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Stewart Mayhew

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Cecilia R. Caglio & Stewart Mayhew, 2012. "Equity trading and the allocation of market data revenue," Finance and Economics Discussion Series 2012-65, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
    2. Giovanni Cespa & Thierry Foucault, 2008. "Insiders-Outsiders, Transparency and the Value of the Ticker," Working Papers 628, Queen Mary University of London, School of Economics and Finance.
    3. Upson, James & McInish, Thomas & IV, B. Hardy Johnson, 2021. "Order based versus level book trade reporting: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 125(C).
    4. Liu, Tengdong & Zheng, Dazhi & Zheng, Suyan & Lu, Yang, 2023. "Herding in Chinese stock markets: Evidence from the dual-investor-group," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    5. Albert S. Kyle & Anna A. Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Finance and Economics Discussion Series 2016-034, Board of Governors of the Federal Reserve System (U.S.).
    6. Stephen N. Jurich, 2020. "Size Precedence And Share Volume: The Case Of The Psx Exchange," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-28, December.
    7. Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Working Papers w0230, New Economic School (NES).
    8. Giovanni Petrella, 2010. "MiFID, Reg NMS and competition across trading venues in Europe and the USA," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 18(3), pages 257-271, July.

  2. Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, University Library of Munich, Germany.

    Cited by:

    1. Michelle A. Danis, 2003. "A Discrete Choice Approach to Measuring Competition in Equity Option Markets," FHFA Staff Working Papers 03-05, Federal Housing Finance Agency.
    2. Lundstrum, Leonard L. & Walker, Mark D., 2006. "LEAPS introductions and the value of the underlying stocks," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 494-510, October.
    3. Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 695-708, December.
    4. Michael Aitken & Reuben Segara, 2005. "Impact of warrant introductions on the behaviour of underlying stocks: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(1), pages 127-144, March.
    5. Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers.
    6. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    7. Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
    8. Michael Clarke & Gerard Gannon & Russell Vinning, 2011. "The Impact of Warrant Introduction: The Australian Experience," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 213-269.
    9. Dar-Hsin Chen & Po-Hsun Chang, 2008. "The impact of listing stock options on the underlying securities: the case of Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 18(14), pages 1161-1172.
    10. Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
    11. Md. Mohibul Islam & Anisul M. Islam, 2017. "Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(9), pages 157-15-172, 09-2017.
    12. João Amaro De Matos & João Sobral Do Rosário, 2002. "Market Power And Feedback Effects From Hedging Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(08), pages 845-875.
    13. George Filis & Christos Floros & Bruno Eeckels, 2011. "Option listing, returns and volatility: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1423-1435.
    14. Charupat, Narat, 2006. "The effect of derivative trading on the underlying markets: Evidence from Canadian instalment receipts trading," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 276-293.
    15. Michelle A. Danis, 2004. "Measurement of the Bid-Ask Spread in Equity Option Markets," FHFA Staff Working Papers 04-02, Federal Housing Finance Agency.

Articles

  1. Caglio, Cecilia & Mayhew, Stewart, 2016. "Equity trading and the allocation of market data revenue," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 97-111.
    See citations under working paper version above.
  2. Jia Hao & Avner Kalay & Stewart Mayhew, 2010. "Ex-dividend Arbitrage in Option Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 271-303, January.

    Cited by:

    1. Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.
    2. Harris, Lawrence E. & Hartzmark, Samuel M. & Solomon, David H., 2015. "Juicing the dividend yield: Mutual funds and the demand for dividends," Journal of Financial Economics, Elsevier, vol. 116(3), pages 433-451.

  3. Patrick Dennis & Stewart Mayhew, 2009. "Microstructural biases in empirical tests of option pricing models," Review of Derivatives Research, Springer, vol. 12(3), pages 169-191, October.

