Impacts of implied volatility on stock price realized jumps

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)622-630
頁數9
期刊Economic Systems
40
發行號4
DOIs
出版狀態Published - 1 十二月 2016

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