dynamics in he shor run So far,
More informationReturn-Volume Dynamics of Individual Stocks: Evidence from an Emerging Market
Reurn-Volume Dynamics of Individual Socks: Evidence from an Emerging Marke Cein Ciner College of Business Adminisraion Norheasern Universiy 413 Hayden Hall Boson, MA 02214 Tel: 617-373 4775 E-mail: c.ciner@neu.edu
More informationSingle Stock Futures Trading and Stock Price Volatility: Empirical Analysis
The Pakisan Developmen Review 48 : 4 Par II (Winer 2009) pp. 553 563 Single Sock Fuures Trading and Sock Price Volailiy: Empirical Analysis SAFI ULLAH KHAN and SYED TAHIR HIJAZI * 1. INTRODUCTION A large
More informationHedgers, Speculators and Forward Markets: Evidence From Currency Markets
Hedgers, Speculaors and Forward Markes: Evidence From Currency Markes K.F. Radalj Deparmen of Economics, Universiy of Wesern Ausralia, (kradalj@ecel.uwa.edu.au) Absrac: Since Keynes (1930) and Hicks (1939)
More informationCapital Strength and Bank Profitability
Capial Srengh and Bank Profiabiliy Seok Weon Lee 1 Asian Social Science; Vol. 11, No. 10; 2015 ISSN 1911-2017 E-ISSN 1911-2025 Published by Canadian Cener of Science and Educaion 1 Division of Inernaional
More informationCHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,
Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness
More informationPortfolio investments accounted for the largest outflow of SEK 77.5 billion in the financial account, which gave a net outflow of SEK billion.
BALANCE OF PAYMENTS DATE: 27-11-27 PUBLISHER: Saisics Sweden Balance of Paymens and Financial Markes (BFM) Maria Falk +46 8 6 94 72, maria.falk@scb.se Camilla Bergeling +46 8 6 942 6, camilla.bergeling@scb.se
More informationNew indices of adequate and excess speculation and their relationship with volatility in the crude oil futures market. Latha Shanker a.
New indices of adequae and excess speculaion and heir relaionship wih volailiy in he crude oil fuures marke by Laha Shanker a Absrac I develop new indices of adequae and excess speculaion in fuures markes,
More informationAppendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet.
Appendix B: DETAILS ABOUT THE SIMULATION MODEL The simulaion model is carried ou on one spreadshee and has five modules, four of which are conained in lookup ables ha are all calculaed on an auxiliary
More informationMarket and Information Economics
Marke and Informaion Economics Preliminary Examinaion Deparmen of Agriculural Economics Texas A&M Universiy May 2015 Insrucions: This examinaion consiss of six quesions. You mus answer he firs quesion
More informationEstimating Earnings Trend Using Unobserved Components Framework
Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion
More informationRevisiting the Fama and French Valuation Formula
Revisiing he Fama and French Valuaion Formula Absrac Using he dividend discoun model Fama and French (2006) develop a relaion beween expeced profiabiliy, expeced invesmen, curren BM and expeced sock reurns.
