Change search
Refine search result
1 - 13 of 13
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Rows per page
  • 5
  • 10
  • 20
  • 50
  • 100
  • 250
Sort
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Disputation date (earliest first)
  • Disputation date (latest first)
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Disputation date (earliest first)
  • Disputation date (latest first)
Select
The maximal number of hits you can export is 250. When you want to export more records please use the Create feeds function.
  • 1.
    Ai Jun, Hou
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Lars, Nordén
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    VIX Futures Calendar SpreadsIn: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934Article in journal (Refereed)
  • 2. Balbás, Alejandro
    et al.
    Longarela, Iñaki R.
    Universidad Carlos III, Madrid, Spain.
    Pardo, Ángel
    Integration and arbitrage in the Spanish financial markets: an empirical approach2000In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 20, no 4, p. 321-344Article in journal (Refereed)
    Abstract [en]

    Several authors have introduced different ways to measure integra-tion between financial markets. Most of them are derived from thebasic assumptions about asset prices, like the Law of One Price orthe absence of arbitrage opportunities. Two perfectly integrated mar-kets must give identical prices to identical final payoffs, and a vectorof positive discount factors, common to both markets, must exist. Ifthese properties do not hold, the degree to which they are violatedcan be defined and considered as a measure of integration.

  • 3.
    Hagströmer, Björn
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Henricsson, Richard
    Nordén, Lars L.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Components of the Bid-Ask Spread and Variance: A Unified Approach2016In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 36, no 6, p. 545-563Article in journal (Refereed)
    Abstract [en]

    We develop a structural model for the price formation and liquidity supply of an asset. Ourmodel facilitates decompositions of both the bid–ask spread and the return variance intocomponents related to adverse selection, inventory, and order processing costs. Furthermore,the model shows how the fragmentation of trading volume across trading venues influencesinventory pressure and price discovery. We use the model to analyze intraday price formationfor gold futures traded at the Shanghai Futures Exchange. We find that order processing costsexplain about 50% of the futures bid–ask spread, whereas the remaining 50% is equally due toasymmetric information and to inventory costs. About a third of the variance in futures returnsis attributable to microstructure noise. Trading at the spot market has a significant influence onfutures price discovery, but only a limited impact on the futures bid–ask spread.

  • 4.
    Hagströmer, Björn
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Nordén, Lars
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Closing Call Auctions at the Index Futures Market2014In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 34, no 4, p. 49p. 299-319Article in journal (Refereed)
    Abstract [en]

    We investigate the effects from the introduction of a closing call auction (CCA) at the index futures market. Limit order book models, where trader patience determines trading strategies, predict that a CCA increases trader patience and, hence, improves closing price accuracy and end‐of‐day liquidity. We find that the introduction leads to increased trader patience, improved futures closing price accuracy, unaffected tightness and resiliency, and decreased depth. Decreased depth is likely due to less order fishing activity. With the CCA, opportunistic patient traders’ posting of limit orders deep in the order book, to profit from impatient traders, is no longer feasible.

  • 5.
    Hou, Ai Jun
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Nordén, Lars L.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    VIX futures calendar spreads2018In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 38, no 7, p. 822-838Article in journal (Refereed)
    Abstract [en]

    A VIX futures calendar spread involves buying a futures contract maturing in 1 month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. Speculation, rather than information about changes in the slope of the volatility term structure, is the main driving force behind calendar spread trades. On average, a calendar spread costs a little less than $100 (about 15 basis points). If settled at the end of the trading day, 43% of the calendar spreads are profitable.

  • 6. Huskaj, Bujar
    et al.
    Nordén, Lars L.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Two Order Books are Better than One? Trading At Settlement (TAS) in VIX Futures2015In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 35, no 6, p. 506-521Article in journal (Refereed)
    Abstract [en]

    We examine the effects from the Trading At Settlement (TAS) introduction on VIX futuresmarket quality. We find that the VIX futures market exhibits higher trading activity and betterliquidity after the TAS introduction. VIX futures traders use the TAS limit order book to executelarge transactions, and TAS helps limit order traders from being picked off by informed traderswhen the VIX futures price volatility is high. The TAS introduction has created a highly liquid,low‐cost, trading venue. Although the TAS introduction fragments VIX futures trading into twoorder books, liquidity in the regular order book is not hurt.

  • 7.
    Nordén, Lars
    Stockholm University, Faculty of Social Sciences, School of Business.
    A Brighter Future with Lower Transaction Costs?2009In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 29, p. 331-356Article in journal (Refereed)
    Abstract [en]

    Recently, the OMX Nordic Exchange reduced the exchange fee for trading the OMXS 30 index futures with more than 22%. The reduction in exchange fees provides this study with a unique opportunity to investigate the effects of a change in fixed transaction costs on futures market liquidity, trading activity, volatility, futures pricing efficiency, and the futures exchange’s revenues. The results show a ceteris paribus increase in futures trading volume with 19%, a 27% decrease in futures bid-ask spread, and a 27% increase in volatility, as a result of the futures exchange fee reduction, whereas the pricing efficiency of the futures contract and the exchange’s revenues are unaffected by the change in transaction costs. The exchange fee reduction has improved futures market liquidity at the cost of higher volatility. Moreover, the attractiveness and competitiveness of the futures exchange has increased relative alternative trading venues, without a loss of revenues in the process.

