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초록
영어
The purpose of this paper is to show that the growth of options open interest has predictive power for stock market returns. Predictability is demonstrated through in-sample tests, as evidenced by significant p-values and the improvement of adjusted R2 in monthly predictive regressions, and out-of-sample metrics. In addition, the stock return predictability confirms the economic significance, as shown by improving Sharpe ratios of returns from a predictor variablebased decision rule that exploit the growth of options open interest. Our empirical evidence indicates that the growth of options open interest contains additional information for future stock market returns, relative to other popular predictor variables.
목차
Abstract
1. Introduction
2. A model with open interest in options market
2.1 Economic environment
2.2 Equilibrium in the options market
3. Data and Methodology
3.1 Data description
3.2 The growth of options open interest
4. Predictability of the growth of options open interest for stock market return
4.1 In-sample predictability analysis
4.2. Out-of-sample predictability analysis
4.3 Analysis of Sharpe ratios of returns from the predictor variable-based decision rule
5. Robustness tests
5.1 Analysis with the growth of options trading volume
5.2 Analysis with the different filtering criteria for the options
5.3 Analysis with the growth of the options open interest based on value-weighted average
6. Conclusion
Reference
Table
1. Introduction
2. A model with open interest in options market
2.1 Economic environment
2.2 Equilibrium in the options market
3. Data and Methodology
3.1 Data description
3.2 The growth of options open interest
4. Predictability of the growth of options open interest for stock market return
4.1 In-sample predictability analysis
4.2. Out-of-sample predictability analysis
4.3 Analysis of Sharpe ratios of returns from the predictor variable-based decision rule
5. Robustness tests
5.1 Analysis with the growth of options trading volume
5.2 Analysis with the different filtering criteria for the options
5.3 Analysis with the growth of the options open interest based on value-weighted average
6. Conclusion
Reference
Table
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자료제공 : 네이버학술정보