The predictive power of the implied volatility of options traded OTC and on exchanges

doi:10.1016/j.jbankfin.2009.06.017

科研成果详情

发表状态	已发表Published
题名	The predictive power of the implied volatility of options traded OTC and on exchanges
作者	Yu, Wayne W.1; Lui, Evans C.K.2; Wang, Jacqueline W.1
发表日期	2010
发表期刊	Journal of Banking and Finance
ISSN/eISSN	0378-4266
卷号	34 期号:1 页码:1-11
摘要	This paper investigates the efficiency of stock index options traded over-the-counter (OTC) and on the exchanges in Hong Kong and Japan. Our findings suggest that implied volatility is superior to either historical volatility or a GARCH-type volatility forecast in predicting future volatility in both the OTC and exchange markets. This paper is also one of the first to compare the predictive power of the implied volatility of stock index options traded OTC to that of exchange-traded stock index options. Our evidence suggests that the OTC market is more efficient than the exchanges in Japan, but that the opposite is true in Hong Kong. © 2009 Elsevier B.V. All rights reserved.
关键词	Historical volatility Implied volatility Index options Over-the-counter Predictive power
DOI	10.1016/j.jbankfin.2009.06.017
URL	查看来源
收录类别	SSCI
语种	英语English
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000272113900001
Scopus入藏号	2-s2.0-70350217153
引用统计	被引频次：46[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/12728
专题	个人在本单位外知识产出
通讯作者	Yu, Wayne W.
作者单位	1.School of Accounting and Finance,The Hong Kong Polytechnic University,Hong Kong 2.Department of Finance,The Chinese University of Hong Kong,Hong Kong
推荐引用方式 GB/T 7714	Yu, Wayne W.,Lui, Evans C.K.,Wang, Jacqueline W. The predictive power of the implied volatility of options traded OTC and on exchanges[J]. Journal of Banking and Finance, 2010, 34(1): 1-11.
APA	Yu, Wayne W., Lui, Evans C.K., & Wang, Jacqueline W. (2010). The predictive power of the implied volatility of options traded OTC and on exchanges. Journal of Banking and Finance, 34(1), 1-11.
MLA	Yu, Wayne W.,et al."The predictive power of the implied volatility of options traded OTC and on exchanges". Journal of Banking and Finance 34.1(2010): 1-11.