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초록
영어
We investigate the information content of trading activity in S&P 500 component stocks, S&P 500 index options and VIX options on the future realized volatility of S&P 500 index returns and find that the only consistently useful information on the determination of future realized volatility is provided by trading activity in VIX calls. We also find a discernible increase in the level of predictability when investors are more worried, when the level of information asymmetry in the VIX call market is higher, and when the transaction costs of VIX calls are lower, relative to S&P 500 index options.
목차
ABSTRACT
1. INTRODUCTION
2. LITERATURE REVIEW AND HYPOTHESIS DEVELOPMENT
3. DATA AND METHODOLOGY
4. PRELIMINARY ANALYSIS
5. REGRESSION RESULTS
5.1 Predictive Ability of Trading Activity in Various Markets
5.2 Determinants of Predictive Ability
6. ROBUSTNESS TEST AND FURTHER DISCUSSION
7. CONCLUSIONS
REFERENCES
Table
1. INTRODUCTION
2. LITERATURE REVIEW AND HYPOTHESIS DEVELOPMENT
3. DATA AND METHODOLOGY
4. PRELIMINARY ANALYSIS
5. REGRESSION RESULTS
5.1 Predictive Ability of Trading Activity in Various Markets
5.2 Determinants of Predictive Ability
6. ROBUSTNESS TEST AND FURTHER DISCUSSION
7. CONCLUSIONS
REFERENCES
Table
저자정보
참고문헌
자료제공 : 네이버학술정보