More informationA Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:
A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,
More informationSubdivided Research on the Inflation-hedging Ability of Residential Property: A Case of Hong Kong
Subdivided Research on he -hedging Abiliy of Residenial Propery: A Case of Hong Kong Guohua Huang 1, Haili Tu 2, Boyu Liu 3,* 1 Economics and Managemen School of Wuhan Universiy,Economics and Managemen
More informationIMPACTS OF FINANCIAL DERIVATIVES MARKET ON OIL PRICE VOLATILITY. Istemi Berk Department of Economics Izmir University of Economics
IMPACTS OF FINANCIAL DERIVATIVES MARKET ON OIL PRICE VOLATILITY Isemi Berk Deparmen of Economics Izmir Universiy of Economics OUTLINE MOTIVATION CRUDE OIL MARKET FUNDAMENTALS LITERATURE & CONTRIBUTION
More informationSpeculator identification: A microstructure approach
Speculaor idenificaion: A microsrucure approach Ben Z. Schreiber* Augus 2011 Absrac This paper suggess a mehodology for idenifying speculaors in FX markes by examining boh he speculaive characerisics of
More informationINSTITUTE OF ACTUARIES OF INDIA
INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on
More informationComparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013
Comparison of back-esing resuls for various VaR esimaion mehods, ICSP 3, Bergamo 8 h July, 3 THE MOTIVATION AND GOAL In order o esimae he risk of financial invesmens, i is crucial for all he models o esimae
More informationNational saving and Fiscal Policy in South Africa: an Empirical Analysis. by Lumengo Bonga-Bonga University of Johannesburg
Naional saving and Fiscal Policy in Souh Africa: an Empirical Analysis by Lumengo Bonga-Bonga Universiy of Johannesburg Inroducion A paricularly imporan issue in Souh Africa is he exen o which fiscal policy
More informationStock Market Behaviour Around Profit Warning Announcements
Sock Marke Behaviour Around Profi Warning Announcemens Henryk Gurgul Conen 1. Moivaion 2. Review of exising evidence 3. Main conjecures 4. Daa and preliminary resuls 5. GARCH relaed mehodology 6. Empirical
More informationA NOTE ON BUSINESS CYCLE NON-LINEARITY IN U.S. CONSUMPTION 247
Journal of Applied Economics, Vol. VI, No. 2 (Nov 2003), 247-253 A NOTE ON BUSINESS CYCLE NON-LINEARITY IN U.S. CONSUMPTION 247 A NOTE ON BUSINESS CYCLE NON-LINEARITY IN U.S. CONSUMPTION STEVEN COOK *
More informationThe Expiration-Day Effect of Derivatives Trading: Evidence from the Taiwanese Stock Market
Journal of Applied Finance & Banking, vol. 5, no. 4, 2015, 53-60 ISSN: 1792-6580 (prin version), 1792-6599 (online) Scienpress Ld, 2015 The Expiraion-Day Effec of Derivaives Trading: Evidence from he Taiwanese
More informationThe probability of informed trading based on VAR model
Universiy of Wollongong Research Online Faculy of Commerce - Papers (Archive) Faculy of Business 29 The probabiliy of informed rading based on VAR model Min Xu Beihang Universiy, xumin_828@sina.com Shancun
More informationFINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004
FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004 This exam has 50 quesions on 14 pages. Before you begin, please check o make sure ha your copy has all 50 quesions and all 14 pages.
More informationWatch out for the impact of Scottish independence opinion polls on UK s borrowing costs
Wach ou for he impac of Scoish independence opinion polls on UK s borrowing coss Cosas Milas (Universiy of Liverpool; email: cosas.milas@liverpool.ac.uk) and Tim Worrall (Universiy of Edinburgh; email:
More informationHEDGING PRESSURE, DELIVERY RISK, AND RISK PREMIUMS IN FUTURES MARKET: EMPIRICAL EVIDENCE
HEDGING PESSUE, DELIVEY ISK, AND ISK PEMIUMS IN FUTUES MAKET: EMPIICAL EVIDENCE (January 005 Joseph KANG*, Nanyang Business School, Nanyang Tech. Universiy, Singapore Charnwu OONGSANGMANOON, MFC Asse Managemen
More informationThe relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract
The relaion beween U.S. money growh and inflaion: evidence from a band pass filer Gary Shelley Dep. of Economics Finance; Eas Tennessee Sae Universiy Frederick Wallace Dep. of Managemen Markeing; Prairie
More information(1 + Nominal Yield) = (1 + Real Yield) (1 + Expected Inflation Rate) (1 + Inflation Risk Premium)
5. Inflaion-linked bonds Inflaion is an economic erm ha describes he general rise in prices of goods and services. As prices rise, a uni of money can buy less goods and services. Hence, inflaion is an
More informationCh. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk
Ch. 10 Measuring FX Exposure Topics Exchange Rae Risk: Relevan? Types of Exposure Transacion Exposure Economic Exposure Translaion Exposure Is Exchange Rae Risk Relevan?? Purchasing Power Pariy: Exchange
More informationThe Death of the Phillips Curve?
