Deviations from Put-Call Parity and Volatility Prediction: Evidence from the Taiwan Index Option Market-Reference-Cited by-同舟云学术

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Deviations from Put-Call Parity and Volatility Prediction: Evidence from the Taiwan Index Option Market

Published:2014-02-12 Issue:12 Volume:34 Page:1122-1145
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Chen Chin-Ho¹,Chung Huimin¹,Yuan Shu-Fang²

Affiliation:

1. Chin-Ho Chen and Huimin Chung are collocated at the Institute of Finance; National Chiao Tung University; Hsinchu Taiwan

2. Shu-Fang Yuan is at the Department of Business Administration; Nanhua University; Chiayi County Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference53 articles.

1. Informed trading in the index option market: The case of KOSPI 200 options;Ahn;Journal of Futures Markets,2008

2. Range-based estimation of stochastic volatility models;Alizadeh;Journal of Finance,2002

3. Index option prices and stock market momentum;Amin;Journal of Business,2004

4. An , B-J. Ang , A. Bali , T. G. Cakici , N. 2013 The joint cross selection of stocks and options

5. Return volatility and trading volume: An information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996

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1. Short-Selling Cost and Implied Volatility Spreads: Evidence from the Chinese Sse 50etf Options Market;2023

2. Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options;Journal of Mathematics;2021-10-01

3. Investor sentiment, misreaction, and the skewness‐return relationship;Journal of Futures Markets;2021-05-20

4. The impact of net buying pressure on index options prices;Journal of Futures Markets;2020-09

5. Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases;Journal of Risk and Financial Management;2019-11-29

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