scholarly journals EMPIRICAL TEST OF PUT-CALL PARITY ON SPX OVER THE SHORT BAN 2008

2017 ◽  
Vol 33 (2) ◽  
Author(s):  
Huyen Do
Keyword(s):  
Empirical Test ◽  
Supply And Demand ◽  
Option Price ◽  
Short Selling ◽  
No Arbitrage ◽  
Put Option ◽  
Key Word ◽  
Momentum Trading ◽  
The Relationship ◽  
Trading Behaviour

Put call parity is a theoretical no-arbitrage condition linking a call option price to a put option price written on the same stock or index. This study finds that Put call parity violations are quite symmetric over the whole sample. However during the ban period 2008 in the U.S., puts are significantly and economically overpriced relative to calls. Some possible explanations are the short selling restriction, momentum trading behaviour and the changes in supply and demand of puts over the short ban. One interesting finding that the relationship between time to expiry, put call parity deviations and returns on the index is highly non-linear. Key word: Put-call parity, SPX, short ban 2008 .

American Basket Option Pricing Formulas in Uncertain Environment

2021 ◽  
pp. 2150011
Author(s):  
Rong Gao ◽  
Xiaofang Yin
Keyword(s):  
Option Pricing ◽  
Option Price ◽  
Weighted Average ◽  
Call Option ◽  
Strike Price ◽  
Basket Option ◽  
Put Option ◽  
The Right ◽  
The Relationship ◽  
Financial Environment

American basket option is a contract containing multiple underlying assets, and its payoff is correlated with average prices or weighted average prices of these assets on or before the expiration date. The type of option entitles a holder the right to trade at the strike price within a specified date, and this right can be waived. Therefore, there is a certain price to be paid for acquiring this right, which produces the problem of option pricing. A lot of literature shows blackthat basket option price is usually cheaper than option portfolios on individual underlying assets. Based on this advantage, basket option blackbecomes popular among investors. Consequently, this paper predominantly explores four types of American basket option pricing in uncertain financial environment. Specifically they are American arithmetic basket call option, American arithmetic basket put option, American geometric basket call option and American geometric basket put option. Assuming that these stocks prices follow corresponding uncertain differential equations, we derive corresponding option pricing formulas. Some numerical examples are taken to illustrate the feasibility of pricing formulas. Simultaneously, this paper discusses the relationship between option price and some parameters.

Hot and Cold Strategies: Australian Evidence

2011 ◽  
Vol 14 (02) ◽  
pp. 271-295 ◽  
Author(s):  
Vikash Ramiah ◽  
Tafadzwa Mugwagwa ◽  
Tony Naughton
Keyword(s):  
Stock Returns ◽  
Asset Allocation ◽  
High Frequency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Short Selling ◽  
Investment Strategies ◽  
Tactical Asset Allocation ◽  
Momentum Trading ◽  
The Relationship

The main purpose of this paper is to explore a high-frequency tactical asset allocation strategy. In particular, we investigate the profitability of momentum trading and contrarian investment strategies for equities listed on the Australian Stock Exchange (ASX). In these two strategies we take into consideration the short-selling restrictions imposed by the ASX on the stocks used. Within our sample portfolios we look at the relationship between stock returns and past trading volume for these equities. This research also investigates the seasonal aspects of contrarian portfolios and observes weekly, monthly and yearly effects. We report significant contrarian profits for the period investigated (from 2001 to 2006) and show that contrarian profit is a persistent feature for the strategies examined. We also document that contrarian portfolios earn returns as high as 6.54% per day for portfolios with no short-selling restrictions, and 4.71% in the restricted model. The results also support the view that volume traded affects stock returns, and show that market imperfections such as short-selling restrictions affect investors' returns.

