scholarly journals Jump Contagion among Stock Market Indices: Evidence from Option Markets

2021 ◽  
Author(s):  
H. Peter Boswijk ◽  
Roger Jean Auguste Laeven ◽  
Andrei Lalu ◽  
Evgenii Vladimirov
Keyword(s):  
Stock Market ◽  
Option Markets

Futures and Option Prices After the Stock Market Close: Evidence from the Korean Markets

2008 ◽  
Vol 16 (2) ◽  
pp. 95-125
Author(s):  
Jae Ha Lee ◽  
Sang Soo Kwon
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Return Volatility ◽  
Option Prices ◽  
Option Markets ◽  
Option Returns ◽  
Time Zones ◽  
The Impact

In the KOSPI2oo futures and option markets. additional fifteen minutes (15 : 00∼15 개5) after the underlying stock market close are given tor the adjustments of the futures and option positions. During the first five minutes. 15: 00∼15 : 05. a continuous auction trading is made. while the trading at a single clearing price is made for the remaining ten minutes. 15: 05∼15: 15. Previous studies focused on the synchronous trading in terms of transaction time in the analysis of the lead-lag relationship. truncating the futures and option data during 15 : 00∼15 : 15. In this article. we explore how the KOSPI2oo futures and option returns for the extra fifteen minutes impact the next day's KOSPI200 cash returns, We also examine the lead-lag relationship during the reggular trading hours (9 : 00∼15 : 00) and the impact of the cash returns during 14 : 20∼15 : 00 on futures and option returns during 15 : 00∼15: 15. Our main findings are summarized as follows. First. the KOSPI200 futures and option returns during 15 : 00∼15 : 15 lead the close-to-open KOSPI200 cash return, even though the trading volume and return volatility during 15: 00∼15: 15 are lower relative to the regular stock market session (9 : 00∼15: 00). The impact of the futures and option returns on the cash return lasts hlK) minutes and one minute‘ repectively. after the next day open. Second. the option return during the continuous auction trading session (15 : 00∼ 15 : 05) leads the close-to-open cash return. while the futures return of trading at a single clearing price during 15 : 05∼15 : 10 impacts the close-to-open cash return. Third, we found that the lead-lag relationships among the KOSPI200 futures, option, and cash returns are not constant during the reg비ar stock market session‘ In partieular. the impact of the KOSPI200 cash ret un during 14 : 40∼15 : 00 on the futures and option retuns for the 15 : 00∼15: 15 Interval is much stronger. compared with other time zones. Finally. the KOSPI200 cash return during the last ten minutes of trading at a Single clearing price (14 : 50∼15 : 00). significantly impacts the option return during 15: 00∼15: 05. while there is no impact on the futures return (15 : 00∼15: 15).

Predicting Stock Market Performance

2020 ◽  
pp. 1-10
Author(s):  
Thomas Plieger ◽  
Thomas Grünhage ◽  
Éilish Duke ◽  
Martin Reuter
Keyword(s):  
Stock Market ◽  
Risk Taking ◽  
Life Stress ◽  
Price Volatility ◽  
Individual Characteristics ◽  
Self Report ◽  
Financial Behavior ◽  
Market Simulation ◽  
Stock Market Performance ◽  
Risk Taking Behavior

Abstract. Gender and personality traits influence risk proneness in the context of financial decisions. However, most studies on this topic have relied on either self-report data or on artificial measures of financial risk-taking behavior. Our study aimed to identify relevant trading behaviors and personal characteristics related to trading success. N = 108 Caucasians took part in a three-week stock market simulation paradigm, in which they traded shares of eight fictional companies that differed in issue price, volatility, and outcome. Participants also completed questionnaires measuring personality, risk-taking behavior, and life stress. Our model showed that being male and scoring high on self-directedness led to more risky financial behavior, which in turn positively predicted success in the stock market simulation. The total model explained 39% of the variance in trading success, indicating a role for other factors in influencing trading behavior. Future studies should try to enrich our model to get a more accurate impression of the associations between individual characteristics and financially successful behavior in context of stock trading.

The Effects of Share Repurchase Announcements on Returns in the Malaysia Stock Market

2018 ◽  
Vol 1 (1) ◽  
pp. 1 ◽  
Author(s):  
Tze San Ong ◽  
Pei San Ng
Keyword(s):  
Stock Market ◽  
Abnormal Return ◽  
Small Firms ◽  
Abnormal Returns ◽  
Share Repurchase ◽  
Before And After ◽  
Positive Abnormal Return ◽  
Repurchase Announcements ◽  
Signaling Hypothesis ◽  
Firm Characteristic

This paper examines the market response surrounding the share repurchase announcements of Malaysia Listed Companies from years 2012 to 2016. One sample T-test was carried out to identify the abnormal return in the range before and after 20 days from share repurchase announcements. The result shows a significant positive abnormal return in the day of repurchase announcements and continuously until day 1 after the announcements. Multiple regression analysis was performed in order to identify the firm characteristic of share repurchase. The finding is supported with information asymmetric, which shows that stock market reacts more favorably through the repurchase announcements by small firms than large firms. This study is consistent with the signaling hypothesis that shows share repurchase announcement can be an effective tool in stabilizing the stock market in Malaysia. The finding of this study acts as a useful tool for managers and investors to improve their decisions on share repurchase announcements in Malaysia. Company’s managers can conduct share repurchase announcements that are able to make the stock market react positively in order to generate positive abnormal returns.

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