標題: DEVIATIONS FROM PUT-CALL PARITY AND VOLATILITY PREDICTION: EVIDENCE FROM THE TAIWAN INDEX OPTION MARKET
作者: Chen, Chin-Ho
Chung, Huimin
Yuan, Shu-Fang
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
公開日期: 1-十二月-2014
摘要: This study examines whether deviations from put-call parity are informative about future volatility in the underlying index. Using the difference in implied volatility between call and put options to measure these deviations, we find that deviations from put-call parity predict future volatility. The predictability becomes stronger as option liquidity increases and the liquidity of the underlying index decreases. The results for volatility prediction remain significant even after controlling for implied volatility, information shocks, other information variables on return and volatility used widely in the literature, and short sales constraints. In addition, our results also show that deviations from put-call parity contain information about the future trading volume of options and the underlying index. (c) 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:1122-1145, 2014
URI: http://dx.doi.org/10.1002/fut.21655
http://hdl.handle.net/11536/124017
ISSN: 0270-7314
DOI: 10.1002/fut.21655
期刊: JOURNAL OF FUTURES MARKETS
Volume: 34
Issue: 12
起始頁: 1122
結束頁: 1145
顯示於類別:期刊論文


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  1. 000344354800002.pdf