کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085402 | 1477957 | 2006 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Intra-night trading behaviour of Australian treasury-bond futures overnight options
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The trading behaviour of Intra-night options, introduced on the Sydney Futures market in 1993, is investigated. These options on bond futures trade during the night and last for a single session; hence they differ markedly from conventional options. Little is known about their trading behaviour. The bid-ask, volume and volatility patterns for overnight options on 3-year and 10-year T-bond futures are investigated. US macroeconomic announcements affect Australian bond prices and the impact of these announcements is also investigated. The results show that overnight options do not necessarily conform to patterns exhibited by conventional options.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 15, Issues 4â5, 2006, Pages 415-433
Journal: International Review of Financial Analysis - Volume 15, Issues 4â5, 2006, Pages 415-433
نویسندگان
Liping Zou, Lawrence C. Rose, John F. Pinfold,