We investigate the impact of information trading on predicting variation of implied volatility. First, we find that … informed traders do trade in the index options market. The predicting biases of implied volatilities on the realized volatility … with the predicting variations in implied volatilities. Moreover, the difference between realized and implied volatility …

The implied volatility of any stock market can be used in order to measure the future expectations of risk and returns … great importance to examine the implied volatility of the Greek stock market and measure its' relevance with the implied … volatility of the German stock market. The reason that these stock markets have been selected relies on the fact that the German …

volatility and investment horizon. The empirical PKs turn out to be U-shaped for short-dated instruments and W-shaped for long …

The information content of option implied volatility and realized volatility under market imperfections are studied in … the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most … studies, we find that the Taiwan implied volatility index (TVIX) calculated from the TAIEX option prices contains most of the …

premium. Volatility decreases the options-leverage of equity, which decreases expected return. At the same time, volatility … increases value for equities with options features and, thus, it increases market/book. Because volatility has opposite impacts …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …