The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan
| Autor: | Ming-Chun Wang, Chia-Ying Chan, Hong-Min Chen, Christian de Peretti |
|---|---|
| Přispěvatelé: | Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon |
| Rok vydání: | 2017 |
| Předmět: |
040101 forestry
050208 finance Financial economics media_common.quotation_subject 05 social sciences Volatility spillover 04 agricultural and veterinary sciences Implied volatility [SHS.ECO]Humanities and Social Sciences/Economics and Finance Volatility risk premium Volatility swap Cash 0502 economics and business Volatility smile Forward volatility Economics 0401 agriculture forestry and fisheries Volatility (finance) ComputingMilieux_MISCELLANEOUS Finance media_common |
| Zdroj: | Asia-Pacific Journal of Financial Studies Asia-Pacific Journal of Financial Studies, 2017, 46 (5), pp.700-733. ⟨10.1111/ajfs.12185⟩ |
| ISSN: | 2041-9945 |
| DOI: | 10.1111/ajfs.12185 |
| Popis: | This study examines the volatility spillover effect among five index options and their underlying markets. Results show that the bidirectional volatility spillover effect and the cross-market leverage effect exist between index options and their underlying markets. Our findings confirm that the volatility spillover effect is generally outweighed by shocks in the underlying market, and that the options implied price volatility is provoked by the information shock occurring in both the cash and options markets to a higher degree. Through the volatility impulse response function, this study shows that the options implied prices are more sensitive to innovations in both markets. |
| Databáze: | OpenAIRE |
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