Effects of commodity exchange-traded note introductions: Adjustment for seasonality

Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras

“…Thus, crude oil futures looses the commonly observed seasonal pattern in volatility and acts more like a financial asset. Our findings is similar to Yu and Ryu (2020) only difference is that mentioned paper focuses on effect of ETN's announcement on volatility of seasonal component. Overall we can say that financialisation weakens the seasonal pattern in volatility of crude oil futures.…”

“…Apart from these two methods, Weron (2014) indicates the use of the wavelets method for seasonality. Yu and Ryu (2020) use the filtering method of Hodrick and Prescott (1997) to decompose raw futures price data into four components: trend, seasonal, cyclical and irrational while assessing the impact of exchange-traded note (ETN) introduction on the underlying commodity futures market.…”

Informed options trading around holidays

“…In complete markets with perfect information, options contracts serve strictly as derivatives of underlying assets, and the pricing process flows unidirectionally from the underlying asset to its derivatives. However, in reality, financial markets are often incomplete, and investors should make trading decisions in the context of information asymmetry and market frictions (Aliprantis & Tourky, 2002; Figlewski & Webb, 1993; Ross, 1976; Yu & Ryu, 2020). In real‐world markets, options pricing and trading significantly impact the underlying market dynamics, and informed options trading ahead of spot trading, in particular, shapes the underlying market's price discovery process and enhances market efficiency.…”