The Theoretical and Empirical Research on Pricing of China's Carbon Emission Permits

2012 ◽  
Vol 524-527 ◽  
pp. 2474-2481
Author(s):  
Zhi Gang Huang ◽  
Jiao Ling Xie ◽  
Wen Ping Wu
Keyword(s):  
Option Pricing ◽  
Carbon Emissions ◽  
Carbon Emission ◽  
Supply And Demand ◽  
Practical Significance ◽  
Emission Permits ◽  
Transaction Data ◽  
Carbon Finance ◽  
Relationship Of ◽  
The Relationship

Carbon emissions permits has its own particularity,and with the development of carbon finance,carbon emissions permits possess the commodity attributes and financial attributes.So its price isn’t determined only by the relationship of commodity supply and demand,but also affected by a variety of factors.But because the transaction data is not available,so the pricing of the carbon emissions permits can not really consider from the angle of the influencing factors of price.Therefore, this paper is on the basis of previous studies using mathematical tools and introducing the option pricing mechanism to study th pricing of China's carbon emissions permits basing on carbon emissions,which is designed for providing reference on the pricing of China's carbon emissions,being of both theoretical and practical significance.

MERGE OF THE TECHNİCAL ANALYSİS TYPES GİVES THE BEST RESULTS İN CRYPTOCURRENCY MARKET

2021 ◽  
Vol 6 (14) ◽  
pp. 89-97
Author(s):  
MUSTAFA ÖZYEŞİL ◽  
MOHAMMAD AL-TARIFI
Keyword(s):  
Supply And Demand ◽  
Investment Strategy ◽  
Proof Of Concept ◽  
Market Capitalization ◽  
Long Run ◽  
Peer Network ◽  
Tangible Asset ◽  
The Relationship ◽  
Peer To Peer Network

Cryptocurrencies are a modern kind of financial instrument (Hudson & Urquhart, 2019), the first cryptocurrency is Bitcoin , proposed by who called Satoushi Nakamato (2008), as The open source was created on the proof-of-concept principle that transactions can be securely treated on a decentralized peer to peer network without the need for a central clearinghouse, which appeared 2009 ( Heid, 2013). The success of the bitcoin blazes a trail to what called ‘Altcoin” this expression means all the cryptocurrencies that set in motion after the victory of the bitcoin, these coins sell themselves as the best alternatives for the bitcoin (FRANKENFIELD, 2020) . There are many types for the altcoin. The third type of the cryptocurrency is called Tokens Unlike Bitcoin and Altcoins, tokens are not able to activate independently and are dependent on the grid of another cryptocurrency. That means they do not have their own core DLT or blockchain, but instead, are built on top of an existing cryptocurrency’s blockchain (Types of cryptocurrencies: explaining the major types of cryptos, 2019). The worth of bitcoin doesn’t depend on any tangible asset or economies of the countries while it is based upon the security of an algorithm which traces all transactions (Hudson & Urquhart, 2019). The studies determine the number of the bitcoin price development in the long -run (Ciaian, Rajcaniova, & Kancs, 2018): • Market forces of the Bitcoin supply and demand • The bitcoin’s attractiveness for the investors • The influence of global macro-financial developments If you're forming an investment strategy designed to help you trail long-term financial intentions, understanding the relationship between company size, return potential, and risk is vital. (Market cap—or market capitalization—refers to the total value of all a company's shares of stock, 2017) .Hence , Manifested importance a cryptocurrency’s market capitalization as the total values of all coins currently in circulation. the cryptocurrency’s market cap contains what’s called Bitcoin Dominance that is the ratio between the market cap of bitcoin to other coins of the cryptocurrency markets (jacobcanfield, 2019) . Cryptocurrency trade is attractive type of investment. this market treated the same of the foreign exchange and stock market ( Radityo, Munajat, & Budi, 2017). The investors using the same basic in investment (buy low, sell high) but they need to calculating the risks

International Real Estate Review

2001 ◽  
Vol 4 (1) ◽  
pp. 43-56
Author(s):  
Tsong-Yue Lai ◽  
◽  
Hin Man Mak ◽  
Ko Wang ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Supply And Demand ◽  
Short Selling ◽  
Local Market ◽  
Short Sales ◽  
Rates Of Return ◽  
Short Sale ◽  
Asset Pricing Models ◽  
Short Sell ◽  
Property Markets

