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in creator/contributor: "MacDonald, Donald"  
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Empirical Evidence of Pricing Efficiency in Niche Markets

Description: Unique and proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected unexpected economic information. The 1Y NC 3M swaption premiums also followed the European one-year into three-month (1Y into 3M) swaption volatilities. Swaption premiums were computed by pricing non-optio… more
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Date: May 2000
Creator: Koch, Sandra Idelle
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
open access

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Description: When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the ind… more
Date: December 2007
Creator: Lin, Cheng-I Eric
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
open access

Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.

Description: This study attempts to resolve two important issues. First, it investigates the diversification benefit of crude oil for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change shareholders' wealth. With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In contrast with pr… more
Date: December 2007
Creator: Xu, He
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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