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dc.contributor.authorCorbet, Shaen
dc.contributor.authorTwomey, Cian
dc.date.accessioned2015-07-28T09:21:16Z
dc.date.available2015-07-28T09:21:16Z
dc.date.issued2014
dc.identifier.citationCorbet, S. and Twomey, C. (2014) 'How Have Contracts for Difference Affected Irish Equity Market Volatility?'. The Economic And Social Review, 45 (4):559-577.en_US
dc.identifier.urihttp://www.esr.ie/article/view/230
dc.identifier.urihttp://hdl.handle.net/10379/5123
dc.description.abstractContracts for Difference (CFDs) have existed for less than twenty years and the markethas grown significantly up to the period before the recent international crises. This paper presentsan analysis of how CFDs have affected equity market volatility in Ireland. EGARCH models areused to uncover volatility changes in the periods before and after the introduction of the newtrading product in Ireland. We find that CFDs appear to have lowered asset-specific volatilityacross the majority of equities traded on the Irish Stock Exchange. These findings do notcorrespond to the expected volatility increase associated with leveraged products that are closelyassociated with high frequency trading. Our empirical analysis suggests that CFDs are having analternative volatility reducing effect through the presence of bid and ask price overhangs thatare generated through the hedging practices of CFD brokers. A fully worked example of thedevelopment of an overhang is provided.en_US
dc.formatapplication/pdfen_US
dc.language.isoenen_US
dc.publisherThe Economic and Social Reviewen_US
dc.relation.ispartofThe Economic And Social Reviewen
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Ireland
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/3.0/ie/
dc.subjectContracts for differenceen_US
dc.subjectVolatilityen_US
dc.subjectCFDen_US
dc.subjectIrish equity marketsen_US
dc.titleHow have contracts for difference affected Irish equity market volatility?en_US
dc.typeArticleen_US
dc.date.updated2015-05-07T10:22:55Z
dc.local.publishedsourcehttp://www.esr.ie/article/view/230/99en_US
dc.description.peer-reviewedpeer-reviewed
dc.contributor.funder|~|
dc.internal.rssid8730687
dc.local.contactCian Twomey, Dept. Of Economics, First Floor, St. Anthony'S, Nui Galway. 3121 Email: cian.twomey@nuigalway.ie
dc.local.copyrightcheckedYes
dc.local.versionPUBLISHED
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Attribution-NonCommercial-NoDerivs 3.0 Ireland
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Ireland