National Changhua University of Education Institutional Repository : Item 987654321/1825

English | 正體中文 | 简体中文 | Items with full text/Total items : 6507/11669
Visitors : 30043334 Online Users : 581

RC Version 3.2 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope Adv. Search

Login ‧ Upload ‧ Help ‧ About ‧ Administer

NCUEIR > College of Technology > be > Periodical Articles > Item 987654321/1825

Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/1825

Title:	Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of Subprime Crisis
Authors:	Yung-Ming Shiu;Ging-Ginq Pan;Shu-hui Lin;Tu-Cheng Wu
Contributors:	商業教育學系
Date:	2010
Issue Date:	2010-11-15T06:46:34Z
Abstract:	This article examines whether net buying pressure affects the implied volatility function of TAIEX options in an order-driven market characterized by high individual participation. Using the intraday data of TAIEX options and futures for the period 2005 through 2008, we find that the shape of the implied volatility for TAIEX options changes from a smile before the subprime mortgage crisis to a smirk after the beginning of the crisis. This change was also observed for the S&P 500 Index implied volatility curve before and after the 1987 U.S. stock market crash. Unlike previous research that documents evidence that changes in implied volatility of S&P 500 options are mainly determined by buying pressure for index puts, we find that implied volatility changes of TAIEX options are dominated by buying pressure for index calls.
Relation:	Journal of Derivatives, 17(4):54-66(DOI: 10.3905/jod.2010.17.4.054)
Appears in Collections:	[be] Periodical Articles

Files in This Item:

There are no files associated with this item.