The Deah of he Phillips Curve? Anhony Murphy Federal Reserve Bank of Dallas Research Deparmen Working Paper 1801 hps://doi.org/10.19/wp1801 The Deah of he Phillips Curve? 1 Anhony Murphy, Federal Reserve
More informationUnemployment and Phillips curve
Unemploymen and Phillips curve 2 of The Naural Rae of Unemploymen and he Phillips Curve Figure 1 Inflaion versus Unemploymen in he Unied Saes, 1900 o 1960 During he period 1900 o 1960 in he Unied Saes,
More informationPRESS RELEASE EURO AREA ECONOMIC AND FINANCIAL DEVELOPMENTS BY INSTITUTIONAL SECTOR - FIRST QUARTER August 2012
1 Augus 212 PRESS RELEASE EURO AREA ECONOMIC AND FINANCIAL DEVELOPMENTS BY INSTITUTIONAL SECTOR - FIRST QUARTER 212 In he firs quarer of 212, he annual growh rae 1 of households gross disposable income
More informationAn event study analysis of U.S. hospitality stock prices' reaction to Fed policy announcements
Universiy of Massachuses - Amhers ScholarWorks@UMass Amhers Inernaional CHRIE Conference-Refereed Track 011 ICHRIE Conference Jul 7h, 3:15 PM - 4:15 PM An even sudy analysis of U.S. hospialiy sock prices'
More informationIdiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
Asian Journal of Finance & Accouning Idiosyncraic Volailiy and Cross-secion of Sock Reurns: Evidences from India Prashan Sharma Assisan Professor and Area Chair (Finance and Accouns) Jaipuria Insiue of
More informationPredictive Ability of Three Different Estimates of Cay to Excess Stock Returns A Comparative Study for South Africa and USA
European Research Sudies, Volume XVII, Issue (1), 2014 pp. 3-18 Predicive Abiliy of Three Differen Esimaes of Cay o Excess Sock Reurns A Comparaive Sudy for Souh Africa and USA Noha Emara 1 Absrac: The
More informationMODELLING THE US SWAP SPREAD
MODEING THE US SWAP SPREAD Hon-un Chung, School of Accouning and Finance, The Hong Kong Polyechnic Universiy, Email: afalan@ine.polyu.edu.hk Wai-Sum Chan, Deparmen of Finance, The Chinese Universiy of
More informationInternational transmission of shocks:
Inernaional ransmission of shocks: A ime-varying FAVAR approach o he Open Economy Philip Liu Haroon Mumaz Moneary Analysis Cener for Cenral Banking Sudies Bank of England Bank of England CEF 9 (Sydney)
More informationThe Economic Impact of the Proposed Gasoline Tax Cut In Connecticut
The Economic Impac of he Proposed Gasoline Tax Cu In Connecicu By Hemana Shresha, Research Assisan Bobur Alimov, Research Assisan Sanley McMillen, Manager, Research Projecs June 21, 2000 CONNECTICUT CENTER
More informationDo Speculators in Futures Markets Make Cash Markets. More Volatile?
Do Speculaors in Fuures Markes Make Cash Markes More Volaile? Yingzi Li yingzi.li@email.wsu.edu and T. Randall Forenbery r.forenbery@wsu.edu 59-335-7637 School of Economic Sciences Washingon Sae Universiy
More information1 Purpose of the paper
Moneary Economics 2 F.C. Bagliano - Sepember 2017 Noes on: F.X. Diebold and C. Li, Forecasing he erm srucure of governmen bond yields, Journal of Economerics, 2006 1 Purpose of he paper The paper presens
More informationThe Predictive Content of Futures Prices in Iran Gold Coin Market
American Inernaional Journal of Conemporary Research Vol. 7, No. 3, Sepember 017 The Predicive Conen of Fuures Prices in Iran Gold Coin Marke Ali Khabiri PhD in Financial Managemen Faculy of Managemen,
More informationSTABLE BOOK-TAX DIFFERENCES, PRIOR EARNINGS, AND EARNINGS PERSISTENCE. Joshua C. Racca. Dissertation Prepared for Degree of DOCTOR OF PHILOSOPHY
STABLE BOOK-TAX DIFFERENCES, PRIOR EARNINGS, AND EARNINGS PERSISTENCE Joshua C. Racca Disseraion Prepared for Degree of DOCTOR OF PHILOSOPHY UNIVERSITY OF NORTH TEXAS Augus 0 APPROVED: Teresa Conover,
More informationThe Intraday Behavior of Information Misreaction across Investor Categories in the Taiwan Options Market
The Inraday Behavior of Informaion Misreacion across Invesor Caegories in he Taiwan Opions Marke Chuang-Chang Chang a, Pei-Fang Hsieh b, Chih-Wei Tang c,yaw-huei Wang d a c Deparmen of Finance, Naional
More informationFinal Exam Answers Exchange Rate Economics
Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.
