Business Cycles and Net Buying Pressure in the S&amp;P 500 Futures Options

Chan, Kam C.; Chen, Carl R.; Lung, Peter P.

doi:10.1111/j.1468-036x.2008.00477.x

Cited by 5 publications

(4 citation statements)

References 34 publications

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“…The concept of NBP is borrowed from the option market literature [see for example, Bollen and Whaley () and Chan et al. (2010b)]. Bollen and Whaley () suggest that changes in implied volatility of options contracts are associated with NBP from public order flow while Chan et al.…”

Section: Hypotheses Data and Research Methodsmentioning

confidence: 99%

“…The concept of NBP is borrowed from the option market literature [see for example, Bollen and Whaley (2004) 27 and Chan et al (2010b)]. Bollen and Whaley (2004) suggest that changes in implied volatility of options contracts are associated with NBP from public order flow while Chan et al (2010b) find that NBP of puts in the S&P 500 future options market exhibit a counter-cyclical pattern where more intense buying pressure is detected during market contractions. We apply a similar concept in the context of our analysis to investigate the NBP at the initial and final announcement dates of share buybacks.…”

Section: Research Methods I Abnormal Returns and Abnormal Volumesmentioning

confidence: 99%

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Off‐Market Buybacks in Australia: Evidence of Abnormal Trading around Key Dates

Yong

Brown

2014

Int Rev Finance

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Off-market share buybacks in Australia are often structured with the buyback price comprising a large dividend component (which may carry imputation tax credits) and a small capital component. This unique structure has the consequence that institutions on low tax rates stand to benefit most from selling shares into the buyback. In this article, we explore evidence of abnormal trading activities around key dates in the conduct of off-market buybacks and investigate the drivers of these activities. We find evidence of abnormal trading activities around the initial announcement and the final announcement dates of the buyback. The significant differences in abnormal volumes between the buybacks with and without imputation tax credits highlight the importance of tax motivations in explaining abnormal trading activities in the shares of companies conducting off-market buybacks, and are consistent with observed buying pressure around the announcement of the buyback.

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Section: Hypotheses Data and Research Methodsmentioning

confidence: 99%

Section: Research Methods I Abnormal Returns and Abnormal Volumesmentioning

confidence: 99%

Off‐Market Buybacks in Australia: Evidence of Abnormal Trading around Key Dates

Yong

Brown

2014

Int Rev Finance

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“…Chan et al . () suggest the trading profits for selling options are higher during economic contraction periods than during expansion periods. Call options .…”

Section: Pricing Of Regulatory Riskmentioning

confidence: 99%

Infrastructure: Real Assets and Real Returns

Bird

Liem

Thorp

2012

Euro Fin Management

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Little empirical work has been done on infrastructure as an asset class despite increased allocations by institutional investors. We build a robust factor model of infrastructure returns using US and Australian infrastructure and utility data to test manager claims that infrastructure investments offer benefits via a combination of monopolistic and defensive assets. We find evidence of excess returns and inflation hedging, but not of defensive characteristics. We compare option‐based models designed to replicate infrastructure asset returns, and identify the regulatory risk premium. A combination of inflation linked bonds and covered call strategies results in improved defensive and inflation hedging characteristics.

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“…Chan et al . () find that the net buying pressure of Standard & Poor's 500 futures options exhibits cyclical behaviour.…”

mentioning

confidence: 97%

Time‐Varying World and Regional Integration in Emerging European Equity Markets

Wang

Shih

2011

Euro Fin Management

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This study investigates time-varying world and regional integration in emerging European markets. Categorising global and regional effects into return and volatility spillovers, we also examine the impact of time variation in these spillover effects based on the conditions of economic growth. Our results show that growth and currency depreciation can predict the degree of integration and spillover effects for these markets. The impact of growth on the level of regional integration is greater in countries with floating exchange rate regimes than in those with exchange controls. The world effect on European returns is stronger when the developed European region is in a recession. However, regional effects on the volatility of emerging European markets are greater during faster growth or weaker than expected economic growth.

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Business Cycles and Net Buying Pressure in the S&P 500 Futures Options

Cited by 5 publications

References 34 publications

Off‐Market Buybacks in Australia: Evidence of Abnormal Trading around Key Dates

Off‐Market Buybacks in Australia: Evidence of Abnormal Trading around Key Dates

Infrastructure: Real Assets and Real Returns

Time‐Varying World and Regional Integration in Emerging European Equity Markets

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