    Cited by:

    1. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
    2. Xingguo Luo & Doojin Ryu & Libin Tao & Chuxin Ye, 2024. "Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 533-554, March.
    3. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
    4. Zhang, Xindong & Xie, Lixu & Zhai, Yue & Wang, Dong, 2018. "Can microstructure noise explain the MAX effect?," Finance Research Letters, Elsevier, vol. 26(C), pages 185-191.
    5. Healy, J.V. & Gregoriou, A. & Hudson, R., 2018. "Test of recent advances in extracting information from option prices," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 292-302.
    6. Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
    7. Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk, 2010. "Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures," Working Papers 2010-03, Faculty of Economic Sciences, University of Warsaw.
    8. Fahlenbrach, Rüdiger & Sandås, Patrik, 2009. "Co-movements of index options and futures quotes," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 151-163, January.
    9. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
    10. Hilliard, Jitka, 2013. "Testing Greeks and price changes in the S&P 500 options and futures contract: A regression analysis," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 51-58.
    11. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    12. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
    13. Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
    14. Pascal Albert & Michael Herold & Matthias Muck, 2023. "Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1807-1835, December.
    15. Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
    16. Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2017. "Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options," Central European Economic Journal, Sciendo, vol. 4(51), pages 18-39.
    17. Jose Faias & Pedro Santa-Clara, 2011. "Optimal Option Portfolio Strategies," EcoMod2011 3041, EcoMod.

  4. Dennis, Patrick & Mayhew, Stewart & Stivers, Chris, 2006. "Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(2), pages 381-406, June.

    Cited by:

