Title: Impacts of implied volatility on stock price realized jumps
Authors: Huang, Alex YiHou
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
Keywords: Stock price jump;Implied volatility;Information risk
Issue Date: Dec-2016
Abstract: This paper investigates the impact of ex ante implied volatility on stock price realized jumps. In particular, it examines how the different behaviors of informed and noise traders affect stock price jumps. We find that ex ante implied volatility interacts with the level of information quality for a stock when leading realized jumps, and that the direction of the relation changes across the states of the business cycle. We also document an, asymmetric impact from ex ante implied volatility on price jumps across stocks with different degrees of information-based trading activity. (C) 2016 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.ecosys.2016.02.007
ISSN: 0939-3625
DOI: 10.1016/j.ecosys.2016.02.007
Volume: 40
Issue: 4
Begin Page: 622
End Page: 630
Appears in Collections:Articles