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1.
European Journal of Finance ; 2023.
Article in English | Web of Science | ID: covidwho-20242863

ABSTRACT

This paper investigates the dynamics and drivers of informational inefficiency in the Bitcoin futures market. To quantify the adaptive pattern of informational inefficiency, we leverage two groups of statistics which measure long memory and fractal dimension to construct a global-local market inefficiency index. Our findings validate the adaptive market hypothesis, and the global and local inefficiency exhibits different patterns and contributions. Regarding the driving factors of the time-varying inefficiency, our results suggest that trading activity of retailers (hedgers) increases (decreases) informational inefficiency. Compared to hedgers and retailers, the role played by speculators is more likely to be affected by the COVID-19 crisis. Extremely bullish and bearish investor sentiment has more significant impact on the local inefficiency. Arbitrage potential, funding liquidity, and the pandemic exert impacts on the global and local inefficiency differently. No significant evidence is found for market liquidity and policy uncertainty related to cryptocurrency.

2.
Applied Economics Letters ; 2023.
Article in English | Scopus | ID: covidwho-2327221

ABSTRACT

This study is the first to conduct a comprehensive analysis of the price discovery and market liquidity aspects of China's crude oil futures market compared to WTI and Brent. With intraday-day data consolidated into 1-second intervals and three measures of price discovery, we find that China's crude oil futures market reports encouraging signs in terms of price discovery and efficiency, also showing great resilience during the COVID-19 pandemic. The market has obtained a dominant role in price discovery relative to WTI and Brent during its day trading hours, and has almost caught up with Brent in terms of market liquidity. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

3.
The British Accounting Review ; : 101216, 2023.
Article in English | ScienceDirect | ID: covidwho-2316772

ABSTRACT

This study examines the daily short-selling activities in the U.S. market during the early 2020 outbreak of the COVID-19 global pandemic. Our findings indicate firms that are more sensitive to the shock (i.e., with high foreign exposure, low financial or operating flexibility, or high supply-chain exposure) were shorted more heavily. Moreover, short-selling activities during the COVID-19 pandemic, blamed for triggering stock market crashes, were primarily concentrated around overpriced stocks. This finding supports the argument that short selling plays a prominent role in improving price discoveries. Our research provides timely empirical evidence supporting the U.S. Securities and Exchange Commission's (SEC) non-intervention approach in banning short selling in the U.S. market.

4.
Financial Internet Quarterly ; 19(1):1-+, 2023.
Article in English | Web of Science | ID: covidwho-2310323

ABSTRACT

The results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the short-term USD/PLN exchange rate volatility. The following research questions have been posed does the USD/PLN exchange rate react to the published macroeconomic data from the American economy and second could greater USD/PLN exchange rate volatility be observed during the COVID pandemic and has the war in Ukraine impacted the USD/PLN exchange rate volatility. International Foreign Exchange Market is the largest and most dynamically developing financial market in the world. In the globalized world the exchange rates are mainly influenced by economic factors. The most significant economic factors that impact short-term exchange rate volatility are primarily macroeconomic data from the American economy. Therefore in this article the author attempts to analyze macroeconomic data and their impact on short-term USD/PLN exchange rate volatility. Data based on which the research was made is as follows: Consumer Price Index, Non-Farm Payrolls (NFP), Services PMI, Manufacturing PMI, Empire State Manufacturing Index or Retail Sales. The analysis of connections between the publication of macroeconomic data and the reaction of exchange rates was carried out using the linear regression model with GARCH process for the random parameter. Conclusions of this research is exchange rate volatility USD/PLN was higher after publications of the macroeconomic data from Americans economy. The strongest exchange rate reaction was after publication of data regarding inflation, Manufacturing PMI and Retail Sales. In the COVID (1.03.20-14.02.22) period we observed increased USD/PLN exchange rate volatility. Exchange rate volatility was expressly larger in the period of war in Ukraine (15.02.22 - end of experiment).

5.
Heliyon ; 9(3): e14429, 2023 Mar.
Article in English | MEDLINE | ID: covidwho-2282754

ABSTRACT

Stock index futures have been around for more than 12 years in the Chinese market, but there are conflicting viewpoints on the role of Chinese stock index futures in the market. Many crises, including COVID-19, have heightened the financial system's vulnerability and instability. Do China's stock index futures play a role in stabilizing the market and discovering prices in turbulent times? This study employs a combination of VEC, PT, and IS methodologies to investigate the lead-lag relation and price discovery ability of stock index futures markets. By evaluating price interactions in three different scenarios, we reveal that stock index futures play a prominent role in price discovery, particularly in markets with excessive volatility. However, their impact on price discovery is weaker during stable market conditions. To the best of our knowledge, this study is the first to categorize the Chinese stock market into different states, providing valuable insights into the price discovery function of stock index futures. Our findings have important implications for policymakers and investors, as they highlight the need for increased attention to market manipulation and excessive speculation during volatile market conditions to protect the interests of investors.