  • 8.
    Nordén, Lars
    Stockholm University, Faculty of Social Sciences, School of Business.
    Does an Index Split Enhance Trading Activity and Hedging Efficiency of the Futures Contract?2006In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 26, p. 1169-1194Article in journal (Refereed)
    Abstract [en]

    Lately, several stock index futures exchanges have experimented with an altered contract design in order to make the contract more attractive and to increase investor accessibility. In 1998, the Swedish futures exchange (OM) split the OMX-index futures contract with a factor 4:1, without altering any other aspect of the futures contract design. This isolated contract redesign enables a ceteris paribus analysis of the effects of a futures split. The purpose is to investigate whether the futures split affects the futures market trading activity, as well as hedging effectiveness and basis risk of the futures contract. A bivariate GARCH framework is used to jointly model stock index returns and changes in the futures basis, and to obtain measures of hedging efficiency and basis risk. Significantly increased hedging efficiency and lower relative basis risk is found following the split. Also, evidence of an increased trading volume is found after the split, whereas the futures bid-ask spread appears to be unaffected by the split. The results are consistent with the idea that the futures split has enhanced trading activity and hedging effectiveness of the futures contract, without raising the costs of transacting at the futures market.

  • 9.
    Nordén, Lars
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business.
    Berchtold, Fredrik
    Stockholm University, Faculty of Social Sciences, School of Business.
    Information Flows and Option Bid-Ask Spreads2005In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 25, p. 1147-1172Article in journal (Refereed)
    Abstract [en]

    This study analyses two types of information flows in financial markets. The first type represents return information, where informed investors know whether the stock price will increase or decrease. The second type is labelled volatility information, where the direction of the stock price is unknown, but informed investors know that the stock price either will increase or decrease. Both information flows are estimated within the GARCH framework, approximated using Swedish OMX stock index and options strangle return shocks respectively. The results show significant conditional stock index and options strangle variance, although with notable differences. Stock index return shocks exhibit a high level of variance persistence and an asymmetric initial impact to the variance. Option strangle shocks have a relatively low persistence level, but a higher and more symmetric initial impact. A time series regression of call and put option bid-ask spreads is performed, relating the spreads to the information flows and other explanatory variables. The results show that call and put option bid-ask spreads are related to stock index and options strangle return shocks, as well as the conditional stock index variance. This is consistent with the view that market makers alter option spreads in response to return and volatility information flows, as well as the conditional stock index variance.

  • 10.
    Nordén, Lars
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business.
    Engström, Malin
    Stockholm University, Faculty of Social Sciences, School of Business.
    Strömberg, Anders
    Early Exercise of American Put Options: Investor Rationality on the Swedish Options Market2000In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 20, p. 167-188Article in journal (Refereed)
    Abstract [en]

    Using Swedish equity option data, this study investigates how well the actual exercise behavior of American put options corresponds to the early exercise rules. The optimal exercise strategy is established in two ways. First, the critical exercise price, above which a put option should be exercised early, is computed and compared to the actual exercise price. Second, the exercise value of the option is compared to its market bid price. The results show that most early exercise decisions conform to rational exercise behavior, even though a large number of failures to exercise are found. Most of the faulty exercises can also be discarded after a sensitivity analysis, although several failures to exercise are considered irrational, even after taking transaction costs into account.

  • 11.
    Nordén, Lars
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Xu, Caihong
    Stockholm University, Faculty of Social Sciences, School of Business, Finance.
    Option Happiness and Liquidity: Is the Dynamics of the Volatility Smirk Affected by Relative Option Liquidity?2012In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 32, no 1, p. 47-74Article in journal (Refereed)
    Abstract [en]

    This study investigates the dynamic relationship between option happiness (the steepness of the volatility smirk) and relative index option liquidity. We find that, on a daily basis, option happiness is significantly dependent on the relative liquidity between option series with different moneyness. In particular, deterioration (improvement) in liquidity of an out-of-the-money put option relative to a concurrent at-the-money call option would lead to higher (lower) option happiness. This relationship is robust to relative option liquidity measures based on bid-ask spreads, option price impacts, and option order book imbalances. The results also show a significant maturity effect in option happiness, consistent with the notion that options are “dying smiling”.

  • 12.
    Xu, Caihong
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Expiration-Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches2014In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 34, no 9, p. 868-882Article in journal (Refereed)
    Abstract [en]

    Recently, the NASDAQ-OMX Nordic Exchange announced a change of expiration day for the OMXS 30 index futures and options. The OMXS 30 index derivatives used to expire on the fourth Friday of the expiry month while derivatives on individual stocks expired on the third Friday. After the change, derivatives on both the index and individual stocks expire on the third Friday of the expiry month making the third Friday the “quadruple witching Friday” since stock futures, stock options, index futures and index options expire simultaneously. This contractual change provides a unique opportunity to investigate its impact on expiration-day effects. The results show that there is hardly any expiration-day effect due to the derivatives expirations before or after the contractual change, except the abnormally higher trading volumes at the stock derivatives expirations before the change, and on the quadruple witching Fridays after the change. Most importantly, there is no significantly intensified abnormal volume, volatility or price distortion effect due to the seemingly “extraordinary” change in the OMXS 30 index derivatives, despite the quadruple witching expirations after the change.

  • 13.
    Xu, Caihong
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Trading patience, order flows and liquidity in an index futures market2014In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 34, no 8, p. 731-756Article in journal (Refereed)
    Abstract [en]

    This study investigates the limit order book characteristics and the intertwined dynamics between trading patience, order flows, and liquidity in an index futures market. The limit order book displays a hump shape and the steepness of the hump is positively related to the number of large market orders. Bid and ask prices tend to move together in the same direction. Moreover, higher proportion of patient traders and higher order arrival rate lead to higher liquidity, after controlling for volatility and the intraday time effect. Liquidity is found to have a feedback effect on trading patience and the order arrival rate. 

1 - 13 of 13
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf