Implied Volatility and Information Risk
| Autor: | Chien-Hsi Lin, 林見曦 |
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| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 We link volatility and information asymmetry, and designed to fill the gap between them by empirical evidence of implied volatility and stock price jump. Many previous papers indicate that implied volatility have good predictive power to know the volatility in the future. Implied volatility is not only a forward-looking measurement of future volatility, but also a trading behavior of informed traders. Informed trading is always a huge trading which may strong enough to cause price jump. Our major research is to confirm that implied volatility has predictive direction of price jump in near future. Information asymmetry cause informed traders trading in option market and lead future volatility because they make price jump in the future. The major methodology we used is multiple regressions and dependent sorting. In empirical result, informed traders use information advantage to do large trade, and then cause price jump just only during expansion. In addition, informed traders already lead equilibrium stock price when information risk is high, so there have lower price jump when large informed trading involve. Therefore, business cycle and information risk are important factors that make the informed traders and uninformed traders have different trading behavior. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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