    1. Jupeng Li & Xiaoli Yu & Xingguo Luo, 2019. "Volatility index and the return–volatility relation: Intraday evidence from Chinese options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1348-1359, November.
    2. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    3. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    4. Srivastava, Pranjal & Jacob, Joshy, 2022. "Risk information - normal markets and the COVID-19 pandemic period," IIMA Working Papers WP 2022-10-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    5. Kevin Krieger & Nathan Mauck & Denghui Chen, 2012. "VIX changes and derivative returns on FOMC meeting days," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(3), pages 315-331, September.
    6. Li, Xiao-Ming, 2011. "How do exchange rates co-move? A study on the currencies of five inflation-targeting countries," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 418-429, February.
    7. Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
    8. Emmanuel Anoruo & Vasudeva N. R. Murthy, 2017. "An examination of the REIT return–implied volatility relation: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 581-594, July.
    9. Cliff R. Moll & Stephen P. Huffman, 2016. "The incremental information content of innovations in implied idiosyncratic volatility," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 33-44, September.
    10. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    11. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
    12. Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
    13. Chengbo Fu, 2018. "Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models," Risks, MDPI, vol. 6(4), pages 1-11, October.
    14. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    15. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    16. Michael McAleer & Chatayan Wiphatthanananthakul, 2010. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," Working Papers in Economics 10/15, University of Canterbury, Department of Economics and Finance.
    17. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany.
    18. Connor J.A. Stuart & Sebastian A. Gehricke & Jin E. Zhang & Xinfeng Ruan, 2021. "Implied volatility smirk in the Australian dollar market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4573-4599, September.
    19. Huang, Teng-Ching & Lin, Bing-Huei & Yang, Tung-Hsiao, 2015. "Herd behavior and idiosyncratic volatility," Journal of Business Research, Elsevier, vol. 68(4), pages 763-770.
    20. Baeho Kim & Da‐Hea Kim & Haehean Park, 2020. "Informed options trading on the implied volatility surface: A cross‐sectional approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 776-803, May.
    21. David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
    22. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    23. Daouk, Hazem & Ng, David, 2011. "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 634-651, September.
    24. Thomas H. Thompson, 2022. "Ex-date variables and DIPO parent returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 553-565, July.
    25. Dalkir, Mehmet, 2009. "Revisiting stock market index correlations," Finance Research Letters, Elsevier, vol. 6(1), pages 23-33, March.
    26. Jianhui Li & Sebastian A. Gehricke & Jin E. Zhang, 2019. "How do US options traders “smirk” on China? Evidence from FXI options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1450-1470, November.
    27. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
    28. Matthijs Breugem & Raffaele Corvino & Roberto Marfe & Lorenzo Schonleber, 2024. "Pandemic Tail Risk," Carlo Alberto Notebooks 714 JEL Classification: C, Collegio Carlo Alberto.
    29. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
    30. Haehean Park & Baeho Kim & Hyeongsop Shim, 2019. "A smiling bear in the equity options market and the cross‐section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1360-1382, November.
    31. Mahsa Ghorbani & Edwin K P Chong, 2020. "Stock price prediction using principal components," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
    32. Peltomäki, Jarkko, 2017. "Beta as a determinant of investor activity in sector exchange-traded funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 137-145.
    33. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
    34. Ederington, Louis H. & Guan, Wei, 2010. "How asymmetric is U.S. stock market volatility?," Journal of Financial Markets, Elsevier, vol. 13(2), pages 225-248, May.
    35. Wiphatthanananthakul, C. & McAleer, M.J., 2008. "A simple expected volatility (SEV) index," Econometric Institute Research Papers EI 2008-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    36. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
    37. Barbara A. Bliss & Jeffrey A. Clark & R. Jared DeLisle, 2018. "Bank risk, financial stress, and bank derivative use," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 804-821, July.
    38. Mixon, Scott, 2009. "Option markets and implied volatility: Past versus present," Journal of Financial Economics, Elsevier, vol. 94(2), pages 171-191, November.
    39. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
    40. Salachas, Evangelos & Kouretas, Georgios P. & Laopodis, Nikiforos T. & Vlamis, Prodromos, 2024. "Stock market spillovers of global risks and hedging opportunities," European Journal of Political Economy, Elsevier, vol. 83(C).
    41. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
    42. Anupam Dutta & Elie Bouri & David Roubaud, 2021. "Modelling the volatility of crude oil returns: Jumps and volatility forecasts," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 889-897, January.
    43. Muhammad Surajo Sanusi, 2017. "Investigating the sources of Black’s leverage effect in oil and gas stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318812-131, January.
    44. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.
    45. Nikolaos Voukelatos, 2010. "The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(21), pages 1627-1638.
    46. Saif Siddiqui & Preeti Roy, 2019. "Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 239-252, September.
    47. URAL, Mert & DEMİRELİ, Erhan, 2018. "Modeling Asymmetric Volatility In The Chicago Board Options Exchange Volatility Index," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(1), pages 20-31.
    48. Maghyereh, Aktham & Abdoh, Hussein & Awartani, Basel, 2022. "Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    49. Yan, Shu, 2011. "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, vol. 99(1), pages 216-233, January.
    50. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    51. Bargeron, Leonce L. & Lehn, Kenneth & Moeller, Sara B. & Schlingemann, Frederik P., 2014. "Disagreement and the informativeness of stock returns: The case of acquisition announcements," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 155-172.
    52. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
    53. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
    54. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    55. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
