This study investigates the impact of idiosyncratic volatility on investment behavior of market participants in Taiwan equity market. Empirical results show that herd behavior exists in this equity market, and herding shows distinct patterns under various portfolios according to idiosyncratic...

In this paper, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follows. First, we find that the ability of...

This study investigates the long-memory property and the fractionally cointegration between absolute changes in observed stock prices and implied stock prices from option pricing model. We find a stylized fact that absolute price movements in stock and option markets are characterized by long...