Information Uncertainty and Implied Volatilities

• 발행기관: 한국무역연구원
• 저자명: Jong-Woon Hong() Hyoung-Jin Park()
• 간행물 정보: 『무역연구』제15권 제2호, 31~43쪽, 전체 13쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.04.30

영문 초록

In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty explains the discrepancy between historical and implied volatilities in Goyal and Saretto (2009). In addition, we clarified the impact of the uncertainty on the stock market as well as on the options market. In particular, we calculated the performance of our zero-investment option portfolio selling option straddle positions of stocks in the first decile with the lowest discrepancy between the two volatilities and purchasing option straddle positions in the last decile with the highest discrepancy. Moreover, we estimate the returns of these portfolios held by until to the earnings announcement days as well as the returns of the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied volatility and reduce the predictability of implied volatility for the future realized volatility. Additionally, we show an insignificant change in volatility skew during the time of a significant change in volatility implied from ATM options. Conclusively, we provide novel evidence that the uncertainty of information concerning a firm’s fundamental underlying volatility proposed in Hirshleifer (2001) significantly affects implied volatility.

목차

Ⅰ. Introduction

Ⅱ. Literature Review and Research Design

Ⅲ. Sample Data and Descriptive Statistics

Ⅳ. Empirical Results

Ⅴ. Conclusion

키워드

Historical Volatility Implied Volatility Information Uncertainty Realized Volatility