Showing 1 - 10 of 115
This is the first study to examine the intraday price discovery and volatility transmission processes between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we found that China's CSI 300 index futures...
Persistent link: https://www.econbiz.de/10013108922
A number of studies on the S&P 500 index options market claim that the no arbitrage assumption cannot be rejected for this market because either the martingale restriction defined in Longstaff (1995) cannot be rejected by the data, or, even when it is rejected, a large proportion of the...
Persistent link: https://www.econbiz.de/10013108919
<section xml:id="fut21653-sec-0001"> We develop the Nelson–Siegel model in the context of option‐implied volatility term structure and study the time series of volatility components. Three components, corresponding to the level, slope, and curvature of the volatility term structure, can be interpreted as the long‐,...</section>
Persistent link: https://www.econbiz.de/10011006078
We investigate the out-of-sample predictability of implied volatility using the information over the implied volatility surface. We show that implied volatility surface is useful for the out-of -sample forecast of implied volatility up to one week ahead. Trading strategies based on the...
Persistent link: https://www.econbiz.de/10012936292
We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and American options markets form a separate contemporary...
Persistent link: https://www.econbiz.de/10013234005
This paper investigates the effect of introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao et al. 2011) to construct counterfactuals of the spot market volatility, based mainly on...
Persistent link: https://www.econbiz.de/10013083315
Using a difference-in-difference approach, we find that restrictions placed on CSI 300 and CSI 500 index futures trading during the recent Chinese stock market crisis deteriorated spot market quality. This is more so for the September trade restriction. Our results can be explained by the sudden...
Persistent link: https://www.econbiz.de/10012987254
This paper studies the macroeconomic determinants of the term structures of Treasury yields, corporate bond credit spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions, inflation, real output, and financial market...
Persistent link: https://www.econbiz.de/10012896270
We investigate whether firm fundamentals can explain the shape of option implied volatility (IV)curve. Extending Geske's (1977) compound option model, we link firm fundamentals to the IV curvetheoretically. Using options on all available US-listed companies, we find empirically that...
Persistent link: https://www.econbiz.de/10013249005
We document empirically that firm fundamentals have explanatory power on the shape of the option implied volatility (IV) curve that is both economically and statistically significant. We find further that, after accounting for fundamentals, the associated IV process can generate overreaction in...
Persistent link: https://www.econbiz.de/10013404585