Asset pricing models have been used extensively in the recent real estate literature to evaluate real estate performance and estimate required rates of return of properties. In this paper, we show that the CAPM and its variants will derive a biased result when short sales are not allowed in the market. This problem is particularly serious for Asian property markets where investors are not able to short sell real estate indexes as a substitute for short selling real properties. We also demonstrate that the bias resulting from the short-sale constraint is related to the supply-and-demand conditions in the local market.

scholarly journals The Empirical Test on the Impact of Climate Volatility on Tourism Demand: A Case of Japanese Tourists Visiting Korea

2018 ◽  
Vol 10 (10) ◽  
pp. 3569
Author(s):  
Yun Hwang ◽  
Hyung Kim ◽  
Cheon Yu
Keyword(s):  
Empirical Test ◽  
Tourism Industry ◽  
Model Specification ◽  
Time Lags ◽  
Tourism Demand ◽  
Demand Model ◽  
Volatility Index ◽  
Tourism Resource ◽  
The Impact ◽  
The Relationship

As climate is not only a valuable tourism resource but also a factor influencing travel experience, estimating climate volatility has implications for sustainable development of the tourism industry. This study develops the Climate Volatility Index (CVI) using a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and estimates the relationship between CVI and Japanese tourism demand in Korea, using a tourism demand model based on monthly data from January 2000 to December 2013. Possible time lags and multicollinearity among variables are considered for the model specification. The results show that an increase in climate volatility leads to a decrease in tourism demand.

scholarly journals Earnings Smoothing, Momentum and Statistical Arbitrage: Global Evidence

2015 ◽  
Vol 5 (2) ◽  
pp. 48
Author(s):  
G. Geoffrey Booth ◽  
Ayfer Gurun
Keyword(s):  
Emerging Economies ◽  
Cross Sectional ◽  
Statistical Arbitrage ◽  
Momentum Profits ◽  
Investor Sophistication ◽  
Earnings Smoothing ◽  
Momentum Trading ◽  
The Relationship ◽  
Global Evidence ◽  
Do So

<p class="ber"><span lang="EN-GB">We employ the notion of statistical arbitrage to investigate the relationship between earnings smoothing and returns from momentum trading of stocks and explore the role that the level of investor sophistication may play in the smoothing-return calculus. To do so, we exploit the observation that both earnings smoothing and momentum profits are related to the cross-sectional variation in returns.  We analyze the relevant data of 25 developed and emerging economies. Our results confirm the proposition that momentum profits as indicated by statistical arbitrage measures are inversely related to earnings smoothing but only in those markets where investors are more sophisticated and are able to take advantage of liquidity traders, who are often uninformed. </span></p>

scholarly journals Influence of Entrepreneurial Orientation on Venture Capitalists' Initial Trust

2021 ◽  
Vol 12 ◽  
Author(s):  
Hongtao Yang ◽  
Lei Zhang ◽  
Yenchun Jim Wu ◽  
Hangyu Shi ◽  
Shuting Xie
Keyword(s):  
Impression Management ◽  
Risk Taking ◽  
Entrepreneurial Orientation ◽  
Empirical Test ◽  
Management Strategies ◽  
Management Theory ◽  
Venture Capitalists ◽  
Initial Trust ◽  
Five Dimensions ◽  
The Relationship

The effectiveness of trust has been extensively investigated in entrepreneurship studies. However, compared to the outcomes of trust, we still lack knowledge about the mechanisms underlying venture capitalists' initial trust in entrepreneurs. Drawing from signal theory and impression management theory, this study explores an impression management motivational explanation for the influencing factors of venture capitalists' initial trust. An empirical test is based on 202 valid questionnaires from venture capitalists, and the results indicate that the signal of five dimensions of entrepreneurial orientation has a significant impact on the initial trust of venture capitalists and that a signal of entrepreneurial orientation of perseverance or passion positively influences venture capitalists' initial trust through acquired impression management strategies, while a signal of entrepreneurial orientation of risk-taking, innovation, or proactivity positively affects the initial trust of venture capitalists through defensive impression management strategies. The perceptions of entrepreneurs' hypocrisy by venture capitalists negatively moderate the relationship between acquired impression management strategies and the initial trust of venture capitalists and negatively moderate the relationship between defensive impression management strategies and the initial trust of venture capitalists.

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