    56. Jonathan Batten & Brian Lucey & Frank McGroarty & Maurice Peat & Andrew Urquhart, 2017. "Stylized facts of intraday precious metals," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-21, April.
    57. Yang, Zihui & Zhou, Yinggang, 2018. "Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices," IRTG 1792 Discussion Papers 2018-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    58. Mohrschladt, Hannes & Langer, Thomas, 2020. "Biased information weight processing in stock markets," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 89-106.
    59. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
    60. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    61. Mai, Van Anh (Vivian) & Ang, Tze Chuan ‘Chewie’ & Fang, Victor, 2016. "Aggregate volatility risk and the cross-section of stock returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 134-149.
    62. Chira, Inga & Madura, Jeff & Viale, Ariel M., 2013. "Bank exposure to market fear," Journal of Financial Stability, Elsevier, vol. 9(4), pages 451-459.
    63. Huiling Yuan & Yong Zhou & Zhiyuan Zhang & Xiangyu Cui, 2019. "Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility," Papers 1907.02666, arXiv.org.
    64. Mollick, André Varella & Assefa, Tibebe Abebe, 2013. "U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis," Energy Economics, Elsevier, vol. 36(C), pages 1-18.
    65. Chen, Yi-Ling & Wang, Ming-Chun & Lin, Jun-Biao & Huang, Ming-Chih, 2022. "How financial crises affect the relationship between idiosyncratic volatility and stock returns," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 96-113.
    66. Paul Hamalainen & Adrian Pop & Max Hall & Barry Howcroft, 2012. "Did the Market Signal Impending Problems at Northern Rock? An Analysis of Four Financial Instruments," European Financial Management, European Financial Management Association, vol. 18(1), pages 68-87, January.
    67. Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016. "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 182-192.
    68. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
    69. Chen, Mei-Ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2017. "Investor sentiment and country exchange traded funds: Does economic freedom matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 285-299.
    70. Cheuathonghua, Massaporn & Padungsaksawasdi, Chaiyuth, 2024. "The volume-implied volatility relation in financial markets: A behavioral explanation," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    71. Pollastri, Alessandro & Rodrigues, Paulo & Schlag, Christian & Seeger, Norman J., 2023. "A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 322-341.
    72. Alper YILMAZ, 2024. "Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach," Sosyoekonomi Journal, Sosyoekonomi Society, issue 32(60).
    73. Moll, Cliff R. & Huffman, Stephen P., 2016. "The incremental information content of innovations in implied idiosyncratic volatility," Review of Financial Economics, Elsevier, vol. 30(C), pages 33-44.
    74. Anupam Dutta & Debojyoti Das, 2022. "Forecasting realized volatility: New evidence from time‐varying jumps in VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2165-2189, December.
    75. Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2009. "Cross-sectional analysis of risk-neutral skewness," CFR Working Papers 09-11, University of Cologne, Centre for Financial Research (CFR).
    76. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    77. Juan Andres Rodriguez-Nieto & Andre V. Mollick, 2021. "The US financial crisis, market volatility, credit risk and stock returns in the Americas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 225-254, June.
    78. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2019. "Forecasting the KOSPI200 spot volatility using various volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 156-166.
    79. Prasenjit Chakrabarti & K. Kiran Kumar, 2017. "Does behavioural theory explain return-implied volatility relationship? Evidence from India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355521-135, January.
    80. Zhou, Jian, 2016. "A high-frequency analysis of the interactions between REIT return and volatility," Economic Modelling, Elsevier, vol. 56(C), pages 102-108.
    81. Karim, Muhammad Mahmudul & Ali, Md Hakim & Yarovaya, Larisa & Uddin, Md Hamid & Hammoudeh, Shawkat, 2023. "Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    82. Song, Shijia & Li, Handong, 2023. "Is a co-jump in prices a sparse jump?," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    83. Engle, Robert & Mistry, Abhishek, 2014. "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, vol. 182(1), pages 135-144.
    84. Bekiros, Stelios & Jlassi, Mouna & Naoui, Kamel & Uddin, Gazi Salah, 2017. "The asymmetric relationship between returns and implied volatility: Evidence from global stock markets," Journal of Financial Stability, Elsevier, vol. 30(C), pages 156-174.
    85. Ji‐Eun Choi & Dong Wan Shin, 2018. "Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 691-704, September.
    86. Aktham Maghyereh & Hussein Abdoh, 2022. "Can news-based economic sentiment predict bubbles in precious metal markets?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
    87. Ruan, Xinfeng & Zhang, Jin E., 2018. "Risk-neutral moments in the crude oil market," Energy Economics, Elsevier, vol. 72(C), pages 583-600.
    88. Yue, Tian & Gehricke, Sebastian A. & Zhang, Jin E. & Pan, Zheyao, 2021. "The implied volatility smirk in the Chinese equity options market," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    89. Sharma, Shahil & Rodriguez, Ivan, 2019. "The diminishing hedging role of crude oil: Evidence from time varying financialization," Journal of Multinational Financial Management, Elsevier, vol. 52.
    90. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    91. Philippe Masset & Martin Wallmeier, 2010. "A High†Frequency Investigation of the Interaction between Volatility and DAX Returns," European Financial Management, European Financial Management Association, vol. 16(3), pages 327-344, June.
    92. Chen, Xiaoyijing & Liu, Siyuan & Xu, Zailin & Yu, Mei, 2024. "Asymmetry in option implied volatility and yield: Evidence from China's ETF options market11Xiaoyijing Chen, PhD candidate. Research Interests: option pricing, financial derivatives. Siyuan Liu, maste," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    93. Jack J. W. Yang & Chia-Hsing Huang & Chi-Hui Wang, 2013. "Nonlinear Relationships between Taiwan VIX Index and the Intraday Ordering Behavior of Stock Index Options," Business and Management Research, Business and Management Research, Sciedu Press, vol. 2(3), pages 68-80, September.
    94. Stivers, Chris & Sun, Licheng, 2013. "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4226-4240.
    95. Rachel Shields & Samer Ajour El Zein & Neus Vila Brunet, 2021. "An Analysis on the NASDAQ’s Potential for Sustainable Investment Practices during the Financial Shock from COVID-19," Sustainability, MDPI, vol. 13(7), pages 1-20, March.
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  5. Stewart Mayhew & Chris Stivers, 2003. "Stock return dynamics, option volume, and the information content of implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(7), pages 615-646, July.

