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Keywords:Stock market 

Journal Article
The effect of the \"triple witching hour\" on stock market volatility

Economic Review , Issue Sep , Pages 2-18

Journal Article
F.Y.I. stock market volatility

Economic Review , Issue Nov , Pages 42-47

Journal Article
An introduction to portfolio insurance

Economic Review , Issue Nov , Pages 2-25

Journal Article
More unsettling evidence on the perfect markets hypothesis

Economic Review , Issue Nov , Pages 1-13

Journal Article
The risks and rewards of selling volatility

The popular practice of selling market volatility through selling straddles exposes traders and investors to substantial risk, especially in equity markets. The returns can be very lucrative, but the probability of large negative returns far exceeds the probability of large positive returns. In fact, selling straddles has resulted in substantial losses at banks and hedge funds such as the former Barings PLC and Long Term Capital Management. ; This article outlines the risks and rewards associated with selling volatility by first examining the statistical properties of the returns generated by ...
Economic Review , Volume 86 , Issue Q1 , Pages 31-39

Journal Article
Equity home bias: Can information cost explain the puzzle?

Most stock market investors believe that the ideal equity portfolio should be well diversified to lower overall portfolio risk. International financial markets offer a means for diversification, but most investors do not exploit this risk-sharing opportunity and instead hold large shares of their portfolios in domestic stocks-a tendency called home bias. ; To measure how severe home bias is, the author introduces a method of quantifying it. A simple asset allocation model is used to determine the shadow cost of foreign investment-that is, the perceived annual cost of foreign equity necessary ...
Economic Review , Volume 86 , Issue Q3 , Pages 31-42

Journal Article
The relationship between the S&P 500 index and S&P 500 index futures prices

Economic Review , Issue May , Pages 2-10

Journal Article
Forecasting stock-market volatility using options on index futures

Economic Review , Issue May , Pages 12-30

Journal Article
Do high-tech stocks perform like lottery tickets?

Financial Update , Volume 15 , Issue Oct , Pages 4

Working Paper
Stock market uncertainty and the relation between stock and bond returns

The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied volatility from equity index options to provide an objective, observable, and dynamic measure of stock market uncertainty. The authors find that stock and bond returns tend to move substantially together during periods of lower stock market uncertainty. However, stock and bond returns tend to exhibit little relation or even a negative relation during periods of high stock market uncertainty. The authors? findings have implications for ...
FRB Atlanta Working Paper , Paper 2002-3




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