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Testing the information-based trading hypothesis in the option market : evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the … research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that …

Persistent link: https://www.econbiz.de/10012171287

Price discovery for options

Malamud, Semyon; Tseng, Michael; Zhang, Yuan - 2020

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …

Persistent link: https://www.econbiz.de/10012271186

Relationship between gold and stock markets during the global financial crisis : evidence from nonlinear causality tests

Choudhry, Taufiq; Ul Hassan, Syed Shabi; Shabi, Sarosh - In: International review of financial analysis 41 (2015), pp. 247-256

Persistent link: https://www.econbiz.de/10011508942

Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - 2010

of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …

Persistent link: https://www.econbiz.de/10011524072

Oil and the short-term predictability of stock return volatility

Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104

Persistent link: https://www.econbiz.de/10012103481

Stock volatility, return jumps and uncertainty shocks during the Great Depression

Mathy, Gabriel P. - In: Financial history review 23 (2016) 2, pp. 165-192

Persistent link: https://www.econbiz.de/10011585594

Leverage and asymmetric volatility : the firm-level evidence

Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - In: Journal of empirical finance 38 (2016), pp. 1-21

Persistent link: https://www.econbiz.de/10011663127

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

Investor following and volatility : a GARCH approach

Aouadi, Amal; Arouri, Mohamed; Teulon, Frédéric - In: The journal of applied business research 31 (2015) 3, pp. 765-779

Persistent link: https://www.econbiz.de/10011304823

Stock market activity and Google Trends : the case of a developing economy

Vinh Xuan Bui; Hang Thu Nguyen - In: Journal of economics and development : JED 21 (2019) 2, pp. 191-212

Persistent link: https://www.econbiz.de/10012241901