Ismail, Najmi; Mohamad, Azhar; Sifat, Imtiaz; Hamid, Zarinah - 2021
This paper examines the information content of implied volatility of structured call warrant in the Singapore Stock Exchange (SGX). The study is the first to examine implied volatility of equity options (structured warrants) outside the US. Using a daily dataset for 252 trading days for a period...