We derive the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show...

We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory', and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying...

We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...

Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

This study explores whether the technical analysis based on moving average indicator can predict Bitcoin returns during January 2014 and October 2019. First, we find that Bitcoin weekly returns are well predictable by the technical indicator defined as the difference between the log moving...

This study explores the investment behavior of underperforming chief executive officers (CEOs) on merger frequency and the effect on acquirers’ shareholder wealth of merger bids in U.S. industrial firms. We find that underperforming CEOs are more likely to make acquisitions, especially...

This study investigates whether economic policy uncertainty (EPU) affects the degree of Bitcoin dependency in the crypto market by calculating the Pearson correlation between Bitcoin return and the average return of 19 cryptocurrencies to determine the return dependency. The results indicate...

We investigate whether the global economic activity (GEA) index provided by Kilian (2009) can predict the dynamics of the cryptocurrency. First, we find that the lagged two-month GEA index can predict positively the cryptocurrency monthly returns, especially for Bitcoin. It implies that the...

This paper investigates whether the change of crypto-trading volume can affect the occurrence of terror attacks. We find that an increase in the Bitcoin and Ethereum trading volume is related to the higher probability of the occurrence of terror attacks while other main cryptocurrencies have no...

This paper investigates whether partisan conflict can predict the cryptocurrency return and volatility. First, we find that the change rate of the partisan conflict can predict positively (negatively) the cryptocurrency return (volatility), Bitcoin in particular. Moreover, the findings still...