References of "Bekkour, Lamia 50000706"
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See detailCDS Contracts versus Put Options: A robust relationship?
Bekkour, Lamia UL; Lehnert, Thorsten UL; Desimone, Francisco Nadal et al

E-print/Working paper (2014)

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Lehnert, Thorsten UL; Bekkour, Lamia UL

in Journal of Risk Finance (2014), 15(5),

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See detailGriechenland und die Euro-Stabilität,
Bekkour, Lamia UL; Rasmouki, Fanou UL

Diverse speeches and writings (2012)

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL

Scientific Conference (2012)

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See detailThe Relative Informational Efficiency of Stocks
Bekkour, Lamia UL

Scientific Conference (2012)

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Peer Reviewed
See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL

Scientific Conference (2012)

Detailed reference viewed: 26 (2 UL)
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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; Lehnert, Thorsten UL; Chiara Amadori, Maria

E-print/Working paper (2011)

Detailed reference viewed: 27 (1 UL)
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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; Lehnert, Thorsten UL; Amadori, Maria Chiara

E-print/Working paper (2011)

Detailed reference viewed: 28 (2 UL)
See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; MARIA CHIARA, AMADORI; Lehnert, Thorsten UL

Scientific Conference (2011)

In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex ... [more ▼]

In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex-planatory power of the unique information contained in each market with respect to future stock, CDS and option market movements. A lead-lag relation is found between the CDS market and the other markets, in which changes in CDS spreads are able to consistently forecast changes in stock prices and equity options’ implied volatilities pointing out how the fast growing CDS market seems to play a special role in the price discovery process. Moreover, in contrast to US results, the stock market is found to forecast changes in the other two markets suggesting that investors also prefer stock market involvement to exploit their information advantages and then move to CDS and option markets. Interestingly, those patterns have only emerged during the recent financial crisis, while before the crisis the option market was found to be of major importance in the price discovery process. [less ▲]

Detailed reference viewed: 53 (9 UL)