    Cited by:

    1. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    2. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
    3. Zhi Dong & Tien Foo Sing, 2021. "Do Investors Overreact for Property and Financial Service Sectors?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 79-123, April.
    4. Doojin Ryu & Doowon Ryu & Heejin Yang, 2021. "The impact of net buying pressure on index options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 27-45, January.
    5. J. -H. Chen & C. -Y. Huang, 2010. "An analysis of the spillover effects of exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 42(9), pages 1155-1168.
    6. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    7. Najmi Ismail Murad Samsudin & Azhar Mohamad & Imtiaz Mohammad Sifat & Zarinah Hamid, 2022. "Predictive power of implied volatility of structured call warrants: Evidence from Singapore," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4412-4430, October.
    8. Xiaoxi Liu & Jinming Xie, 2023. "Forecasting swap rate volatility with information from swaptions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 455-479, April.
    9. Stivers, Chris & Sun, Licheng, 2013. "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4226-4240.
    10. Miroslav Mateev & Elena Marinova, 2019. "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 1-26, January.

  6. Dennis, Patrick & Mayhew, Stewart, 2002. "Risk-Neutral Skewness: Evidence from Stock Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 471-493, September.

    Cited by:

    1. Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013. "Market Response to Investor Sentiment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 901-917, September.
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    3. Liu, Qing & Wang, Shouyang & Sui, Cong, 2023. "Risk appetite and option prices: Evidence from the Chinese SSE50 options market," International Review of Financial Analysis, Elsevier, vol. 86(C).
    4. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
    5. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
    6. Andrea Gamba & Alessio Saretto, 2022. "Endogenous Option Pricing," Working Papers 2202, Federal Reserve Bank of Dallas.
    7. Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009. "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 98-112, January.
    8. Ume Habibah & Suresh Rajput & Ranjeeta Sadhwani, 2017. "Stock market return predictability: Google pessimistic sentiments versus fear gauge," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1390897-139, January.
    9. Chan, Kam C. & Cheng, Louis T. W. & Lung, Peter P., 2003. "Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 527-553, September.
    10. Omar Esqueda & Yongli Luo & Dave Jackson, 2015. "The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 541-556, July.
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    Cited by:

