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Investors' net buying pressure and implied volatility dynamics

Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical …

Persistent link: https://www.econbiz.de/10013334805

The impact of investor sentiment on returns, cash flows, discount rates, and performance

Ur Rehman, Muhammad Ateeq - In: Borsa Istanbul Review 22 (2022) 2, pp. 352-362

Investor sentiment is believed to play an increasingly significant role in business and economic activities. By analyzing data collected from a sample of listed nonfinancial firms in Pakistan for the period 2009-2018, we quantify investor behavior and how it affects market returns, cash flows,...

Persistent link: https://www.econbiz.de/10013184296

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488