Results 101 to 110 of about 2,929 (231)
The Impact of Brexit on the Stock Markets of the Greater China Region
International Journal of Financial Studies, 2018 An examination of Brexit and its initial impact on the main stock markets in the Greater China Region (GCR) was conducted using augmented market models that integrate Economic Policy Uncertainty (EPU) and implied volatility (VIX). The results do not seem
Lucía Morales +1 more
doaj +1 more source
The Journal of Finance, EarlyView.ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA +2 more
wiley +1 more source
Quote Competition in Corporate Bonds
The Journal of Finance, EarlyView.ABSTRACT Dealer quotes in corporate bonds, though indicative, lower trading costs and increase trading volume. Dealers offering higher quality quotes attract more order flow and execute trades at favorable prices. Dealers advertise quotes to manage their inventories and attract orders from nonrelationship clients.
TERRENCE HENDERSHOTT +4 more
wiley +1 more source
, 2018 Electronic Thesis or DissertationThis dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange’s (CBOE) index representing S&P 500 Index implied volatility.
Arnatt, Richard Anthony
core
The Journal of Finance, EarlyView.ABSTRACT We show that FX interventions can be effective, particularly in attenuating global financial spillovers. We exploit global financial shocks and Brazilian central bank interventions in FX derivatives using three matched administrative registers: bank credit (to firms), foreign credit to banks, and employer‐employees. After the U.S.
RODRIGO BARBONE GONZALEZ +3 more
wiley +1 more source
, 2006 VIX futures are exchange-traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures.
Zhang, JE, Zhu, Y
core +1 more source
The power of ethical investment in the context of political uncertainty
Journal of Applied Economics, 2019 In this paper we analyse a set of socially responsible investment (SRI) indices against their conventional counterparts in the US context. Using a data set that spans the Obama and Trump administrations, we aim to identify whether performance and ...
Lucía Morales +2 more
doaj +1 more source
The Journal of Finance, EarlyView.ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley +1 more source
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Evaluation of Dynamics of the VIX Index Via Heston Model.
A methodology for the estimation of parameter of a stochastic model using discontinuous models (ARIMA class) and based on the financial market data is introduced.
Fjodorovs, Jegors, Matvejevs, Andrejs
core