Search Results - "Tourani Rad, Alireza"

Volatility‐of‐volatility risk in the crude oil market by Roh, Tai‐Yong, Tourani‐Rad, Alireza, Xu, Yahua, Zhao, Yang

“…This paper examines the role of oil volatility‐of‐volatility (VOV) risk under a stochastic VOV framework. We show that oil VOV is a significant pricing factor…”
Get full text

Surprise and dispersion: informational impact of USDA announcements by Fernandez‐Perez, Adrian, Frijns, Bart, Indriawan, Ivan, Tourani‐Rad, Alireza

“…We examine the role of information asymmetry on changes in bid‐ask spreads during major United States Department of Agriculture (USDA) announcements. Our…”
Get full text

Quote dynamics of cross‐listed stocks by Frijns, Bart, Indriawan, Ivan, Tourani‐Rad, Alireza

“…We develop a model to assess the quote dynamics of stocks listed in multiple markets. This model allows us to explain the price formation mechanism and the…”
Get full text

Short‐sellers at home and abroad: Their respective roles in the price discovery of cross‐listed firms by Chen, Jun, Tourani‐Rad, Alireza, Xiang, Ju, Yang, Ting

“…We examine the respective role of short selling in both the home and the host market in the price discovery of mainland Chinese firms cross‐listed in Hong…”
Get full text

Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices by Badshah, Ihsan Ullah, Frijns, Bart, Tourani-Rad, Alireza

“…This paper examines the contemporaneous spill‐over effects among the implied volatility indices for stocks (VIX), gold (GVZ), and the exchange rate (EVZ)…”
Get full text

The information content of implied volatility: Evidence from Australia by Frijns, Bart, Tallau, Christian, Tourani-Rad, Alireza

“…This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is…”
Get full text

Is corporate governance relevant during the financial crisis? by Gupta, Kartick, Krishnamurti, Chandrasekhar, Tourani-Rad, Alireza

“…► We examine the impact of internal corporate governance on firm performance during the global financial crisis. ► Well-governed firms in developed markets do…”
Get full text

Determinants of intraday price discovery in VIX exchange traded notes by Fernandez‐Perez, Adrian, Frijns, Bart, Gafiatullina, Ilnara, Tourani‐Rad, Alireza

“…This study investigates the intraday price discovery of the VIX short‐term futures ETN (VXX) and inverse VIX short‐term ETN (XIV) for the period January 3,…”
Get full text

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets by Frijns, Bart, Indriawan, Ivan, Tourani‐Rad, Alireza, Tse, Yiuman

“…We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns…”
Get full text

Properties and the predictive power of implied volatility in the New Zealand dairy market by Fernandez‐Perez, Adrian, Frijns, Bart, Gafiatullina, Ilnara, Tourani‐Rad, Alireza

“…This study develops a dairy implied volatility index (DVIX), derived from New Zealand Exchange traded options on whole milk powder (WMP) futures. We document…”
Get full text

The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand by Frijns, Bart, Gilbert, Aaron, Tourani-Rad, Alireza

“…This paper studies the dynamics of price discovery for markets with bilateral cross-listings. Using a sample of four Australian stocks cross-listed in New…”
Get full text

Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures by Fernandez‐Perez, Adrian, Frijns, Bart, Tourani‐Rad, Alireza, Webb, Robert I.

“…We examine the impact of the introduction of VIX exchange‐traded products (ETPs) on the information content and pricing efficiency of VIX futures. We document…”
Get full text

The impact of corporate governance on corporate performance: Evidence from Japan by Bauer, Rob, Frijns, Bart, Otten, Rogér, Tourani-Rad, Alireza

“…Employing a unique data set provided by Governance Metrics International, which rates firms using six different corporate governance dimensions, we analyze…”
Get full text

Do Criminal Sanctions Deter Insider Trading? by Frijns, Bart, Gilbert, Aaron, Tourani-Rad, Alireza

“…Many developed markets have taken what appears to be a tough stance on illegal insider trading through the use of criminal sanctions. Although criminal…”
Get full text

Uncertainty avoidance, risk tolerance and corporate takeover decisions by Frijns, Bart, Gilbert, Aaron, Lehnert, Thorsten, Tourani-Rad, Alireza

“…► We establish a link between culture, risk tolerance and takeovers. ► Culture affects the risk tolerance of a CEO and affects takeover premia. ► The cultural…”
Get full text

Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs by Tourani-Rad, Alireza, Gilbert, Aaron, Chen, Jun

“…We investigate the informational risk and price efficiency of Chinese firms undertaking a foreign IPO on the Hong Kong stock exchange between 1996 and 2012…”
Get full text

INSIDER TRADING, REGULATION, AND THE COMPONENTS OF THE BID-ASK SPREAD by Frijns, Bart, Gilbert, Aaron, Tourani-Rad, Alireza

“…In this article we investigate the relation between insider trading regulations and the bid–ask spread. We decompose the spread into its components before and…”
Get full text

On the Intraday Relation Between the VIX and its Futures by Frijns, Bart, Tourani-Rad, Alireza, Webb, Robert I.

“…We study the intraday dynamics of the VIX and VIX futures for the period January 2, 2008 to December 31, 2014. Considering first the results of a Vector…”
Get full text

OIL VOLATILITY-OF-VOLATILITY AND TAIL RISK OF COMMODITIES by Xu, Yahua, Tourani-Rad, Alireza, Roh, Tai-Yong

“…We examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on…”
Get full text

PROFESSOR ROBERT I. WEBB’S CONTRIBUTIONS TO THE FIELD OF DERIVATIVES by Frijns, Bart, Tourani-Rad, Alireza

“…It is a great pleasure to publish this special issue dedicated to Professor Robert I. Webb for his outstanding contributions to academia. Professor Web, the…”
Get full text