Option prices and stock market momentum: evidence from China-Reference-Cited by-同舟云学术

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Option prices and stock market momentum: evidence from China

Published:2018-04-23 Issue:9 Volume:18 Page:1517-1529
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Li Jianping¹²^ORCID,Yao Yanzhen¹²,Chen Yibing¹³,Lee Cheng-Few⁴

Affiliation:

1. Institutes of Science and Development, Chinese Academy of Sciences , Beijing 100190, China

2. University of Chinese Academy of Sciences , Beijing 100049, China

3. National Council for Social Security Fund , Beijing 100032, China

4. Department of Finance and Economics, Rutgers University , New Brunswick, NJ 08854, USA

Funder

China Postdoctoral Science Foundation

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1444461

Reference44 articles.

1. Futures Options and the Volatility of Futures Prices

2. Prospect Theory and Stock Returns: An Empirical Test

3. The Pricing of Options and Corporate Liabilities

4. Efficiency Tests of the Foreign Currency Options Market

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1. Asymmetry in option implied volatility and yield: Evidence from China's ETF options market,;Pacific-Basin Finance Journal;2024-06

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