    1. Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
    2. Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.
    3. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
    4. Bartram, Sohnke M. & Fehle, Frank, 2007. "Competition without fungibility: Evidence from alternative market structures for derivatives," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 659-677, March.
    5. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
    6. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    7. Hua, Renhai & Liu, Qingfu & Tse, Yiuman, 2016. "Extended trading in Chinese index markets: Informed or uninformed?," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 112-122.
    8. Gunther Capelle-Blancard & Dramane Coulibaly, 2012. "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00854079, HAL.
    9. Asçioglu, Asli & Holowczak, Richard & Louton, David & Saraoglu, Hakan, 2017. "The evolution of market share among the U.S. options market platforms," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 196-214.
    10. Wang, Yun-Yi & Chang, Chiung-Chiao & Lee, Wan-Chen, 2013. "Price discovery between regular and mini index futures in the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 224-237.
    11. Schertler, Andrea, 2016. "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 84-99.
    12. Giovanni Petrella & Reuben Segara, 2013. "The bid--ask spread of bank-issued options: a quantile regression analysis," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1241-1255, July.
    13. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.
    14. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, vol. 18(C), pages 25-48.
    15. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
    16. Anand, Amber & Weaver, Daniel G., 2006. "The value of the specialist: Empirical evidence from the CBOE," Journal of Financial Markets, Elsevier, vol. 9(2), pages 100-118, May.
    17. Davies, Ryan J. & Kim, Sang Soo, 2009. "Using matched samples to test for differences in trade execution costs," Journal of Financial Markets, Elsevier, vol. 12(2), pages 173-202, May.
    18. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
    19. Qianyun Huang & Terrance R. Skantz, 2016. "The informativeness of pro forma and street earnings: an examination of information asymmetry around earnings announcements," Review of Accounting Studies, Springer, vol. 21(1), pages 198-250, March.
    20. Energy Sonono, Masimba & Phillip Mashele, Hopolang, 2016. "Estimation of bid-ask prices for options on LIBOR based instruments," Finance Research Letters, Elsevier, vol. 19(C), pages 33-41.
    21. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
    22. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).
    23. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
    24. Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
    25. Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
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    27. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    28. Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.
    29. Anand, Amber, 2005. "Specialist: The firm or the individual?: Empirical evidence from the options markets," Journal of Economics and Business, Elsevier, vol. 57(6), pages 555-575.
    30. Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
    31. Greppmair, Stefan & Theissen, Erik, 2022. "Small is beautiful? How the introduction of mini futures contracts affects the regular contracts," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 19-38.
    32. Khoury, Nabil & Perrakis, Stylianos & Savor, Marko, 2011. "Competition, interlisting and market structure in options trading," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 104-117, January.
    33. Cakici, Nusret & Goswami, Gautam & Tan, Sinan, 2014. "Options resilience during extreme volatility: Evidence from the market events of May 2010," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 262-274.
    34. Carole Gresse, 2013. "Effects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experience," Post-Print hal-01632517, HAL.
    35. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
    36. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Spoilt for choice: Order routing decisions in fragmented equity markets," CFR Working Papers 16-04, University of Cologne, Centre for Financial Research (CFR).
    37. Carole Gresse, 2011. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print halshs-00641122, HAL.

  8. Huseyin Gulen & Stewart Mayhew, 2000. "Stock index futures trading and volatility in international equity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(7), pages 661-685, August.

