Using exchange-traded fund (ETF) options data, we examine return predictability of variance risk premium in four commodity markets: crude oil, natural gas, gold and silver. We also analyze return predictability of upside and downside variance risk premiums using a decomposition model conditional...

Given the exponential growth in ETF trading over the past decade, we consider the proposition that trading in ETFs transmits volatility to their largest component stocks and thus to the stock market in general. We find empirical support for this proposition, since volatility spillovers from ETFs...

This article examines the presence of common factors in the evolution of stock option implied volatilities. We analyze the implied volatilities of ETF options and their largest component stocks, and the results strongly suggest the presence of both a market volatility factor and an industry...

AbstractsWe examine how bilateral currency swap arrangements (BSAs) conducted by the People’s Bank of China affects bilateral exchange rate volatility from 2009 to 2019. Applying an intervention analysis based on model-selection approach, we find 21 (16) significant (negative) effects out of...