More informationVERIFICATION OF ECONOMIC EFFICIENCY OF LIGNITE DEPOSIT DEVELOPMENT USING THE SENSITIVITY ANALYSIS
1 Beaa TRZASKUŚ-ŻAK 1, Kazimierz CZOPEK 2 MG 3 1 Trzaskuś-Żak Beaa PhD. (corresponding auhor) AGH Universiy of Science and Technology Faculy of Mining and Geoengineering Al. Mickiewicza 30, 30-59 Krakow,
More informationExam 1. Econ520. Spring 2017
Exam 1. Econ520. Spring 2017 Professor Luz Hendricks UNC Insrucions: Answer all quesions. Clearly number your answers. Wrie legibly. Do no wrie your answers on he quesion shees. Explain your answers do
More informationANSWER ALL QUESTIONS. CHAPTERS 6-9; (Blanchard)
ANSWER ALL QUESTIONS CHAPTERS 6-9; 18-20 (Blanchard) Quesion 1 Discuss in deail he following: a) The sacrifice raio b) Okun s law c) The neuraliy of money d) Bargaining power e) NAIRU f) Wage indexaion
More informationAdvanced Forecasting Techniques and Models: Time-Series Forecasts
Advanced Forecasing Techniques and Models: Time-Series Forecass Shor Examples Series using Risk Simulaor For more informaion please visi: www.realopionsvaluaion.com or conac us a: admin@realopionsvaluaion.com
More informationFinance Solutions to Problem Set #6: Demand Estimation and Forecasting
Finance 30210 Soluions o Problem Se #6: Demand Esimaion and Forecasing 1) Consider he following regression for Ice Cream sales (in housands) as a funcion of price in dollars per pin. My daa is aken from
More informationDoes Stock Price Synchronicity Represent Firm-Specific Information? The International Evidence
Does Sock Price Synchroniciy Represen Firm-Specific Informaion? The Inernaional Evidence Hollis Ashbaugh-Skaife Universiy of Wisconsin Madison 975 Universiy Avenue Madison, WI 53706 608-63-7979 hashbaugh@bus.wisc.edu
More informationAre Analysts Overoptimistic about the Prospects of Sin Firms?
Are Analyss Overopimisic abou he Prospecs of Sin Firms? Jin Zhang 1 & Haeyoung Shin 2 1 College of Business Adminisraion, California Sae Universiy, Sacrameno, USA 2 School of Business, Universiy of Houson
More informationDo fund investors destabilize the Chinese stock market?
