Search for dissertations about: "index futures market"

Showing result 1 - 5 of 6 swedish dissertations containing the words index futures market.

  2. 1. Essays on Market Design and Market Quality

    Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

    Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

  4. 2. Essays on Derivatives and Liquidity

    Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

    Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

  5. 3. Essays on Financial Markets

    Author : Hans Byström; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE

  6. 4. Empirical essays on financial markets, firms, and derivatives

    Author : Niclas Hagelin; Ingrid M. Werner; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial markets; Stock markets; Future markets; Options; Derivates; Hedging; Derivathandel; Business studies; Företagsekonomi; Business Administration; företagsekonomi;

    Abstract : This thesis consists of five self-contained studies. The first three investigate the impact of derivatives on the markets for the underlying assets, while the other two examine how and why firms use derivatives. A summary of each of the five studies follows. READ MORE

  7. 5. Essays on stochastic volatility

    Author : Marcus Nossman; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Abstract : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. READ MORE