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Full-Text Articles in Finance and Financial Management
Effects Of Terrorism On The U.S. Stock Market: Evidence From High Frequency Data, Kyla Scanlon
Effects Of Terrorism On The U.S. Stock Market: Evidence From High Frequency Data, Kyla Scanlon
Mahurin Honors College Capstone Experience/Thesis Projects
This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock market, using high frequency intraday data to identify stock price and variability reactions in the hours after the attack. The impact that terrorist attacks had on price level variability was examined using the generalized autoregressive conditional heteroskedasticity (GARCH) model. The market reaction to domestic versus foreign attacks was examined to measure a potential for contagion across financial markets. The potential for flight-to-safety/quality and capital reallocation in response to terrorist attacks were measured using ordinary least squares (OLS) model, measuring the respective betas of small …
Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap
Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap
Research Collection Lee Kong Chian School Of Business
In this paper we employ intraday transaction prices of liquid E-mini S&P 500 index futuresoptions to form 10-minutes ahead risk-neutral skewness forecasts and show profitable optionstrading strategy net of transaction costs. We do not find profitable trading based on 10-minutesahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosisforecasts. The skewness profitability anomaly may be an indication of informational marketinefficiency in intraday S&P 500 futures options markets, which is contrary to findings usinglonger-span daily and weekly moments. Our results lend credence to the persistence of intradaytrading activities in the markets.