Do fund invesors desabilize he Chinese sock marke? Maozu LU a, Yun ZHU b Absrac In his paper, we sudy he relaion beween fund flow and marke volailiy a aggregae level using daily daa and provide empirical
More informationProcess of convergence dr Joanna Wolszczak-Derlacz. Lecture 4 and 5 Solow growth model (a)
Process of convergence dr Joanna Wolszczak-Derlacz ecure 4 and 5 Solow growh model a Solow growh model Rober Solow "A Conribuion o he Theory of Economic Growh." Quarerly Journal of Economics 70 February
More informationPrice distortion induced by a flawed stock market index
Price disorion induced by a flawed sock marke index Koaro Miwa a and Kazuhiro Ueda b Absrac Despie he inroducion of sophisicaed sock marke indice invesors ofen rade porfolios of he flawed indices o change
More informationAN EMPIRICAL RESEARCH ON THE RELATIONSHIP BETWEEN DEFENSE SPENDING AND AGGREGATE OUTPUT OF CHINA
Review of he Air Force Academy No 1 (25) 2014 AN EMPIRICAL RESEARCH ON THE RELATIONSHIP BETWEEN DEFENSE SPENDING AND AGGREGATE OUTPUT OF CHINA 1. INTRODUCTION The quesion of defense spending and is effec
More informationOn the Intraday Relation between the VIX and its Futures
On he Inraday Relaion beween he VIX and is Fuures Bar Frijns a, *, Alireza Tourani-Rad a and Rober I. Webb b a Deparmen of Finance, Auckland Universiy of Technology, Auckland, New Zealand b Universiy of
More informationMacroeconomic News Surprises, Business Cycles, and Interest Rate Swap Spreads
Macroeconomic News Surprises, Business Cycles, and Ineres Rae Swap Spreads Fang, V. 1, C.T. Lin 2, and L. Roadcap 1 1 Deparmen of Accouning and Finance, Monash Universiy, Vicoria 2 School of Commerce,
More informationMONETARY POLICY AND LONG TERM INTEREST RATES IN GERMANY *
MONETARY POLICY AND LONG TERM INTEREST RATES IN GERMANY * Ger Peersman Bank of England Ghen Universiy Absrac In his paper, we provide new empirical evidence on he relaionship beween shor and long run ineres
More informationThe Thursday Effect of the Forward Premium Puzzle
The Thursday Effec of he Forward Premium Pule This draf: February 8 Liang Ding Deparmen of Economics, Macaleser College, S.Paul, M, U.S.A Absrac: This paper examines he forward premium pule based on -week
More informationUCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory
UCLA Deparmen of Economics Fall 2016 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and you are o complee each par. Answer each par in a separae bluebook. All
More informationR e. Y R, X R, u e, and. Use the attached excel spreadsheets to
HW # Saisical Financial Modeling ( P Theodossiou) 1 The following are annual reurns for US finance socks (F) and he S&P500 socks index (M) Year Reurn Finance Socks Reurn S&P500 Year Reurn Finance Socks
More informationProblem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000.
Social Analysis 10 Spring 2006 Problem Se 1 Answers Quesion 1 a. The compuer is a final good produced and sold in 2006. Hence, 2006 GDP increases by $2,000. b. The bread is a final good sold in 2006. 2006
More informationIndustry Profitability Dispersion and Market-to-book Ratio
Indusry Profiabiliy Dispersion and Marke-o-book Raio Jia Chen *, Kewei Hou, and René M. Sulz 30 January 2014 Absrac Firms in indusries ha have high indusry-level dispersion of profiabiliy have on average
More informationAn Incentive-Based, Multi-Period Decision Model for Hierarchical Systems
Wernz C. and Deshmukh A. An Incenive-Based Muli-Period Decision Model for Hierarchical Sysems Proceedings of he 3 rd Inernaional Conference on Global Inerdependence and Decision Sciences (ICGIDS) pp. 84-88
More informationThe Impact of Portfolio Disclosure on Hedge Fund. Performance, Fees, and Flows. Zhen Shi
The Impac of Porfolio Disclosure on Hedge Fund Performance, Fees, and Flows by Zhen Shi A Disseraion Presened in Parial Fulfillmen of he Requiremens for he Degree Docor of Philosophy Approved April 2011
More informationDescription of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM )
Descripion of he CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) Inroducion. The CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) is a benchmark index designed o rack he performance of a hypoheical 2% ou-of-he-money
More informationBalance of Payments. Second quarter 2012
Balance of Paymens Second quarer 2012 Balance of Paymens Second quarer 2012 Saisics Sweden 2012 Balance of Paymens. Second quarer 2012 Saisics Sweden 2012 Producer Saisics Sweden, Balance of Paymens and
More informationIntroduction. Enterprises and background. chapter
NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.