    Cited by:

    1. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
    2. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    3. Corbet, Shaen & Lucey, Brian & Peat, Maurice & Vigne, Samuel, 2018. "Bitcoin Futures—What use are they?," Economics Letters, Elsevier, vol. 172(C), pages 23-27.
    4. Ahmed, Walid M.A., 2018. "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 149-161.
    5. Hemantkumar P. Bulsara & Vaishali Samir Dhingra & Shailesh Gandhi, 2015. "Dynamic Interactions between Foreign Institutional Investment Flows and Stock Market Returns – The Case of India," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
    6. Dash, M., 2019. "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 8(3), pages 125-134, September.
    7. Ahmed, Walid M.A., 2019. "Islamic and conventional equity markets: Two sides of the same coin, or not?," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 191-205.
    8. Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2021. "Predictability in commodity markets: Evidence from more than a century," Journal of Commodity Markets, Elsevier, vol. 24(C).
    9. Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011. "Options introduction and volatility in the EU ETS," Resource and Energy Economics, Elsevier, vol. 33(4), pages 855-880.
    10. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    11. Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018. "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 118-131.
    12. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    13. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
    14. Baltussen, Guido & van Bekkum, Sjoerd & Da, Zhi, 2019. "Indexing and stock market serial dependence around the world," Journal of Financial Economics, Elsevier, vol. 132(1), pages 26-48.
    15. Bouri, Elie, 2015. "A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market," Energy Policy, Elsevier, vol. 85(C), pages 271-279.
    16. Kalantzis, Fotis G. & Milonas, Nikolaos T., 2013. "Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany," Energy Economics, Elsevier, vol. 36(C), pages 454-463.
    17. Ismail bin Ahmad & Fahmi bin Abdul Rahim, 2009. "International price relationship and volatility transmission between stock index and stock index futures," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 1(1), pages 61-75, April.
    18. Meenakshi Malhotra & Dinesh Kumar Sharma, 2016. "Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India," Vikalpa: The Journal for Decision Makers, , vol. 41(2), pages 132-148, June.
    19. Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
    20. Elgammal, Mohammed M. & Ahmed, Walid M.A. & Alshami, Abdullah, 2021. "Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 74(C).
    21. Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016. "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 1-16.
    22. Habib Hasnaoui, 2014. "Alternative Beta Risk Estimators in Emerging Markets: The Case of Tunisia," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 2(2), pages 96-105.
    23. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
    24. Greppmair, Stefan & Theissen, Erik, 2019. "Small is beautiful? How the introduction of mini futures contracts affects the regular contract," CFR Working Papers 19-06, University of Cologne, Centre for Financial Research (CFR).
    25. Wu, Ming & Ohk, Ki Yool, 2023. "Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 409-427.
    26. Alex YiHou Huang, 2011. "Volatility forecasting in emerging markets with application of stochastic volatility model," Applied Financial Economics, Taylor & Francis Journals, vol. 21(9), pages 665-681.
    27. Loc Dong Truong & Anh Thi Kim Nguyen & Dut Van Vo, 2021. "Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 353-366, September.
    28. Trabelsi Mnif, Afef, 2017. "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 206-214.
    29. Ashish Kumar, 2015. "Impact of Currency Futures on Volatility in Exchange Rate," Paradigm, , vol. 19(1), pages 95-108, June.
    30. Greppmair, Stefan & Theissen, Erik, 2022. "Small is beautiful? How the introduction of mini futures contracts affects the regular contracts," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 19-38.
    31. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
    32. Frankie Chau & Phil Holmes & Krishna Paudyal, 2008. "The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 227-249, January.
    33. Banerjee, Pradip & Chatrath, Arjun & Christie-David, Rohan & Maitra, Debasish, 2018. "The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets," Global Finance Journal, Elsevier, vol. 35(C), pages 157-169.
    34. Kutan, Ali M. & Shi, Yukun & Wei, Mingzhe & Zhao, Yang, 2018. "Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 183-197.
    35. Gurmeet Singh & Muneer Shaik, 2020. "Re-examining the Expiration Effects of Index Futures: Evidence from India," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 16-23.
    36. Jian Yang & R. Brian Balyeat & David J. Leatham, 2005. "Futures Trading Activity and Commodity Cash Price Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1‐2), pages 297-323, January.
    37. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-04140857, HAL.
    38. Imran Riaz Malik & Attaullah Shah, 2016. "Resumption of Single Stock Futures (SSFs) with Stringent Regulations and their Impact on the Risk Characteristics of the Underlying Stocks," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 8(2), pages 1-22, October.
    39. Lee, Chyi Lin & Stevenson, Simon & Cho, Hyunbum, 2022. "Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence," Journal of International Money and Finance, Elsevier, vol. 127(C).
    40. Gurmeet Singh, 2017. "Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures," Jindal Journal of Business Research, , vol. 6(2), pages 108-131, December.
    41. Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016. "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, vol. 35(C), pages 24-40.

