Guozhou, Li; Gan, Christopher; Treepongkaruna, Sirimon - In: The International Journal of Business and Finance Research 3 (2009) 1, pp. 103-118
This paper examines the impact of net buying pressure and the event of 9/11 on the implied volatility of the U.K. FTSE 100 (Financial Times and the London Stock Exchange) index options. Our findings indicate that when effects such as financial leverage, information flow and mean reversion are...
