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The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Ederington, Louis H.; Guan, Wei - In: Journal of Banking & Finance 37 (2013) 9, pp. 3388-3400
all, of the variations in excess kurtosis and multi-period skewness across different markets. …
Persistent link: https://www.econbiz.de/10010682608
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US presidential elections and implied volatility: The role of political uncertainty
Goodell, John W.; Vähämaa, Sami - In: Journal of Banking & Finance 37 (2013) 3, pp. 1108-1117
This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility during US presidential election cycles. Using monthly Iowa Electronic Markets data over five elections, we document that stock market uncertainty, as measured by the VIX...
Persistent link: https://www.econbiz.de/10011065702
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Volatility spreads and earnings announcement returns
Atilgan, Yigit - In: Journal of Banking & Finance 38 (2014) C, pp. 205-215
strike price and expiration date matched put and call options and capture price pressures in the option market. During a two …-day earnings announcement window, the abnormal returns to the quintile that includes stocks with relatively expensive call options … options. This result is robust after measuring volatility spreads in alternative ways and controlling for firm characteristics …
Persistent link: https://www.econbiz.de/10010719839
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Overconfident individual day traders: Evidence from the Taiwan futures market
Kuo, Wei-Yu; Lin, Tse-Chun - In: Journal of Banking & Finance 37 (2013) 9, pp. 3548-3561
A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin....
Persistent link: https://www.econbiz.de/10011065676
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Modeling and monitoring risk acceptability in markets: The case of the credit default swap market
Madan, Dilip B. - In: Journal of Banking & Finance 47 (2014) C, pp. 63-73
Minimal discounted distorted expectations across a range of stress levels are employed to model risk acceptability in markets. Interactions between discounting and stress levels used in measure changes are accommodated by lowering discount rates for the higher stress levels. Acceptability...
Persistent link: https://www.econbiz.de/10010931658
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Derivatives traders’ reaction to mispricing in the underlying equity
Hayunga, Darren K.; Holowczak, Richard D.; Lung, Peter P.; … - In: Journal of Banking & Finance 36 (2012) 9, pp. 2438-2454
This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We … investigate the price equilibrium between the observed equity asset and the options-implied synthetic share as well as the …
Persistent link: https://www.econbiz.de/10010599642
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Volatility spillovers and the effect of news announcements
Jiang, George J.; Konstantinidi, Eirini; Skiadopoulos, … - In: Journal of Banking & Finance 36 (2012) 8, pp. 2260-2273
We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and...
Persistent link: https://www.econbiz.de/10010599653
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The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of Banking & Finance 40 (2014) C, pp. 303-320
risk premium and implement this methodology using more than 20years of options and futures data on three major energy …
Persistent link: https://www.econbiz.de/10010738271
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Forecasting volatility of the U.S. oil market
Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of Banking & Finance 47 (2014) C, pp. 1-14
We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open interest, daily returns, bid-ask spread and the slope of the futures curve,...
Persistent link: https://www.econbiz.de/10011065575
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Dynamics of credit spread moments of European corporate bond indexes
Alizadeh, Amir H.; Gabrielsen, Alexandros - In: Journal of Banking & Finance 37 (2013) 8, pp. 3125-3144
, skewness and kurtosis of changes in credit spreads as well as a regime-switching GARCH model which allows for regime shifts in …
Persistent link: https://www.econbiz.de/10010679274