National Changhua University of Education Institutional Repository : Item 987654321/1825
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题名: Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of Subprime Crisis
作者: Yung-Ming Shiu;Ging-Ginq Pan;Shu-hui Lin;Tu-Cheng Wu
贡献者: 商業教育學系
日期: 2010
上传时间: 2010-11-15T06:46:34Z
摘要: 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.
關聯: Journal of Derivatives, 17(4):54-66(DOI: 10.3905/jod.2010.17.4.054)
显示于类别:[商業教育學系] 期刊論文

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