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E5: Risk Management
Time:
Saturday, 20/Sept/2025:
11:00am - 12:30pm
Session Chair: Elissa Ana Maria Iorgulescu
Location: Building 3, Room F 009
Presentations
11:00am - 11:30am From Silicon Valleys to Risky Peaks: the Impact of Tech Mergers on the Risk Commonality in US Capital Markets
Valeriya Dinger, Peter Grundke, Kai Rohde, Gerrit Wittke
Osnabrueck University, Germany
Discussant: Elissa Ana Maria Iorgulescu (University of Münster)
This paper examines whether mergers in the tech sector increase the co-movement of tech firm returns with the broader market. Drawing parallels to banks, we argue that tech firms can become systemically important by engaging in mergers. Using a stacked DID approach on 1,319 NASDAQ tech firms (2010–2023), we measure return co-movement using risk commonality measures. On average, we find no effect of mergers on risk commonality. However, large mergers raise risk commonality in periods of low merger activity, and rival firms also exhibit increased risk commonality during merger waves, suggesting a free-rider effect.
11:30am - 12:00pm Does options trading matter for risk management? Insights from the 1936 options ban on US futures markets
Elissa Ana Maria Iorgulescu , Fiona F. Hoellmann
University of Münster, Germany
Discussant: Gerrit Wittke (Osnabrueck University)
This paper investigates the impact of options trading on price volatility and hedging effectiveness in grain futures markets by analyzing the 1936 ban on commodity options trading in the United States. Utilizing newly collected data for wheat and corn futures from Chicago and London (1934-1939), we employ a difference-in-differences approach to compare treated (Chicago) and control (London) markets. Our findings show that active options trading is associated with reduced price volatility and improved hedging effectiveness in futures markets. Following the 1936 ban, Chicago futures experienced a significant but temporary short-term increase in volatility and a decline in hedging effectiveness, highlighting the important role of options trading in risk management, stabilizing futures markets and facilitating efficient information transmission.
