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Net buying pressure and informed trading in the options market : evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

Persistent link: https://www.econbiz.de/10012818141

External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices

Sultonov, Mirzosaid - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …

Persistent link: https://www.econbiz.de/10012797403

Measuring the impacts of Argentina's presidential election process in 2023 on the stock market performance using a dynamic event study methodology

Sandoval Álamos, Eduardo Enrique; Mac-Kay, Claudio … - In: Risks : open access journal 13 (2025) 1, pp. 1-27

This study measured the individual and conjoint effects of Argentina's primaries and first- and second-voting presidential election results, as well as their post-election comparative effects, on the stock market performance of its most relevant economic sectors. Within four different estimation...

Persistent link: https://www.econbiz.de/10015331104

Option volume and stock returns : evidence from single stock options on the Korea Exchange

Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies : … 29 (2021) 4, pp. 280-300

Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine...

Persistent link: https://www.econbiz.de/10012658766

Operating cost flexibility and implications for stock returns

Taussig, Roi D. - In: Risks : open access journal 12 (2024) 10, pp. 1-7

This study suggests a new measure for a firm's operating cost flexibility. Flexible firms are less risky and, therefore, require lower stock returns. This analysis of 126,202 firm-year observations from the U.S. cross-section of stock returns finds that the new measure explains a negative...

Persistent link: https://www.econbiz.de/10015130522

Whose option ratios contain information about future stock prices?

Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies : … 32 (2024) 1, pp. 58-81

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...

Persistent link: https://www.econbiz.de/10014497179

Modifications on book-valued ratios

Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37

Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

Persistent link: https://www.econbiz.de/10014281276

The impact of COVID-19 on stock market returns & volatility : a study of Thailand and Indian bourses

Jindal, Nisha; Gupta, Ravi Kumar - In: Thailand and the world economy 40 (2022) 2, pp. 145-167

volatility of Thailand and Indian Stock Market. It also analysed whether both countries were reacting similarly to the pandemic … models were used to assess the volatility of both markets. The study revealed that the negative shocks had greateraimpact on …

Persistent link: https://www.econbiz.de/10013349217

Investors' net buying pressure and implied volatility dynamics

Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical … institutions' net demand is the most informative about the underlying market volatility independent of the market reform, while …

Persistent link: https://www.econbiz.de/10013334805

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

Persistent link: https://www.econbiz.de/10013334825