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dc.contributor.authorChen, Chin-Hoen_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorYuan, Shu-Fangen_US
dc.date.accessioned2015-07-21T11:21:13Z-
dc.date.available2015-07-21T11:21:13Z-
dc.date.issued2014-12-01en_US
dc.identifier.issn0270-7314en_US
dc.identifier.urihttp://dx.doi.org/10.1002/fut.21655en_US
dc.identifier.urihttp://hdl.handle.net/11536/124017-
dc.description.abstractThis 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, 2014en_US
dc.language.isoen_USen_US
dc.titleDEVIATIONS FROM PUT-CALL PARITY AND VOLATILITY PREDICTION: EVIDENCE FROM THE TAIWAN INDEX OPTION MARKETen_US
dc.typeArticleen_US
dc.identifier.doi10.1002/fut.21655en_US
dc.identifier.journalJOURNAL OF FUTURES MARKETSen_US
dc.citation.volume34en_US
dc.citation.issue12en_US
dc.citation.spage1122en_US
dc.citation.epage1145en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000344354800002en_US
dc.citation.woscount0en_US
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