6.
The Journal of Futures Markets ; 43(3):297-324, 2023.
Article in English | ProQuest Central | ID: covidwho-2237370

ABSTRACT

We examine the price discovery performance of China's crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and nondeliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at the early stage for almost all the deliverable crudes and some nondeliverable crudes. Both the INE crude oil futures price and the spot price significantly contribute to the price discovery process, with substantially time‐varying informational roles. While the price discovery performance was severely damaged around the period of COVID‐19 pandemic shock intensification in China with the temporary cancellation of nighttime trading, it improved to some extent after China started the recovery from the shock. But such improvement deteriorated drastically and disappeared since early 2021. Further analysis reveals that both economic fundamentals (e.g., the warehouse inventory) and trading‐related characteristics of the futures market are significant determinants of the price discovery performance. The overall findings imply that the INE crude oil futures market has evolved into a useful and important information source in pricing Asian crudes, and is on the path to emerge as an Asian benchmark.

7.
Journal of International Commerce Economics and Policy ; 13(01):30, 2022.
Article in English | Web of Science | ID: covidwho-1896069

ABSTRACT

This paper presents how volatility propagates through the cryptocurrency market. Our paper provides evidence for volatility connectedness on cryptocurrencies. The different econometric techniques, including the stochastic volatility (SVOL) model and time-varying parameter VAR models using a quasi-Bayesian local likelihood (QBLL), are applied to measure the volatility of the cryptocurrency market. Using high-frequency, intra-day data of the largest cryptocurrencies over 2018-2021, we detect the great volatility of the cryptocurrency market are the beginning of 2019, the beginning of 2020, and throughout the year of 2021. The total connectedness values suggest that the cryptocurrency market becomes volatile as the new strains of the COVID-19 appear at the end of 2021. However, by using directional connectedness, we reveal that there are negative and positive spillovers from a specific cryptocurrency to other cryptocurrencies. The great fluctuations in the period before the COVID-19 health crisis stem from the positive resonance (symmetric) between the volatility of each cryptocurrency, while this health crisis leads to substantially positive and negative spillovers (asymmetric) of cryptocurrencies, and this makes market volatility weaker than it actually is.

8.
Global Finance Journal ; : 100725, 2022.
Article in English | ScienceDirect | ID: covidwho-1804115

ABSTRACT

We examine the information content of China's Shanghai Stock Exchange (SSE) 50 ETF options introduced in 2015. Trading volume and implied volatilities of calls versus puts differ markedly: trading volume is consistently higher for calls, and implied volatility is higher for puts. Put-call volume and implied volatility ratios are not good predictors of future SSE 50 returns. Implied volatility follows a right-skewed smirk across strike prices, indicating a tendency among option traders to turn bullish and expect the stock market to recover from the June 2015 market crash. The options market dominates the price discovery process, with an average information leadership share of 67%. Our price discovery results persist during the COVID outbreak.

9.
Journal of Risk and Financial Management ; 15(3):105, 2022.
Article in English | ProQuest Central | ID: covidwho-1760734

ABSTRACT

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price stabilization and discovery, while the effect of static VI is limited. The static VI functions similarly to the pre-existing price-limit system;this accounts for its limited incremental benefit.

10.
Indian Journal of Finance ; 16(2):37-50, 2022.
Article in English | Scopus | ID: covidwho-1743050

ABSTRACT

The purpose of this paper was to ascertain the impact of futures prices on market efficiency and price discovery in India in HRITHIK stocks from 2017 – 2020. The paper investigated the impact of futures prices on market efficiency and price discovery in India in HRITHIK stocks from 2017 – 2020. The current study comprised the daily near-month futures and daily spot closing prices of the HRITHIK stocks from January 1, 2017 – December 31, 2020, including the COVID-19 pandemic period. The paper used the vector autoregression (VAR) Engel Granger causality test to test the short-run equilibrium between spot and futures prices and the vector error correction model (VECM) to test for long-run equilibrium. A bi-directional relationship was found among six stocks out of the seven HRITHIK stocks. This confirmed the causal relationship that futures prices have on the spot prices. The VAR Engel Granger causality test indicated that the spot market narrowly led the futures despite a bi-directional flow of information. The results from the VECM model proved that the futures market acted as the dominant market in the long-run. Usually, researchers have leveraged sector-wise stocks to provide insights into the futures market’s function in price discovery. For the first time, HRITHIK stocks were analyzed to examine the cause-and-effect relationship for individual stocks in India’s futures and spot markets. The study considered the pre-COVID 19 and the post-COVID 19 periods and investigated the impact of the pandemic on these stocks. The research used daily closing prices of HRITHIK stocks;however, intraday data could be more conclusive and accurate in revealing the dominant market. © 2022, Associated Management Consultants Pvt. Ltd.. All rights reserved.

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