More informationAn Analysis About Market Efficiency in International Petroleum Markets: Evidence from Three Oil Commodities
An Analysis Abou Marke Efficiency in Inernaional Peroleum Markes: Evidence from Three Oil Commodiies Wang Shuping, Li Jianping, and Zhang Shulin The College of Economics and Business Adminisraion, Norh
More informationCHAPTER CHAPTER26. Fiscal Policy: A Summing Up. Prepared by: Fernando Quijano and Yvonn Quijano
Fiscal Policy: A Summing Up Prepared by: Fernando Quijano and vonn Quijano CHAPTER CHAPTER26 2006 Prenice Hall usiness Publishing Macroeconomics, 4/e Olivier lanchard Chaper 26: Fiscal Policy: A Summing
More informationModeling Volatility of Exchange Rate of Chinese Yuan against US Dollar Based on GARCH Models
013 Sixh Inernaional Conference on Business Inelligence and Financial Engineering Modeling Volailiy of Exchange Rae of Chinese Yuan agains US Dollar Based on GARCH Models Marggie Ma DBA Program Ciy Universiy
More informationThe macroeconomic effects of fiscal policy in Greece
The macroeconomic effecs of fiscal policy in Greece Dimiris Papageorgiou Economic Research Deparmen, Bank of Greece Naional and Kapodisrian Universiy of Ahens May 22, 23 Email: dpapag@aueb.gr, and DPapageorgiou@bankofgreece.gr.
More informationVolatility Spillovers between Stock Market Returns and Exchange Rate Changes: the New Zealand Case
Volailiy Spillovers beween Sock Marke eurns and Exchange ae Changes: he New Zealand Case Choi, D.F.S., V. Fang and T.Y. Fu Deparmen of Finance, Waikao Managemen School, Universiy of Waikao, Hamilon, New
More informationTERM STRUCTURE OF INTEREST RATE AND MACROECONOMIC VARIABLES: THE TURKISH CASE
TERM STRUCTURE OF INTEREST RATE AND MACROECONOMIC VARIABLES: THE TURKISH CASE Huseyin KAYA Bahcesehir Universiy Ciragan Cad. Besikas/Isanbul-Turkey 34353 E-mail: huseyin.kaya@bahcesehir.edu.r Absrac This
More informationAPRA Research Methodology for Analysis of Superannuation Funds
Curren Research Quesions APRA Research Mehodology for Analysis of Superannuaion Funds Wha are he deerminans of he cross-secional variaion in superannuaion reurns? Asse allocaion, manager skill, expenses/axes
More informationDescription of the CBOE Russell 2000 BuyWrite Index (BXR SM )
Descripion of he CBOE Russell 2000 BuyWrie Index (BXR SM ) Inroducion. The CBOE Russell 2000 BuyWrie Index (BXR SM ) is a benchmark index designed o rack he performance of a hypoheical a-he-money buy-wrie
More informationSpeculation and Destabilisation
Speculaion and Desabilisaion Kim F. Radalj a, Michael McAleer b a Deparmen of Economics, Universiy of Wesern Ausralia (kradalj@ecel.uwa.edu.au) b Deparmen of Economics, Universiy of Wesern Ausralia Absrac:
More informationMacroeconomics. Typical macro questions (I) Typical macro questions (II) Methodology of macroeconomics. Tasks carried out by macroeconomists
Macroeconomics Macroeconomics is he area of economics ha sudies he overall economic aciviy in a counry or region by means of indicaors of ha aciviy. There is no essenial divide beween micro and macroeconomics,
More informationEssays on Stock Market Liquidity and Liquidity Risk Premium
Universiy of New Orleans ScholarWorks@UNO Universiy of New Orleans Theses and Disseraions Disseraions and Theses 5-14-2010 Essays on Sock Marke Liquidiy and Liquidiy Risk Premium Shu Tian Universiy of
More informationDOES EVA REALLY HELP LONG TERM STOCK PERFORMANCE?