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    Cited by:

    1. Evren Ors & Gordon J. Alexander & Mark A. Peterson & Paul J. Seguin, 2004. "Margin regulation and market quality: a microstructure analysis," Post-Print hal-00460981, HAL.
    2. Pei Peter Lung & Pisun Xu, 2014. "Tipping and Option Trading," Financial Management, Financial Management Association International, vol. 43(3), pages 671-701, September.
    3. Chang, Chuang-Chang & Hsieh, Pei-Fang & Tang, Chih-Wei & Wang, Yaw-Huei, 2013. "The intraday behavior of information misreaction across various categories of investors in the Taiwan options market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 362-385.
    4. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    5. Timothy Cairney & Judith Swisher, 2004. "The Role of the Options Market in the Dissemination of Private Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1015-1042, September.
    6. Chen, Carl R. & Diltz, J. David & Huang, Ying & Lung, Peter P., 2011. "Stock and option market divergence in the presence of noisy information," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2001-2020, August.
    7. Jokivuolle, Esa & Lanne, Markku, 2004. "Trading Nokia: the roles of the Helsinki vs the New York stock exchanges," Bank of Finland Research Discussion Papers 26/2004, Bank of Finland.
    8. Keming Li, 2021. "The effect of option trading," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-32, December.
    9. Benjamin Blau & Tyler Brough, 2015. "Are put-call ratios a substitute for short sales?," Review of Derivatives Research, Springer, vol. 18(1), pages 51-73, April.
    10. Chan, Kam C. & Chang, Yuanchen & Lung, Peter P., 2009. "Informed trading under different market conditions and moneyness: Evidence from TXO options," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 189-208, April.
    11. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    12. C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano, 2016. "The informational role of thin options markets: Empirical evidence from the Spanish case," Estudios de Economia, University of Chile, Department of Economics, vol. 43(2 Year 20), pages 233-263, December.
    13. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, University Library of Munich, Germany.
    14. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
    15. Yangyang Chen & Jeffrey Ng & Xin Yang, 2021. "Talk Less, Learn More: Strategic Disclosure in Response to Managerial Learning from the Options Market," Journal of Accounting Research, Wiley Blackwell, vol. 59(5), pages 1609-1649, December.
    16. Da‐Hea Kim, 2022. "Investment horizon and option market activity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 923-958, May.
    17. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1197-1210.
    18. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
    19. Hu, Conghui & Liu, Yu-Jane & Zhu, Ning, 2019. "De-Leverage and illiquidity contagion," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 1-18.
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    21. Chen, Carl R. & Lung, Peter P. & Tay, Nicholas S. P., 2005. "Information flow between the stock and option markets: Where do informed traders trade?," Review of Financial Economics, Elsevier, vol. 14(1), pages 1-23.
    22. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    23. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc.
    24. Lecce, Steven & Lepone, Andrew & McKenzie, Michael D. & Segara, Reuben, 2012. "The impact of naked short selling on the securities lending and equity market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 81-107.
    25. Siu Kai Choy & Jason Wei, 2023. "Investor Attention and Option Returns," Management Science, INFORMS, vol. 69(8), pages 4845-4863, August.
    26. Charlie Charoenwong & David K. Ding & Ping Wang, 2022. "Market Manipulation around Seasoned Equity Offerings: Evidence Prior to the Global Financial Crisis of 2007–2009," IJFS, MDPI, vol. 10(2), pages 1-27, May.
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