DOES EVA REALLY HELP LONG TERM STOCK PERFORMANCE? Wesley M. Jones, Jr. The Ciadel wes.jones@ciadel.edu George Lowry, Randolph Macon College glowry@rmc.edu ABSTRACT Economic Value Added (EVA) as a philosophy
More informationMoney, Income, Prices, and Causality in Pakistan: A Trivariate Analysis. Fazal Husain & Kalbe Abbas
Money, Income, Prices, and Causaliy in Pakisan: A Trivariae Analysis Fazal Husain & Kalbe Abbas I. INTRODUCTION There has been a long debae in economics regarding he role of money in an economy paricularly
More informationOn the Intraday Relation between the VIX and its Futures
On he Inraday Relaion beween he VIX and is Fuures Bar Frijns* Alireza Tourani-Rad Rober Webb *Corresponding auhor. Deparmen of Finance, Auckland Universiy of Technology, Privae Bag 92006, 1142 Auckland,
More informationU.S. and Domestic Market Gains and Asian Investors Overconfident. Trading Behavior
U.S. and Domesic Marke Gains and sian Invesors Overconfiden Trading Behavior Wen-I Chuang 1, Bong-Soo Lee, and Kai-Li Wang 3 bsrac The overconfidence hypohesis pu forward by Gervais and Odean (001) predics
More informationMonetary Policy Uncertainty, Positions of Traders and Changes in Commodity Futures Prices
Moneary Policy Uncerainy, Posiions of Traders and Changes in Commodiy Fuures Prices NIKOLAY GOSPODINOV IBRAHIM JAMALI * Federal Reserve Bank of Alana American Universiy of Beiru Absrac Using fuures daa
More informationRelationship between Implied and Realized Volatility of S&P CNX Nifty Index in India. Siba Prasada Panda 1. Niranjan Swain 2. D.K.
Relaionship beween Implied and Realized Volailiy of S&P CNX Nify Index in India Siba Prasada Panda 1 Niranjan Swain 2 D.K. Malhora 3 Absrac Measures of volailiy implied in opion prices are widely believed
More informationEconomics Letters. The impact of oil price shocks on the U.S. stock market: A note on the roles of U.S. and non-u.s.
Economics Leers 145 (2016) 176 181 Conens liss available a ScienceDirec Economics Leers journal homepage: www.elsevier.com/locae/ecole The impac of oil price s on he U.S. sock marke: A noe on he roles
More informationImpact of Single Stock Futures on the Volatility of Underlying Russian Stocks
Universiy of S. Thomas, Minnesoa UST Research Online Finance Faculy Publicaions Finance 10-2010 Impac of Single Sock Fuures on he Volailiy of Underlying Russian Socks Thadavillil Jihendranahan Universiy
More informationThe effect of inflation on stock prices of listed companies in Tehran stock exchange 1
Available online a www.worldscienificnews.com WSN 40 (016) 35-47 EISSN 39-19 The effec of inflaion on sock prices of lised companies in Tehran sock exchange 1 ABSTRACT Freyedon Ahmadi Assisan Professor,
More informationTrade Liberalisation and Export Demand Function: The Case of South Asia
Tropical Agriculural Research Vol. 0: 4-49 (008) Trade Liberalisaion and Expor Demand Funcion: The Case of Souh Asia D. Sajeewani and A. Wijeweera School of Business, Economics and Public Policy Universiy
More informationDoes Option Trading Have a Pervasive Impact on Underlying Stock Prices? *
Does Opion Trading Have a Pervasive Impac on Underlying Soc Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy
More informationLinkages and Performance Comparison among Eastern Europe Stock Markets
Easern Europe Sock Marke hp://dx.doi.org/10.14195/2183-203x_39_4 Linkages and Performance Comparison among Easern Europe Sock Markes Faculdade de Economia da Universidade de Coimbra and GEMF absrac This
More informationThe Correlation Risk Premium: Term Structure and Hedging
: erm Srucure and Hedging Gonçalo Faria (1),* and Rober Kosowski (2),* (1) CEF.UP, Universiy of Poro; (2) Imperial College Business School, CEPR, Oxford-Man Insiue of Quaniaive Finance. Nespar Inernaional
More informationVolatility in Natural Gas and Oil Markets. by Robert S. Pindyck
Volailiy in Naural Gas and Oil Markes by Rober S. Pindyck 03-012 WP June 2003 VOLATILITY IN NATURAL GAS AND OIL MARKETS * by Rober S. Pindyck Massachuses Insiue of Technology Cambridge, MA 02142 This draf:
More information